# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-23-010114
**Filing Date:** 2023-1
**Character Count:** 266244
**Document Hash:** b49e6eb3e17d83a299d2b3c89cef7738
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-010114.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-010114

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 23549128

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Total Return Unconstrained Fund (Series ID: S000012738)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000034298 | Class I      | WAARX           |
| C000034299 | Class FI     | WARIX           |
| C000066992 | Class IS     | WAASX           |
| C000113713 | CLASS A      | WAUAX           |
| C000113714 | CLASS C      | WAUCX           |
| C000113715 | CLASS R      | WAURX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Total Return Unconstrained Fund

- **b. EDGAR series identifier (if any):** S000012738

- **c. LEI of Series:** 549300TRHXU9STZER182

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $560477824.80

**Total Liabilities:** $83920457.23

**Net Assets:** $476557367.57

**Delayed Delivery Securities:** $5739572.81

**Stand-by Commitments:** $55526500.12

**Cash Not Reported:** $18641406.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** 12338.39000000 | **1-Year:** 71502.61000000 | **5-Year:** 82204.23000000 | **10-Year:** -59682.98000000 | **30-Year:** -43862.64000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066992 | -4.02%               | -1.51%               | 3.31%                |
| Class ID C000113714 | -4.15%               | -1.64%               | 3.22%                |
| Class ID C000034299 | -4.03%               | -1.63%               | 3.32%                |
| Class ID C000113713 | -4.02%               | -1.63%               | 3.31%                |
| Class ID C000113715 | -4.02%               | -1.63%               | 3.31%                |
| Class ID C000034298 | -4.01%               | -1.51%               | 3.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3537870.32             | $-19495310.03                              |
| Month 2  | $-11942382.86            | $7456810.40                                |
| Month 3  | $-1957854.96             | $15489356.51                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55504.37     | 0.01%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                             | State of Illinois                                                               | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3100000 | PA      | $2991677.63   | 0.63%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3340000 | PA      | $3213314.84   | 0.67%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      710000 | PA      | $608369.18    | 0.13%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-1270834.86  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $19623.29     | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         962 | NC      | $6012.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF GHANA                                       | Ghana Government International Bond                                             | CUSIP: 374422AD5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     1380000 | PA      | $968760.00    | 0.20%             | 2030-10-14      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      600000 | PA      | $542126.17    | 0.11%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1312000 | PA      | $1315571.47   | 0.28%             | N/A             | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $27154.96     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -449 | NC      | $-520244.84   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       90000 | PA      | $71780.50     | 0.02%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2019-3 Ltd                                                             | CUSIP: 92918FAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $2829816.10   | 0.59%             | 2032-10-17      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                 | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      270000 | PA      | $268683.80    | 0.06%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1670000 | PA      | $1324849.36   | 0.28%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                               | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $1289079.09   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1090000 | PA      | $1028030.38   | 0.22%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -367 | NC      | $1118762.80   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                          | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     1680000 | PA      | $1436568.00   | 0.30%             | N/A             | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     3510882 | PA      | $1182710.52   | 0.25%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      920000 | PA      | $872854.44    | 0.18%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      130000 | PA      | $98485.18     | 0.02%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      230671 | PA      | $199054.41    | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6854944 | PA      | $5579126.80   | 1.17%             | 2036-09-29      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 293791AF6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      500000 | PA      | $554232.43    | 0.12%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-2                               | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1157073 | PA      | $1118178.10   | 0.23%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-8214478.62  | -1.72%            |  |  |  | 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              | N/A       |      970000 | PA      | $945398.41    | 0.20%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         239 | NC      | $220328.13    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $1008031.57   | 0.21%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                     | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |       80000 | PA      | $95758.00     | 0.02%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3720000 | PA      | $2860694.55   | 0.60%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2700000 | PA      | $2554980.46   | 0.54%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3400000 | PA      | $3439261.43   | 0.72%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -237 | NC      | $-114796.89   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     1600000 | PA      | $1195755.87   | 0.25%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TSMC GLOBAL LTD                                         | TSMC Global Ltd                                                                 | CUSIP: 872882AM7<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |     1030000 | PA      | $1018166.75   | 0.21%             | 2027-07-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -115 | NC      | $-8086.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      140000 | PA      | $135895.20    | 0.03%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Bonos del Tesoro                                                      | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    44960000 | PA      | $77911.19     | 0.02%             | 2023-10-17      | Fixed         | 16.00%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $428150.59    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                        | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      340000 | PA      | $279243.97    | 0.06%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                                 | Broadcom Corp / Broadcom Cayman Finance Ltd                                     | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      940000 | PA      | $890406.06    | 0.19%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378NK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      221773 | PA      | $1412.23      | 0.00%             | 2048-02-16      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93276 | PA      | $86671.03     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8800000 | PA      | $5594359.41   | 1.17%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                  | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      250000 | PA      | $200341.25    | 0.04%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                           | Goldentree Loan Management US Clo 3 Ltd                                         | CUSIP: 38138BAL4<br>LEI: 549300TB55YBQBSW5Z77 | Long             | ABS-CBDO         | CORP              | KY        |     2170000 | PA      | $2052472.98   | 0.43%             | 2030-04-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2005-AA12                   | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34807 | PA      | $26480.78     | 0.01%             | 2036-02-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      820000 | PA      | $774237.39    | 0.16%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      560000 | PA      | $506245.80    | 0.11%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2862000 | PA      | $2512638.52   | 0.53%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24369.46     | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1317303 | PA      | $1090478.66   | 0.23%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -4800000 | NC      | $-9751.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      338857 | PA      | $333394.97    | 0.07%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $327654.36    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DIGNITY HEALTH                                          | Dignity Health                                                                  | CUSIP: 254010AE1<br>LEI: TFVG45LTYVO3XKPZWP18 | Long             | DBT              | CORP              | US        |      860000 | PA      | $731671.45    | 0.15%             | 2064-11-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-823350.89   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      790000 | PA      | $719259.47    | 0.15%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2173000 | PA      | $1051787.85   | 0.22%             | 2036-12-15      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         298 | NC      | $3725.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16895.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          97 | NC      | $-420286.45   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5570000 | PA      | $3442847.47   | 0.72%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376G5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2542356 | PA      | $25.42        | 0.00%             | 2046-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $240228.21    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       38321 | PA      | $38474.61     | 0.01%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -381 | NC      | $-206298.34   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         391 | NC      | $129518.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                    | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAG3<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       20000 | PA      | $22052.63     | 0.00%             | 2032-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       60000 | PA      | $51497.33     | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-76                                                  | CUSIP: 12668BDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65298 | PA      | $55769.66     | 0.01%             | 2046-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      670000 | PA      | $639420.55    | 0.13%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2916356 | PA      | $105168.45    | 0.02%             | 2058-10-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      122141 | PA      | $121119.26    | 0.03%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      500000 | PA      | $512008.30    | 0.11%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      660385 | PA      | $583943.60    | 0.12%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                               | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-2372956.07  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -1019 | NC      | $-6368.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-52CB                                                | CUSIP: 12668AFX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3395135 | PA      | $243378.57    | 0.05%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      710000 | PA      | $640320.30    | 0.13%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                     | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     1810000 | PA      | $1845803.90   | 0.39%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | NOK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21274.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -13 | NC      | $27196.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1080000 | PA      | $878472.00    | 0.18%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     1450000 | PA      | $1301846.25   | 0.27%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19996.51     | 0.00%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-105545.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29426 | PA      | $28876.57     | 0.01%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      290000 | PA      | $269479.60    | 0.06%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1392743.58   | 0.29%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1244359.87   | 0.26%             | 2039-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $2294905.00   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                 | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     1150000 | PA      | $1133531.74   | 0.24%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  8027000000 | PA      | $518414.14    | 0.11%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4200000 | PA      | $3461226.55   | 0.73%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GXC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      817813 | PA      | $572839.56    | 0.12%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                          | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |      320000 | PA      | $300514.49    | 0.06%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                | OZLM XVIII Ltd                                                                  | CUSIP: 67112GAG3<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $720263.72    | 0.15%             | 2031-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                            | ING Groep NV                                                                    | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $560353.27    | 0.12%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8647.58      | 0.00%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -1400000 | PA      | $-1198203.13  | -0.25%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-L7                                          | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6390189 | PA      | $387212.22    | 0.08%             | 2054-10-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2079000 | PA      | $1090704.31   | 0.23%             | 2036-12-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust 2017-1                                                 | CUSIP: 35040UAC5<br>LEI: 549300RIQ1R4PTXR5G48 | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2504487.96   | 0.53%             | 2033-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-895675.48   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      220000 | PA      | $192037.49    | 0.04%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      250000 | PA      | $238649.16    | 0.05%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      720000 | PA      | $704196.37    | 0.15%             | 2025-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1030000 | PA      | $969233.04    | 0.20%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      110000 | PA      | $86839.05     | 0.02%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      390000 | PA      | $394834.05    | 0.08%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      940000 | PA      | $910968.03    | 0.19%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $103878.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      680000 | PA      | $519041.85    | 0.11%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2022-3 Ltd                                           | CUSIP: 69690CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      580000 | PA      | $577886.88    | 0.12%             | 2031-04-15      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| TTAN                                                    | TTAN 2021-MHC                                                                   | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1649641 | PA      | $1594163.79   | 0.33%             | 2038-03-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      660000 | PA      | $606282.60    | 0.13%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $899226.56    | 0.19%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GK31<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       92368 | PA      | $75850.34     | 0.02%             | 2035-11-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     1998100 | PA      | $517454.37    | 0.11%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $468678.50    | 0.10%             | 2033-08-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      530000 | PA      | $439096.16    | 0.09%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1218040.94   | 0.26%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                 | Fremont Home Loan Trust 2006-B                                                  | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      323592 | PA      | $111396.06    | 0.02%             | 2036-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $167303.22    | 0.04%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       90000 | PA      | $58934.94     | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $106356.92    | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1330000 | PA      | $1296695.30   | 0.27%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      253488 | PA      | $223151.47    | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      290000 | PA      | $272152.09    | 0.06%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      260000 | PA      | $261098.50    | 0.05%             | 2025-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| MED Trust                                               | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1530000 | PA      | $1417364.92   | 0.30%             | 2038-11-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                                  | Indian Railway Finance Corp Ltd                                                 | CUSIP: 000000000<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | NUSS              | IN        |   100000000 | PA      | $1224772.75   | 0.26%             | 2027-06-15      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3400000 | PA      | $3437800.49   | 0.72%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91883 | PA      | $87860.79     | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -506 | NC      | $-319412.50   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7510000 | PA      | $6432784.38   | 1.35%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2560000 | PA      | $1997350.40   | 0.42%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2H4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      980000 | PA      | $970318.57    | 0.20%             | 2027-09-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAJ9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      430000 | PA      | $424528.01    | 0.09%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      950000 | PA      | $761620.50    | 0.16%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-RIO                                                                   | CUSIP: 12597HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3650769 | PA      | $3649306.72   | 0.77%             | 2022-12-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      210000 | PA      | $201761.22    | 0.04%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32428 | PA      | $31086.08     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1110000 | PA      | $1057293.04   | 0.22%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                   | Indonesia Government International Bond                                         | CUSIP: 455780CD6<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      490000 | PA      | $464240.19    | 0.10%             | 2028-01-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2019-1 Ltd                                                          | CUSIP: 67401XAJ0<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $860200.00    | 0.18%             | 2030-04-22      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      190000 | PA      | $178203.03    | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $799452.36    | 0.17%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $211413.30    | 0.04%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -239 | NC      | $-182984.38   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| STEWART PARK CLO LTD                                    | Stewart Park CLO Ltd                                                            | CUSIP: 860444AS7<br>LEI: 549300FC1IHOM4H6GL63 | Long             | ABS-CBDO         | CORP              | KY        |     1130000 | PA      | $1051174.96   | 0.22%             | 2030-01-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      930000 | PA      | $806897.59    | 0.17%             | 2042-08-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                       | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          30 | NC      | $-79653.76    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1580000 | PA      | $1479575.37   | 0.31%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                             | Lennar Corp                                                                     | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      350000 | PA      | $345079.15    | 0.07%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                                      | Cook Park CLO Ltd                                                               | CUSIP: 21623RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $200461.59    | 0.04%             | 2030-04-17      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $576627.97    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                           | Bear Stearns Mortgage Funding Trust 2007-AR1                                    | CUSIP: 07401MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1099806 | PA      | $921092.52    | 0.19%             | 2037-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      571208 | PA      | $491777.54    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92083 | PA      | $90598.27     | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                                | BRSP 2021-FL1 Ltd                                                               | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1600000 | PA      | $1550685.04   | 0.33%             | 2038-08-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      510000 | PA      | $493183.49    | 0.10%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -208 | NC      | $256704.65    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                                 | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl    | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      660000 | PA      | $556050.00    | 0.12%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1046467.32   | 0.22%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAN5<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     1010000 | PA      | $937795.10    | 0.20%             | 2027-04-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    38342000 | PA      | $6785961.75   | 1.42%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2015-2R                                                             | CUSIP: 12649QBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118850 | PA      | $118480.90    | 0.02%             | 2036-08-27      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         237 | NC      | $12961.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldentree Loan Opportunities                           | GoldenTree Loan Opportunities IX Ltd                                            | CUSIP: 38123HAW4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |     1550000 | PA      | $1462336.34   | 0.31%             | 2029-10-29      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378BF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1426486 | PA      | $4909.54      | 0.00%             | 2053-02-16      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      470000 | PA      | $427374.22    | 0.09%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2022-AFC1 Trust                                                           | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      664662 | PA      | $617755.82    | 0.13%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      150000 | PA      | $111251.89    | 0.02%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -576 | NC      | $-3600.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      110000 | PA      | $101654.34    | 0.02%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1135085.20   | 0.24%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      570000 | PA      | $567227.86    | 0.12%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $927567.36    | 0.19%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| WILLIS-KNIGHTON MED CTR                                 | Willis-Knighton Medical Center                                                  | CUSIP: 97068LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      710000 | PA      | $625197.06    | 0.13%             | 2048-09-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                                | Parsley Energy LLC / Parsley Finance Corp                                       | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $64422.26     | 0.01%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BB7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      180000 | PA      | $159418.06    | 0.03%             | 2042-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      230000 | PA      | $189922.04    | 0.04%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $121745.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                          | HPS Loan Management 10-2016 Ltd                                                 | CUSIP: 40436TBA3<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |     1520000 | PA      | $1409753.73   | 0.30%             | 2034-04-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $116700.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      130000 | PA      | $126649.05    | 0.03%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2018-1 LLC                                                 | CUSIP: 255396AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2636765 | PA      | $2370212.72   | 0.50%             | 2038-07-20      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF                                 | California Institute of Technology                                              | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |      870000 | PA      | $573784.85    | 0.12%             | 2119-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -356 | NC      | $-17800.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LENNAR CORP                                             | Lennar Corp                                                                     | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      110000 | PA      | $107893.05    | 0.02%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2018-GW MZ                                                             | CUSIP: 12433RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2867968.80   | 0.60%             | 2037-05-15      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      479000 | PA      | $443889.30    | 0.09%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523CB4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1795994.89   | 0.38%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                       | Eurex 10 Year Euro BUND                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -144 | NC      | $431918.93    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-860.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A3                      | CUSIP: 59020UHN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32653 | PA      | $28837.14     | 0.01%             | 2034-05-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196808.24    | 0.04%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192257.00    | 0.04%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -3400000 | PA      | $-3437800.49  | -0.72%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      580000 | PA      | $500015.59    | 0.10%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1700000 | PA      | $1505211.64   | 0.32%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15339.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | CDS VOLKSWAGEN INTERNATIONAL                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $38882.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $1759055.76   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      280000 | PA      | $249502.20    | 0.05%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78529 | PA      | $72969.42     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -164 | NC      | $-371562.51   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     1290000 | PA      | $1242444.64   | 0.26%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      320000 | PA      | $260136.00    | 0.05%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      428000 | PA      | $403039.09    | 0.08%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                  | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   173973000 | PA      | $1225864.65   | 0.26%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      460000 | PA      | $374902.30    | 0.08%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3400000 | PA      | $3471035.08   | 0.73%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      360000 | PA      | $307171.40    | 0.06%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      143435 | PA      | $36694.96     | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         237 | NC      | $49992.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40217 | PA      | $39585.51     | 0.01%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1580000 | PA      | $1249017.18   | 0.26%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1030000 | PA      | $897042.45    | 0.19%             | 2036-10-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $1020048.49   | 0.21%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     1290000 | PA      | $1021628.15   | 0.21%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-3218826.84  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      520000 | PA      | $386193.25    | 0.08%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1180000 | PA      | $814200.00    | 0.17%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      180000 | PA      | $135310.57    | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                   | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1320786 | PA      | $1143885.25   | 0.24%             | 2046-02-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -900000 | PA      | $-791296.88   | -0.17%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5040000 | PA      | $4977000.00   | 1.04%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11910000 | PA      | $7835942.61   | 1.64%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     2140000 | PA      | $1836196.78   | 0.39%             | 2027-08-21      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-21CB                                                | CUSIP: 02147GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1547534 | PA      | $174080.75    | 0.04%             | 2036-07-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1790000 | PA      | $1753830.47   | 0.37%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      670000 | PA      | $523826.10    | 0.11%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $91707.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      520000 | PA      | $460685.52    | 0.10%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $391921.87    | 0.08%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   225611900 | PA      | $10011242.51  | 2.10%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                  | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      120000 | PA      | $112969.20    | 0.02%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -677 | NC      | $-46543.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3400000 | PA      | $3436339.54   | 0.72%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9756.05      | 0.00%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7270000 | PA      | $5409760.32   | 1.14%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -1758 | NC      | $-10987.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      860000 | PA      | $849314.58    | 0.18%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6470 | PA      | $6071.55      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                     | Apex Credit CLO 2019-II Ltd                                                     | CUSIP: 03755CAN4<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $910055.26    | 0.19%             | 2032-10-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -370 | NC      | $-25437.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-2                                      | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1228054 | PA      | $1166750.52   | 0.24%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3482910.17   | 0.73%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                 | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76756 | PA      | $68880.76     | 0.01%             | 2051-02-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         723 | NC      | $208669.13    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $6.25         | 0.00%             |  |  |  | No            |                  1 | 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        |     2060000 | PA      | $1738104.40   | 0.36%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44484.11     | 0.01%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities                           | GoldenTree Loan Opportunities IX Ltd                                            | CUSIP: 38123HAU8<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |     2270000 | PA      | $2168381.14   | 0.46%             | 2029-10-29      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R05                                    | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1770390 | PA      | $1733205.73   | 0.36%             | 2039-07-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $1549766.62   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          22 | NC      | $26468.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -391 | NC      | $-173506.25   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      260000 | PA      | $245958.44    | 0.05%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust Series 2006-GP3                                                 | CUSIP: 525228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10952 | PA      | $21090.95     | 0.00%             | 2046-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      475000 | PA      | $473216.38    | 0.10%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      220000 | PA      | $205378.80    | 0.04%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         154 | NC      | $-370642.84   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26218.50     | 0.01%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DETROIT MI                                              | City of Detroit MI                                                              | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |      790000 | PA      | $581644.37    | 0.12%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUT FIN BV                                  | Teva Pharmaceutical Finance Co BV                                               | CUSIP: 88165FAG7<br>LEI: 549300Q840R30TDKVK53 | Long             | DBT              | CORP              | CW        |     2170000 | PA      | $2167036.02   | 0.45%             | 2022-12-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         474 | NC      | $59250.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         530 | NC      | $112625.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1141361.10   | 0.24%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2330000 | PA      | $1949498.19   | 0.41%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54607.36     | 0.01%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      570000 | PA      | $432930.88    | 0.09%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2019-4                                                | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1840000 | PA      | $1239521.15   | 0.26%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      120000 | PA      | $96374.81     | 0.02%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card                           | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $1847159.20   | 0.39%             | 2026-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                      | TSE Japanese 10 Year Bond                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         -15 | NC      | $-33253.68    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -285 | NC      | $-1781.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      410000 | PA      | $363846.76    | 0.08%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                  | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   180300000 | PA      | $1270446.54   | 0.27%             | 2027-10-06      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                       | Magenta Buyer LLC                                                               | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       64880 | PA      | $58635.05     | 0.01%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      780000 | PA      | $755552.15    | 0.16%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                        | Altice France SA/France                                                         | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      310000 | PA      | $248973.40    | 0.05%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAA1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      670000 | PA      | $654104.08    | 0.14%             | 2024-11-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   200000000 | PA      | $2252855.45   | 0.47%             | 2030-05-11      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      870000 | PA      | $855657.05    | 0.18%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bristol Park CLO, Ltd.                                  | Bristol Park CLO LTD                                                            | CUSIP: 11014PAQ8<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |     1420000 | PA      | $1302512.57   | 0.27%             | 2029-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     1760000 | PA      | $1726991.46   | 0.36%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |     4800000 | NC      | $66934.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2022-ONL                                  | CUSIP: 95003WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1190000 | PA      | $920450.24    | 0.19%             | 2039-12-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      800000 | PA      | $729454.70    | 0.15%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -3400000 | PA      | $-3474089.77  | -0.73%            | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                 | Halsey Point CLO I Ltd                                                          | CUSIP: 40638CAC3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $698882.51    | 0.15%             | 2033-01-20      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                          | CUSIP: 984245AU4<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     1382450 | PA      | $1284883.59   | 0.27%             | 2026-02-12      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $96614.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $5125048.87   | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1120293.04   | 0.24%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     1220000 | PA      | $1262324.24   | 0.26%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $184961.51    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2018-BNK15                                                                 | CUSIP: 06036FBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $954445.80    | 0.20%             | 2061-11-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      710000 | PA      | $587063.50    | 0.12%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $30859.05     | 0.01%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      950000 | PA      | $937979.75    | 0.20%             | 2026-07-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1310000 | PA      | $1143041.42   | 0.24%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                  | CUSIP: 92922FB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1529743 | PA      | $1393052.67   | 0.29%             | 2034-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         393 | NC      | $416352.93    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102575.67    | 0.02%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2018-III                                                        | CUSIP: 06760PAJ0<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |     1270000 | PA      | $1176280.58   | 0.25%             | 2029-07-20      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4                     | CUSIP: 251563FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2940 | PA      | $2645.50      | 0.00%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                          | GreenPoint Mortgage Funding Trust 2006-AR3                                      | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8926 | PA      | $10114.79     | 0.00%             | 2036-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                             | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |      630000 | PA      | $594146.55    | 0.12%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      870000 | PA      | $850334.31    | 0.18%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       26000 | PA      | $26023.01     | 0.01%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9650.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFK Trust                                               | CFK Trust 2020-MF2                                                              | CUSIP: 12529AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1440000 | PA      | $1163762.93   | 0.24%             | 2039-03-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43391 | PA      | $40951.77     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     1200000 | PA      | $1171710.00   | 0.25%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -193 | NC      | $-361875.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2085528.74   | 0.44%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                | EQM Midstream Partners LP                                                       | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27834.00     | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                          | CUSIP: 67091TAA3<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     1550000 | PA      | $1556781.25   | 0.33%             | 2024-04-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2003-60                                         | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30865 | PA      | $29076.53     | 0.01%             | 2034-02-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| WW International Inc                                    | WW International Inc                                                            | CUSIP: 92941PAC7<br>LEI: SGT8R1MU6ESIC7UJC518 | Long             | LON              | CORP              | US        |     1207000 | PA      | $755883.75    | 0.16%             | 2028-04-13      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2021-2 Receivables Funding LLC                                 | CUSIP: 82652RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      330719 | PA      | $305158.44    | 0.06%             | 2038-09-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-SDMF                                                              | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      860000 | PA      | $795888.38    | 0.17%             | 2034-09-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3400000 | PA      | $3474089.77   | 0.73%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                         | NGPL PipeCo LLC                                                                 | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     1980000 | PA      | $1886336.58   | 0.40%             | 2027-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    98030000 | PA      | $4465433.36   | 0.94%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650AW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        8930 | PA      | $8857.35      | 0.00%             | 2027-01-11      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      250000 | PA      | $203750.00    | 0.04%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      380000 | PA      | $327267.40    | 0.07%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -643 | NC      | $-4018.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     2910000 | PA      | $2593572.54   | 0.54%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.38.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $116587.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -3500000 | PA      | $-3483046.88  | -0.73%            | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         108 | NC      | $22950.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -25 | NC      | $-15781.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BIG Commercial Mortgage Trust                           | BIG Commercial Mortgage Trust 2022-BIG                                          | CUSIP: 05551UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1950000 | PA      | $1810727.69   | 0.38%             | 2039-02-15      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      450000 | PA      | $449307.00    | 0.09%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -836 | NC      | $-52250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     2610000 | PA      | $2557426.22   | 0.54%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -482 | NC      | $-267359.62   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $425495.98    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      370000 | PA      | $245524.64    | 0.05%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      300000 | PA      | $232801.53    | 0.05%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                          | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2             | CUSIP: 65536XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66173 | PA      | $39228.08     | 0.01%             | 2036-08-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                             | Netflix Inc                                                                     | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      840000 | PA      | $838737.75    | 0.18%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2175047 | PA      | $1800127.90   | 0.38%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WP CityMD Bidco LLC                                     | WP CityMD Bidco LLC                                                             | CUSIP: 92940KAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        5358 | PA      | $5341.26      | 0.00%             | 2028-12-22      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      260000 | PA      | $248720.13    | 0.05%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                        | AccessLex Institute                                                             | CUSIP: 00432CBK6<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $427961.25    | 0.09%             | 2039-07-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         595 | NC      | $368156.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          57 | NC      | $203953.13    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28419 | PA      | $30679.11     | 0.01%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307BK2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $785614.18    | 0.16%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      200000 | PA      | $182947.88    | 0.04%             | 2030-08-01      | Fixed         | 4.62%                 | 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        |      200000 | PA      | $167499.00    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                | Rockies Express Pipeline LLC                                                    | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     1920000 | PA      | $1601923.20   | 0.34%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $185281.25    | 0.04%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     2590000 | PA      | $1766876.50   | 0.37%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      530000 | PA      | $426641.52    | 0.09%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $130786.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      460000 | PA      | $442750.94    | 0.09%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          14 | NC      | $12906.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                             | CDS DAIMLER AG                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-99079.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |    10499180 | NS      | $10499180.26  | 2.20%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      180000 | PA      | $122956.39    | 0.03%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      665567 | PA      | $613599.73    | 0.13%             | 2039-02-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AH6<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      230000 | PA      | $219262.80    | 0.05%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      991585 | PA      | $912357.66    | 0.19%             | 2038-10-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collate                          | Amortizing Residential Collateral Trust 2002-BC5                                | CUSIP: 86358RZ67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29396 | PA      | $28920.29     | 0.01%             | 2032-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      580000 | PA      | $572515.02    | 0.12%             | 2027-07-27      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1860000 | PA      | $1699175.10   | 0.36%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| XPO LOGISTICS INC                                       | XPO Logistics Inc                                                               | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |       28000 | PA      | $28409.28     | 0.01%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      820000 | PA      | $658372.70    | 0.14%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      130000 | PA      | $126981.76    | 0.03%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $160380.00    | 0.03%             | 2031-08-08      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82298.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWHEQ Revolving Home Equity Loan Trust Series 2007-A                            | CUSIP: 126682AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      698226 | PA      | $647165.40    | 0.14%             | 2037-04-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      246000 | PA      | $228083.82    | 0.05%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6390000 | PA      | $5131719.16   | 1.08%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1310000 | PA      | $1172785.67   | 0.25%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      160000 | PA      | $163779.90    | 0.03%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      290000 | PA      | $193918.39    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        1998 | NC      | $-11823427.30 | -2.48%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6300000 | PA      | $5391914.09   | 1.13%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2004-4                    | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38921 | PA      | $38371.11     | 0.01%             | 2034-04-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $1013420.74   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      690000 | PA      | $571937.21    | 0.12%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1040000 | PA      | $993317.94    | 0.21%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN MZ                | CUSIP: 46652EBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      264876 | PA      | $227475.43    | 0.05%             | 2037-01-16      | Fixed         | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      938420 | PA      | $24513.32     | 0.01%             | 2055-09-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5                | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2140000 | PA      | $1922958.63   | 0.40%             | 2038-11-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      620000 | PA      | $542859.60    | 0.11%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30156 | PA      | $29667.33     | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56493.81     | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-DNA1                                         | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |     2310000 | PA      | $2205868.20   | 0.46%             | 2050-01-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      860000 | PA      | $822250.01    | 0.17%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         474 | NC      | $14812.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30366.56     | 0.01%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      330000 | PA      | $269572.05    | 0.06%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3400000 | PA      | $3466386.63   | 0.73%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                          | Residential Asset Securitization Trust 2005-A15                                 | CUSIP: 45660L4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8163783 | PA      | $973033.09    | 0.20%             | 2036-02-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -155 | NC      | $-968.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3659000 | PA      | $3305437.78   | 0.69%             | 2032-07-15      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $836296.88    | 0.18%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4000000 | PA      | $3544643.20   | 0.74%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     1590000 | PA      | $1149744.90   | 0.24%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     1650000 | PA      | $1598520.00   | 0.34%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   115450000 | PA      | $5571850.78   | 1.17%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-4CB                                                 | CUSIP: 12668BPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5760191 | PA      | $469362.28    | 0.10%             | 2036-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                                        | CUSIP: 85571XAS6<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |     7530000 | PA      | $15097.65     | 0.00%             | 2027-11-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 88000000000 | PA      | $5607213.55   | 1.18%             | 2042-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $88678.58     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      351214 | PA      | $92190.06     | 0.02%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                          | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1603959 | PA      | $1503052.58   | 0.32%             | 2034-11-11      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      312781 | PA      | $320902.82    | 0.07%             | 2023-07-25      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         643 | NC      | $4018.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         179 | NC      | $39156.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -518 | NC      | $-291375.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      550000 | PA      | $454476.00    | 0.10%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $544857.97    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      526300 | PA      | $15523.23     | 0.00%             | 2058-07-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2200000 | PA      | $2142078.11   | 0.45%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                 | Walt Disney Co/The                                                              | CUSIP: 254687DX1<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |      350000 | PA      | $439689.06    | 0.09%             | 2034-08-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      500000 | PA      | $417915.00    | 0.09%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                     | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      280000 | PA      | $258875.40    | 0.05%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -1019 | NC      | $-6368.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-55978.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          -3 | NC      | $-18.75       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RUSSIAN FEDERATION                                      | Russian Foreign Bond - Eurobond                                                 | CUSIP: 78307ADG5<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     1400000 | PA      | $1027600.00   | 0.22%             | 2023-09-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                                 | Greenwood Park CLO Ltd                                                          | CUSIP: 39729TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $828396.83    | 0.17%             | 2031-04-15      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                         | Saranac CLO III Ltd                                                             | CUSIP: 803169AW1<br>LEI: 5493000LWP4BVD5LGS13 | Long             | ABS-CBDO         | CORP              | JE        |     2000000 | PA      | $1810248.62   | 0.38%             | 2030-06-22      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      372522 | PA      | $307999.53    | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4400000 | PA      | $4031156.27   | 0.85%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                          | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      190000 | PA      | $122649.05    | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                      | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          37 | NC      | $-19116.55    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      750000 | PA      | $617621.30    | 0.13%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                        | Marathon CLO 14 Ltd                                                             | CUSIP: 56578HAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1410000 | PA      | $1328968.70   | 0.28%             | 2033-01-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   220000000 | PA      | $2740710.53   | 0.58%             | 2026-01-11      | Fixed         | 7.59%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -595 | NC      | $-401625.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Redstone Holdco 2 LP                                    | Redstone Holdco 2 LP                                                            | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1500000 | PA      | $682185.00    | 0.14%             | 2029-04-27      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      680000 | PA      | $643586.55    | 0.14%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2006-13                                          | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75256 | PA      | $52416.57     | 0.01%             | 2046-11-19      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9597.59      | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9623.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-658807.71   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     1670000 | PA      | $1598925.85   | 0.34%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO IV Ltd                                                             | CUSIP: 39809TAQ0<br>LEI: 5493008JNE27URH1VF66 | Long             | ABS-CBDO         | CORP              | KY        |     1840000 | PA      | $1638247.05   | 0.34%             | 2034-04-17      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $232429.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      450000 | PA      | $415207.51    | 0.09%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      926981 | PA      | $820230.41    | 0.17%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -44 | NC      | $-99687.50    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| VanEck J. P. Morgan EM Local Currency Bond ETF          | VanEck J. P. Morgan EM Local Currency Bond ETF                                  | CUSIP: 92189H300<br>LEI: 549300CNWPR88MZBEA63 | Long             | EC               | RF                | US        |       16200 | NS      | $392688.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   100000000 | PA      | $1178991.36   | 0.25%             | 2025-06-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72610 | PA      | $71281.80     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2H3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      360000 | PA      | $327967.53    | 0.07%             | 2025-02-21      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/IDR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $80760.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1970000 | PA      | $1611935.85   | 0.34%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      460000 | PA      | $375808.50    | 0.08%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -62 | NC      | $-4843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| National Collegiate Student Lo                          | National Collegiate Student Loan Trust 2007-2                                   | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |      795348 | PA      | $744955.11    | 0.16%             | 2033-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $55178.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     5230000 | PA      | $4452346.59   | 0.93%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                       | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -163 | NC      | $196553.11    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 20268JAD5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |      600000 | PA      | $444404.51    | 0.09%             | 2049-10-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -7200000 | NC      | $-32602.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1790000 | PA      | $1645436.38   | 0.35%             | 2040-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $382093.75    | 0.08%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8460000 | PA      | $7035018.75   | 1.48%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                         | Venture XVII CLO Ltd                                                            | CUSIP: 92330CAD3<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $815498.99    | 0.17%             | 2027-04-15      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                   | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    14980000 | PA      | $2170335.88   | 0.46%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 45M Ltd                                              | CUSIP: 38172HAE4<br>LEI: 254900SGGS5FSVUNJG17 | Long             | ABS-CBDO         | CORP              | KY        |      950000 | PA      | $883826.61    | 0.19%             | 2031-10-20      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                            | Mastr Specialized Loan Trust                                                    | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77841 | PA      | $73678.16     | 0.02%             | 2046-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                               | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-2242230.55  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | CNY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $36539.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2150000 | PA      | $2083894.06   | 0.44%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 39614000000 | PA      | $2697549.34   | 0.57%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69054.40     | 0.01%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    48370000 | PA      | $2406197.54   | 0.50%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORONGO BAND OF MISSION                                 | Morongo Band of Mission Indians/The                                             | CUSIP: 617734AG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      360000 | PA      | $385531.06    | 0.08%             | 2039-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $316112.34    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                  | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |     2280000 | PA      | $1974240.60   | 0.41%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      452901 | PA      | $118881.42    | 0.02%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88756.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $55255.80     | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL1 Trust                                                            | CUSIP: 12660KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      870000 | PA      | $816992.90    | 0.17%             | 2060-09-27      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      295087 | PA      | $255845.04    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     1460000 | PA      | $398691.14    | 0.08%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      730000 | PA      | $656270.00    | 0.14%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1577237 | PA      | $1016368.44   | 0.21%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage                           | Waterfall Commercial Mortgage Trust 2015-SBC5                                   | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136831 | PA      | $134528.23    | 0.03%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       90000 | PA      | $82256.10     | 0.02%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1671410.56   | 0.35%             | 2026-07-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         304 | NC      | $-7050.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ                | CUSIP: 46650BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10150000 | PA      | $10160.15     | 0.00%             | 2035-06-15      | Floating      | 12.38%                | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DH5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1653963.40   | 0.35%             | 2039-06-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-7R 1A1                                        | CSMC 2022-7R 1A1                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1092803 | PA      | $1095477.82   | 0.23%             | 2066-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-9                                         | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9825 | PA      | $9673.68      | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -2100000 | PA      | $-1730613.28  | -0.36%            | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      980000 | PA      | $995394.48    | 0.21%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                             | Lennar Corp                                                                     | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39264.37     | 0.01%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1270000 | PA      | $925661.33    | 0.19%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $361729.94    | 0.08%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      570000 | PA      | $537648.05    | 0.11%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -501 | NC      | $-277898.69   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       70000 | PA      | $58587.45     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1240166.83   | 0.26%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     1390000 | PA      | $1345918.72   | 0.28%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     2200000 | PA      | $2139614.50   | 0.45%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1210000 | PA      | $1075993.47   | 0.23%             | 2033-10-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $445064.08    | 0.09%             | 2033-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      530000 | PA      | $528467.44    | 0.11%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      640000 | PA      | $510510.54    | 0.11%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7055.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80826 | PA      | $75102.50     | 0.02%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                         | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      790000 | PA      | $732505.11    | 0.15%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM 37 Ltd                                                                      | CUSIP: 50204JAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      940000 | PA      | $858406.62    | 0.18%             | 2034-04-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     1620000 | PA      | $1374717.68   | 0.29%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-8T1                                                 | CUSIP: 12668BMF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3402883 | PA      | $383461.04    | 0.08%             | 2036-04-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $567914.06    | 0.12%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1010531.28   | 0.21%             | 2061-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BRASKEM AMERICA FINANCE                                 | Braskem America Finance Co                                                      | CUSIP: 000000000<br>LEI: 254900QMQAJ26H49CL75 | Long             | DBT              | CORP              | US        |     1440000 | PA      | $1335898.54   | 0.28%             | 2041-07-22      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                  | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   506371000 | PA      | $3568038.18   | 0.75%             | 2028-01-19      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         509 | NC      | $3181.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -29 | NC      | $-16312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1446689.81   | 0.30%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      140000 | PA      | $119865.15    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     1830000 | PA      | $1594149.60   | 0.33%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         255 | NC      | $124312.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                               | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-189004.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      540000 | PA      | $471906.57    | 0.10%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                        | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      780000 | PA      | $775504.10    | 0.16%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-2                               | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2120000 | PA      | $1735947.58   | 0.36%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                  | SFE 10 Year Australian Bond                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         116 | NC      | $24872.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Whitehorse Ltd                                          | Whitehorse XII Ltd                                                              | CUSIP: 96525YAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2260000 | PA      | $2095116.95   | 0.44%             | 2031-10-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3034415.00   | 0.64%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR US TREASURY NOTE WEEK 1                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -237 | NC      | $-38882.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3483046.88   | 0.73%             | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust Series 2006-16N                                                 | CUSIP: 52522DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9038 | PA      | $9105.42      | 0.00%             | 2046-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                               | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $1753163.83   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      498822 | PA      | $429459.06    | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     1680000 | PA      | $1627733.05   | 0.34%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           8 | NC      | $1750.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UCFC Manufactured Housing Cont                          | UCFC Manufactured Housing Contract                                              | CUSIP: 90263ABB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      914806 | PA      | $832726.51    | 0.17%             | 2029-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      130000 | PA      | $123229.05    | 0.03%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                       | Republic of Kenya Government International Bond                                 | CUSIP: 491798AJ3<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     1230000 | PA      | $1112166.00   | 0.23%             | 2027-05-22      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       26000 | PA      | $26103.95     | 0.01%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87164.87     | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3420000 | PA      | $3472368.75   | 0.73%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7350000 | PA      | $7058153.33   | 1.48%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27772.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                                | Trans-Allegheny Interstate Line Co                                              | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      730000 | PA      | $706271.49    | 0.15%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36241LUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37898 | PA      | $38296.39     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     1190000 | PA      | $1089889.79   | 0.23%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         243 | NC      | $-614085.30   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -129 | NC      | $-26203.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   370000000 | PA      | $4566482.04   | 0.96%             | 2024-06-22      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13507.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $532935.17    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | Midocean Credit Clo VII                                                         | CUSIP: 59801WAJ5<br>LEI: 5493004MLF21SFT7F415 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $846253.35    | 0.18%             | 2029-07-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      120000 | PA      | $106242.11    | 0.02%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                  | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      320000 | PA      | $280132.60    | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $61942.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         664 | NC      | $159664.11    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank Commercial Mortg                          | DBJPM 2016-C3 Mortgage Trust                                                    | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $401151.56    | 0.08%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AB3<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $903801.96    | 0.19%             | 2048-07-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     6665000 | PA      | $1097125.45   | 0.23%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| TSTAT 2022-2, Ltd.                                      | TSTAT 2022-2 Ltd                                                                | CUSIP: 87300FAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      820000 | PA      | $820000.00    | 0.17%             | 2031-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-6                                               | CUSIP: 92539AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1492333 | PA      | $1388740.52   | 0.29%             | 2067-06-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      890000 | PA      | $1020285.04   | 0.21%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           4 | NC      | $-14658.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          19 | NC      | $67984.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859AZ5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      480000 | PA      | $570553.70    | 0.12%             | 2038-06-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $1092152.70   | 0.23%             | 2026-04-26      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -386 | NC      | $-27140.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 225313AJ4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     1250000 | PA      | $1274256.25   | 0.27%             | N/A             | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      460000 | PA      | $398337.00    | 0.08%             | 2026-11-15      | Fixed         | 2.27%                 | 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              | N/A       |      360000 | PA      | $341491.54    | 0.07%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      540000 | PA      | $502320.75    | 0.11%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      304000 | PA      | $285537.91    | 0.06%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $791296.88    | 0.17%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      120000 | PA      | $110018.10    | 0.02%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      120000 | PA      | $94384.92     | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-1                                                  | CUSIP: 61947DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      518633 | PA      | $440642.48    | 0.09%             | 2046-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      600000 | PA      | $597933.97    | 0.13%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     4400000 | PA      | $2330750.84   | 0.49%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      980000 | PA      | $950811.48    | 0.20%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      310000 | PA      | $261175.00    | 0.05%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                                      | Cook Park CLO Ltd                                                               | CUSIP: 21623PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      840000 | PA      | $726389.08    | 0.15%             | 2030-04-17      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      590000 | PA      | $557604.79    | 0.12%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                                  | THE VANGUARD GROUP INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $660951.34    | 0.14%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1302917.92   | 0.27%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2018-II                                                         | CUSIP: 06760JAJ4<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |     2480000 | PA      | $2351619.75   | 0.49%             | 2030-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      280000 | PA      | $268744.00    | 0.06%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      380000 | PA      | $326942.50    | 0.07%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      260000 | PA      | $242326.55    | 0.05%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7660000 | PA      | $6312767.55   | 1.32%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $265900.26    | 0.06%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      570000 | PA      | $533064.00    | 0.11%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Z Capital Credit Partners CLO                           | Z Capital Credit Partners CLO 2021-1 Ltd                                        | CUSIP: 98878FAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1450000 | PA      | $1321895.52   | 0.28%             | 2033-07-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    32760198 | PA      | $169003.31    | 0.04%             | 2055-01-16      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2001-HYB1                                       | CUSIP: 12669B2W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3675 | PA      | $3512.12      | 0.00%             | 2031-06-19      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      788000 | PA      | $700770.67    | 0.15%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          -4 | NC      | $-200.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55794.16     | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      590000 | PA      | $550956.75    | 0.12%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      254106 | PA      | $231294.02    | 0.05%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -101 | NC      | $-631.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1032126.81   | 0.22%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $780115.38    | 0.16%             | 2036-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer