# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0002071691-25-006492
**Filing Date:** 2025-11
**Character Count:** 311177
**Document Hash:** b6995e2a96690ad598387e5dde03cd58
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-006492.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0002071691-25-006492

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671

**ORGANIZATION NAME:**
- **EIN:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 251511874

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Diversified Income Fund (Series ID: S000003893)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010881 | Class IA Shares |  |
| C000010882 | Class IB Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

  - **Street Address 1:** 100 Federal Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-292-1000

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

- **a. Name of Series:** Putnam VT Diversified Income Fund

- **b. EDGAR series identifier (if any):** S000003893

- **c. LEI of Series:** 8JXB19CF5HE2V5XUD764

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $131124891.69

**Total Liabilities:** $29754490.19

**Net Assets:** $101370401.50

**Delayed Delivery Securities:** $24793256.86

**Cash Not Reported:** $117094.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -24.97000000 | **1-Year:** -1811.03000000 | **5-Year:** -3217.43000000 | **10-Year:** -1753.07000000 | **30-Year:** -1900.96000000

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

- **3-Month:** -10.85000000 | **1-Year:** 7082.28000000 | **5-Year:** -32172.79000000 | **10-Year:** 3622.28000000 | **30-Year:** 613.16000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010882 | 0.00%                | 1.53%                | 0.22%                |
| Class ID C000010881 | 0.22%                | 1.54%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $21423.32                | $-529804.87                                |
| Month 2  | $178267.12               | $867554.75                                 |
| Month 3  | $-48525.34               | $80867.15                                  |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BMO Mortgage Trust                                             | BMO Mortgage Trust, Series 2024-5C6, Class XA                                     | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410269 | PA      | $153250.65    | 0.15%             | 2057-09-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-59, Class IP                                                    | CUSIP: 38382RRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2413453 | PA      | $411970.95    | 0.41%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Itron, Inc.                                                    | Itron, Inc.                                                                       | CUSIP: 465741AQ9<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |     59000 | PA      | $67761.50     | 0.07%             | 2030-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                     | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    389000 | PA      | $450174.18    | 0.44%             | 2048-09-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1033539.94   | 1.02%             | 2055-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     25000 | PA      | $716.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Workiva, Inc.                                                  | Workiva, Inc.                                                                     | CUSIP: 98139AAD7<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24718.75     | 0.02%             | 2028-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                    | Beach Acquisition Bidco LLC                                                       | CUSIP: 07337JAE7<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |    100000 | PA      | $120636.36    | 0.12%             | 2032-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals, Inc.                                  | Alnylam Pharmaceuticals, Inc.                                                     | CUSIP: 02043QAC1<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29831.25     | 0.03%             | 2028-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2018-139, Class SA                                                   | CUSIP: 38381AKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888859 | PA      | $124486.42    | 0.12%             | 2048-10-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                    | Federation des Caisses Desjardins du Quebec                                       | CUSIP: 31429KAP8<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $201182.57    | 0.20%             | 2030-08-26      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Serbia International Bond                                      | Serbia Government Bond                                                            | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    230000 | PA      | $250182.60    | 0.25%             | 2033-09-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                            | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $38587.50     | 0.04%             | 2058-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co.                                          | Matador Resources Co.                                                             | CUSIP: 576485AF3<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    265000 | PA      | $270630.99    | 0.27%             | 2028-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                   | Hess Midstream Operations LP                                                      | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35700.18     | 0.04%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2015-LC19, Class B                                    | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110553 | PA      | $108673.32    | 0.11%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Great Canadian Gaming Corp.                                    | Great Canadian Gaming Corp., First Lien, CME Term Loan, B                         | CUSIP: C4111RAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    100000 | PA      | $96688.00     | 0.10%             | 2029-11-01      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14018 | PA      | $14336.67     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2659.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2018-20, Class SB                                                    | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029743 | PA      | $103204.25    | 0.10%             | 2048-03-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                    | McGraw-Hill Education, Inc.                                                       | CUSIP: 58064LAA2<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     92000 | PA      | $95662.89     | 0.09%             | 2031-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AeroVironment, Inc.                                            | AeroVironment, Inc.                                                               | CUSIP: 008073AA6<br>LEI: 529900PGHVI29YLZ6221 | Long             | DBT              | CORP              | US        |     20000 | PA      | $24830.00     | 0.02%             | 2030-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    202000 | PA      | $88033.46     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                               | Peru Government Bond                                                              | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    260000 | PA      | $240253.00    | 0.24%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas, Inc.                                           | Hunter Douglas, Inc., First Lien, CME Term Loan, B1                               | CUSIP: N8137FAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    107440 | PA      | $107718.74    | 0.11%             | 2032-01-16      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-42, Class IC                                                    | CUSIP: 38376MSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284629 | PA      | $51548.53     | 0.05%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Avnet, Inc.                                                    | Avnet, Inc.                                                                       | CUSIP: 053807AY9<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20240.00     | 0.02%             | 2030-09-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H16, Class JI                                                   | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1359384 | PA      | $60116.04     | 0.06%             | 2067-08-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                              | Wells Fargo & Co.                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    265000 | PA      | $274691.72    | 0.27%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Integer Holdings Corp.                                         | Integer Holdings Corp.                                                            | CUSIP: 45826HAC3<br>LEI: 549300SUD2ED5XG6X569 | Long             | DBT              | CORP              | US        |     42000 | PA      | $40908.00     | 0.04%             | 2030-03-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                | JH North America Holdings, Inc.                                                   | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35880.04     | 0.04%             | 2032-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1411949 | PA      | $42022.42     | 0.04%             | 2067-04-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-77, Class SM                                                    | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2066208 | PA      | $291364.02    | 0.29%             | 2051-05-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Under Armour, Inc.                                             | Under Armour, Inc.                                                                | CUSIP: 904311AD9<br>LEI: 549300D4549QKWETZ406 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55069.52     | 0.05%             | 2030-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1078.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2006-OA7, Class 1A1                                | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479170 | PA      | $445406.42    | 0.44%             | 2046-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2291.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2972000 | PA      | $-15443.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     81000 | PA      | $-474.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                    | Crescent Energy Finance LLC                                                       | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106477.09    | 0.11%             | 2034-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    111000 | PA      | $9957.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-H25, Class AI                                                   | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1260112 | PA      | $17664.63     | 0.02%             | 2065-09-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Proofpoint, Inc.                                               | Proofpoint, Inc., First Lien, CME Term Loan                                       | CUSIP: 74345HAG6<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |    136850 | PA      | $137557.50    | 0.14%             | 2028-08-31      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     51000 | PA      | $2528.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                                | COMM Mortgage Trust, Series 2013-CR12, Class AM                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     85572 | PA      | $81301.49     | 0.08%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Romania                                                        | Romania Government Bond                                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $390768.93    | 0.39%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                                    | BANK5 Trust, Series 2024-5YR10, Class XA                                          | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4137369 | PA      | $171404.14    | 0.17%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                            | Petroleos Mexicanos                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    103000 | PA      | $102137.68    | 0.10%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Republic of Ghana                                              | Ghana Government Bond                                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    150000 | PA      | $126799.89    | 0.13%             | 2035-07-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Iraq                                               | Iraq Government Bond                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |    206250 | PA      | $205352.87    | 0.20%             | 2028-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                          | Ahead DB Holdings LLC, First Lien, CME Term Loan, B3                              | CUSIP: 00866HAH8<br>LEI: 254900L07WFL833JX193 | Long             | LON              | CORP              | US        |     49034 | PA      | $49153.52     | 0.05%             | 2031-02-03      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE3 Mortgage Trust                                 | COMM Mortgage Trust, Series 2012-CR3, Class F                                     | CUSIP: 12624PAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169087 | PA      | $10352.43     | 0.01%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    411000 | PA      | $-1612.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -40500000 | PA      | $-60448.84    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2014-119, Class SA                                                   | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468255 | PA      | $46760.19     | 0.05%             | 2044-08-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                            | Herc Holdings, Inc.                                                               | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35988.86     | 0.04%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2015-DC1, Class B                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264000 | PA      | $251841.48    | 0.25%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $969914.17    | 0.96%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                               | Welltower OP LLC                                                                  | CUSIP: 95041AAB4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     33000 | PA      | $61825.50     | 0.06%             | 2028-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                   | KazMunayGas National Co. JSC                                                      | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |    280000 | PA      | $288340.50    | 0.28%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                 | Morgan Stanley                                                                    | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    405000 | PA      | $413772.15    | 0.41%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp. Ltd.                                       | Power Finance Corp. Ltd.                                                          | CUSIP: 73928RAB2<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | NUSS              | IN        |    250000 | PA      | $243889.75    | 0.24%             | 2030-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2025068 | PA      | $92974.90     | 0.09%             | 2066-10-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class E | CUSIP: 46631QAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8985 | PA      | $12230.94     | 0.01%             | 2051-02-12      | Variable      | 8.45%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments, Inc.                                          | Shift4 Payments, Inc.                                                             | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $47355.96     | 0.05%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2016-C05, Class 2B               | CUSIP: 30711XDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     88622 | PA      | $94583.14     | 0.09%             | 2029-01-25      | Floating      | 15.22%                | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2014-60, Class SD                                                    | CUSIP: 38379BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106905 | PA      | $139205.37    | 0.14%             | 2044-04-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-CR19, Class D                                    | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21788 | PA      | $21311.82     | 0.02%             | 2047-08-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                     | Huntsman International LLC                                                        | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $134037.98    | 0.13%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2013-34, Class IH                                                    | CUSIP: 38378JL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510273 | PA      | $97268.79     | 0.10%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2910276.66  | -2.87%            | 2055-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Strategy, Inc.                                                 | Strategy, Inc.                                                                    | CUSIP: 594972AT8<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |     39000 | PA      | $41145.00     | 0.04%             | 2030-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2006-OA7, Class 1A2                                | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121132 | PA      | $119524.37    | 0.12%             | 2046-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                      | Sunoco LP                                                                         | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    116000 | PA      | $118153.80    | 0.12%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $806.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                     | PG&E Corp.                                                                        | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     46000 | PA      | $46634.80     | 0.05%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                         | Paraguay Government Bond                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    470000 | PA      | $440672.00    | 0.43%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                         | Aramark Services, Inc.                                                            | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    118000 | PA      | $117583.99    | 0.12%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, 30 Year                                                                     | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13002 | PA      | $13064.15     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                    | McGraw-Hill Education, Inc.                                                       | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     68000 | PA      | $68017.85     | 0.07%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                | TransDigm, Inc.                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15437.46     | 0.02%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP / RHP Finance Corp.                    | RHP Hotel Properties LP / RHP Finance Corp.                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $123460.24    | 0.12%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                      | South Bow USA Infrastructure Holdings LLC                                         | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    135000 | PA      | $136589.20    | 0.13%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Hungary                                                        | Hungary Government Bond                                                           | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |    400000 | PA      | $410028.25    | 0.40%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2012-128, Class IA                                                   | CUSIP: 38378HK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636697 | PA      | $103731.00    | 0.10%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                          | Athene Global Funding                                                             | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134418.89    | 0.13%             | 2029-01-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1141000 | PA      | $-1298.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities, Inc.                              | Taylor Morrison Communities, Inc.                                                 | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    276000 | PA      | $275363.95    | 0.27%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDI                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   4519000 | PA      | $149702.46    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| AES Andes SA                                                   | AES Andes SA                                                                      | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $209634.83    | 0.21%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellium SE                                                 | Constellium SE                                                                    | CUSIP: 21039CAD6<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $255748.50    | 0.25%             | 2032-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2020-63, Class PS                                                    | CUSIP: 38382FGP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1887407 | PA      | $252045.03    | 0.25%             | 2050-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30198 | PA      | $27226.65     | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG Polaris BidCo SARL                                          | PG Polaris BidCo SARL, First Lien, Initial CME Term Loan                          | CUSIP: 91728NAB5<br>LEI: 254900XMCCB3IEZ2A005 | Long             | LON              | CORP              | US        |     49626 | PA      | $49855.14     | 0.05%             | 2031-03-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class A5                         | CUSIP: 12636LAY6<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |     37156 | PA      | $37029.78     | 0.04%             | 2048-11-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                          | Petronas Capital Ltd.                                                             | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    230000 | PA      | $237534.99    | 0.23%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2014-H21, Class BI                                                   | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776257 | PA      | $16205.91     | 0.02%             | 2064-10-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                           | Boston Properties LP                                                              | CUSIP: 10112RBM5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30030.00     | 0.03%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     56400 | PA      | $6745.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                       | BDS Ltd., Series 2021-FL9, Class A                                                | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21063 | PA      | $21143.53     | 0.02%             | 2038-11-16      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H02, Class BI                                                   | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653778 | PA      | $24965.17     | 0.02%             | 2067-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $113.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2234100 | PA      | $32494.47     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Snowflake, Inc.                                                | Snowflake, Inc.                                                                   | CUSIP: 833445AB5<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |     64000 | PA      | $97248.00     | 0.10%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                  | Brazil Government Bond                                                            | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    590000 | PA      | $566842.50    | 0.56%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                        | Quikrete Holdings, Inc.                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46648.08     | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4                         | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |      1483 | PA      | $1479.71      | 0.00%             | 2048-08-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd.                                     | AAdvantage Loyalty IP Ltd., First Lien, CME Term Loan                             | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    204895 | PA      | $204824.30    | 0.20%             | 2028-04-20      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                 | Protective Life Global Funding                                                    | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    175000 | PA      | $181684.14    | 0.18%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| TK Elevator Midco GmbH                                         | TK Elevator Midco GmbH, First Lien, CME Term Loan, B1                             | CUSIP: D9000BAJ1<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | DE        |     76373 | PA      | $76648.70     | 0.08%             | 2030-04-30      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12796.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-59, Class SQ                                                    | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1573883 | PA      | $217381.53    | 0.21%             | 2051-04-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                              | Alliant Holdings Intermediate LLC, First Lien, Initial CME Term Loan              | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    118503 | PA      | $118304.51    | 0.12%             | 2031-09-19      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2121400 | PA      | $4975.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                            | Newell Brands, Inc.                                                               | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27812.25     | 0.03%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2015-42, Class LS                                                    | CUSIP: 3136ANX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863090 | PA      | $67792.15     | 0.07%             | 2045-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1667.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1696.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3171600 | PA      | $18066.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  27000000 | PA      | $134830.37    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148000 | PA      | $153574.45    | 0.15%             | 2042-01-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                      | MFA Trust, Series 2025-NQM3, Class A1                                             | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97576 | PA      | $97972.27     | 0.10%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5024, Class HI                                                      | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1926029 | PA      | $459799.76    | 0.45%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1048.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pinnacle Buyer LLC                                             | Pinnacle Buyer LLC, First Lien, CME Term Loan                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     37990 | PA      | $38085.33     | 0.04%             | 2032-09-13      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                       | WESCO Distribution, Inc.                                                          | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31120.15     | 0.03%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $798.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BioMarin Pharmaceutical, Inc.                                  | BioMarin Pharmaceutical, Inc.                                                     | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |     33000 | PA      | $31366.50     | 0.03%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    948000 | PA      | $-1424.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1218400 | PA      | $36670.44     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Jefferson Capital Holdings LLC                                 | Jefferson Capital Holdings LLC                                                    | CUSIP: 472481AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $274775.54    | 0.27%             | 2029-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Euro-Bobl                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -13 | NC      | $1669.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Arab Republic of Egypt                                         | Egypt Government Bond                                                             | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $212667.75    | 0.21%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                           | American Tower Corp.                                                              | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    275000 | PA      | $270240.17    | 0.27%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $255.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR Debt Notes, Series 2015-DNA3, Class B                                 | CUSIP: 3137G0GZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515021 | PA      | $517573.49    | 0.51%             | 2028-04-25      | Floating      | 13.82%                | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                   | Royal Caribbean Cruises Ltd.                                                      | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     50000 | PA      | $51019.83     | 0.05%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WisdomTree, Inc.                                               | WisdomTree, Inc.                                                                  | CUSIP: 97717PAJ3<br>LEI: 549300WIU8IS7UFO7871 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21283.17     | 0.02%             | 2030-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                | Citigroup, Inc.                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    275000 | PA      | $275212.08    | 0.27%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2048.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Akamai Technologies, Inc.                                      | Akamai Technologies, Inc.                                                         | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |     54000 | PA      | $51786.00     | 0.05%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Pertamina Hulu Energi PT                                       | Pertamina Hulu Energi PT                                                          | CUSIP: 74448WAA2<br>LEI: 2549003IT1KDHL64C037 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $204484.06    | 0.20%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                      | Turkiye Government Bond                                                           | CUSIP: 900123DJ6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $226676.52    | 0.22%             | 2030-07-13      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                    | QXO Building Products, Inc.                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134926.50    | 0.13%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                | Live Nation Entertainment, Inc.                                                   | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     47000 | PA      | $52217.00     | 0.05%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                   | Oracle Corp.                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59984.37     | 0.06%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor, Inc.                                        | Phoenix Guarantor, Inc., First Lien, CME Term Loan, B5                            | CUSIP: 71913BAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118206 | PA      | $118411.68    | 0.12%             | 2031-02-21      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Meritage Homes Corp.                                           | Meritage Homes Corp.                                                              | CUSIP: 59001ABF8<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |     42000 | PA      | $43195.41     | 0.04%             | 2028-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2020-167, Class PI                                                   | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2257151 | PA      | $421852.68    | 0.42%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merit Medical Systems, Inc.                                    | Merit Medical Systems, Inc.                                                       | CUSIP: 589889AA2<br>LEI: 549300OYTY138SP2CE83 | Long             | DBT              | CORP              | US        |     24000 | PA      | $27948.00     | 0.03%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2012-127, Class BI                                                   | CUSIP: 3136A9C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86572 | PA      | $17893.14     | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                   | Ecopetrol SA                                                                      | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    140000 | PA      | $125657.21    | 0.12%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                    | Hashemite Kingdom of Jordan                                                       | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    200000 | PA      | $209056.61    | 0.21%             | 2029-01-13      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust             | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B      | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    177639 | PA      | $168491.79    | 0.17%             | 2046-07-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                                      | PPL Capital Funding, Inc.                                                         | CUSIP: 69352PAS2<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     58000 | PA      | $66279.50     | 0.07%             | 2028-03-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                       | Spirit AeroSystems, Inc.                                                          | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     54000 | PA      | $56941.33     | 0.06%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                          | Global Payments, Inc.                                                             | CUSIP: 37940XAU6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     53000 | PA      | $48641.01     | 0.05%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Flutter Financing BV                                           | Flutter Financing BV, First Lien, 2024 Refinancing CME Term Loan, B               | CUSIP: N3313EAG5<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |     63862 | PA      | $63766.71     | 0.06%             | 2030-12-02      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp.                                         | Filtration Group Corp., First Lien, 2025 Incremental Dollar CME Term Loan, B      | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    109716 | PA      | $110344.43    | 0.11%             | 2028-10-23      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                       | South Africa Government Bond                                                      | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    200000 | PA      | $202615.57    | 0.20%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $76.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $441.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management, Inc.                   | Jones Deslauriers Insurance Management, Inc.                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    115000 | PA      | $120913.88    | 0.12%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                       | Motorola Solutions, Inc.                                                          | CUSIP: 620076BY4<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138277.67    | 0.14%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nouryon Finance BV                                             | Nouryon Finance BV, First Lien, Term Loan, B                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | NL        |    115000 | PA      | $135561.22    | 0.13%             | 2028-04-03      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Chobani LLC                                                    | Chobani LLC, First Lien, 2025 New CME Term Loan                                   | CUSIP: 17026YAK5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    139298 | PA      | $139835.24    | 0.14%             | 2027-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                          | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4                  | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73343 | PA      | $73195.88     | 0.07%             | 2048-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Outfront Media Capital LLC / Outfront Media Capital Corp.      | Outfront Media Capital LLC / Outfront Media Capital Corp.                         | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44000 | PA      | $46450.71     | 0.05%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| White Cap Supply Holdings LLC                                  | White Cap Supply Holdings LLC, First Lien, CME Term Loan, C                       | CUSIP: 96350TAH3<br>LEI: 254900L2N0T6GULCL366 | Long             | LON              | CORP              | US        |    272241 | PA      | $272604.67    | 0.27%             | 2029-10-19      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                               | CVS Health Corp.                                                                  | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115658.72    | 0.11%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    333000 | PA      | $413911.27    | 0.41%             | 2048-10-25      | Floating      | 15.47%                | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                           | Clear Channel Outdoor Holdings, Inc., First Lien, 2024 Refinancing CME Term Loan  | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |    105000 | PA      | $105315.00    | 0.10%             | 2028-08-23      | Variable      | 8.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-CR17, Class D                                    | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $153471.50    | 0.15%             | 2047-05-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| MKS, Inc.                                                      | MKS, Inc.                                                                         | CUSIP: 55306NAB0<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |     42000 | PA      | $46095.00     | 0.05%             | 2030-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Novelis Corp.                                                  | Novelis Corp.                                                                     | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    113000 | PA      | $117271.85    | 0.12%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RR Donnelley & Sons Co.                                        | RR Donnelley & Sons Co.                                                           | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    175000 | PA      | $179513.25    | 0.18%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                         | GSAA Home Equity Trust, Series 2006-8, Class 2A2                                  | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504940 | PA      | $105374.74    | 0.10%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                           | Bulgaria Government Bond                                                          | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     60000 | PA      | $60134.80     | 0.06%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1150.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    329000 | PA      | $-41085.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern Oil & Gas, Inc.                                       | Northern Oil & Gas, Inc.                                                          | CUSIP: 665531AJ8<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     39000 | PA      | $39204.75     | 0.04%             | 2029-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                            | Petroleos Mexicanos                                                               | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    155000 | PA      | $156685.52    | 0.15%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                 | Illumina, Inc.                                                                    | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75369.27     | 0.07%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                  | Gartner, Inc.                                                                     | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    295000 | PA      | $282720.22    | 0.28%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   3134964 | PA      | $156874.87    | 0.15%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                     | Microchip Technology, Inc.                                                        | CUSIP: 595017BG8<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     31000 | PA      | $30132.00     | 0.03%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                           | Clear Channel Outdoor Holdings, Inc.                                              | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    170000 | PA      | $178627.67    | 0.18%             | 2030-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp.               | MPT Operating Partnership LP / MPT Finance Corp.                                  | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $164815.69    | 0.16%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 4945, Class SL                                                      | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362473 | PA      | $171748.15    | 0.17%             | 2050-01-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                                    | BANK5 Trust, Series 2024-5YR12, Class XA                                          | CUSIP: 06644XBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4356443 | PA      | $83160.79     | 0.08%             | 2057-12-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                        | Uber Technologies, Inc., Series 2028                                              | CUSIP: 90353TAM2<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     58000 | PA      | $85405.00     | 0.08%             | 2028-12-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    719000 | PA      | $80271.00     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1717.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JBT Marel Corp.                                                | JBT Marel Corp.                                                                   | CUSIP: 477839AD6<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20454.00     | 0.02%             | 2030-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Crocs, Inc.                                                    | Crocs, Inc.                                                                       | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |    170000 | PA      | $155983.93    | 0.15%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                       | U.S. Treasury Bills                                                               | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    100000 | PA      | $99598.25     | 0.10%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                     | PG&E Corp.                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    275000 | PA      | $271361.78    | 0.27%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Etsy, Inc.                                                     | Etsy, Inc.                                                                        | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |     72000 | PA      | $63774.00     | 0.06%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                            | Kinetik Holdings LP                                                               | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    265000 | PA      | $266739.99    | 0.26%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Halozyme Therapeutics, Inc.                                    | Halozyme Therapeutics, Inc.                                                       | CUSIP: 40637HAF6<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |     42000 | PA      | $59115.00     | 0.06%             | 2028-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    201000 | PA      | $1501.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3022795.59   | 2.98%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     80000 | PA      | $2898.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Air France-KLM                                                 | Air France-KLM                                                                    | CUSIP: N/A<br>LEI: 969500AQW31GYO8JZD66       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $131388.73    | 0.13%             | 2028-05-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Commercial Metals Co.                                          | Commercial Metals Co.                                                             | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    158000 | PA      | $149237.73    | 0.15%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                             | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    109141 | PA      | $110276.15    | 0.11%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3171600 | PA      | $56682.05     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                | Sinclair Television Group, Inc.                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    160000 | PA      | $164332.00    | 0.16%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                 | NCL Corp. Ltd.                                                                    | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    120000 | PA      | $120696.09    | 0.12%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rivers Enterprise Lender LLC / Rivers Enterprise Lender Corp.  | Rivers Enterprise Lender LLC / Rivers Enterprise Lender Corp.                     | CUSIP: 76884GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40381.66     | 0.04%             | 2030-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                          | United Airlines, Inc.                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     87000 | PA      | $85733.61     | 0.08%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H24, Class CI                                                   | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524101 | PA      | $11667.01     | 0.01%             | 2066-10-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1711000 | PA      | $913.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Romania                                                        | Romania Government Bond                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    220000 | PA      | $251964.13    | 0.25%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                             | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16584.53     | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2012-146                                                             | CUSIP: 38378GNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353258 | PA      | $74380.55     | 0.07%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                        | Bath & Body Works, Inc.                                                           | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    260000 | PA      | $270842.52    | 0.27%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Burlington Stores, Inc.                                        | Burlington Stores, Inc.                                                           | CUSIP: 122017AD8<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     22000 | PA      | $29733.00     | 0.03%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14206000 | PA      | $-183279.16   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     27000 | PA      | $1801.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10  | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    267182 | PA      | $271737.99    | 0.27%             | 2049-10-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Avient Corp.                                                   | Avient Corp.                                                                      | CUSIP: 05368VAB2<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25406.84     | 0.03%             | 2031-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                        | Raizen Fuels Finance SA                                                           | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $195450.00    | 0.19%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Republic of Uzbekistan International Bond                      | Uzbekistan Government Bond                                                        | CUSIP: N/A<br>LEI: 213800L6VDKUM3TCM927       | Long             | DBT              | NUSS              | UZ        |    200000 | PA      | $215486.74    | 0.21%             | 2032-02-28      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                | TransDigm, Inc.                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41386.96     | 0.04%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings, Inc.                                    | Endo Finance Holdings, Inc., First Lien, 2024 Refinancing CME Term Loan           | CUSIP: 29280UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    109447 | PA      | $109800.75    | 0.11%             | 2031-04-23      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                    | Allied Universal Holdco LLC                                                       | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125924.49    | 0.12%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1250.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                              | EMRLD Borrower LP, First Lien, Second Amendment Incremental CME Term Loan         | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    114113 | PA      | $113741.82    | 0.11%             | 2031-08-04      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                | TransDigm, Inc., First Lien, CME Term Loan, J                                     | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     83728 | PA      | $83780.82     | 0.08%             | 2031-02-28      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H24, Class JI                                                   | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    730913 | PA      | $43218.87     | 0.04%             | 2066-11-20      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Rubrik, Inc.                                                   | Rubrik, Inc.                                                                      | CUSIP: 781154AC3<br>LEI: 254900TRGK2WTBYMYU27 | Long             | DBT              | CORP              | US        |     37000 | PA      | $37518.00     | 0.04%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-156                                                             | CUSIP: 38383AQC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2732580 | PA      | $518933.67    | 0.51%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2015-CR27, Class C                                    | CUSIP: 12635QBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $131330.61    | 0.13%             | 2048-10-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Republic of Cameroon International Bond                        | Cameroon Government Bond                                                          | CUSIP: N/A<br>LEI: 54930021BO6NHYGBBV24       | Long             | DBT              | NUSS              | CM        |    190000 | PA      | $183969.89    | 0.18%             | 2032-07-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                              | CD Mortgage Trust, Series 2017-CD4, Class B                                       | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $230453.81    | 0.23%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-H10, Class BI                                                   | CUSIP: 38376RAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597218 | PA      | $27070.70     | 0.03%             | 2065-04-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                | Live Nation Entertainment, Inc.                                                   | CUSIP: 538034BA6<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     21000 | PA      | $33927.81     | 0.03%             | 2029-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                           | WaMu Asset-Backed Certificates Trust, Series 2006-HE2, Class A3                   | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333247 | PA      | $261854.23    | 0.26%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    608700 | PA      | $7284.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    132000 | PA      | $8501.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                            | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63000 | PA      | $39060.00     | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                            | Medline Borrower LP, First Lien, 2028 Refinancing CME Term Loan                   | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    104649 | PA      | $104753.31    | 0.10%             | 2028-10-23      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                           | BBCMS Mortgage Trust, Series 2022-C14, Class XA                                   | CUSIP: 07336AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903290 | PA      | $94788.93     | 0.09%             | 2055-02-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2020-97, Class QS                                                    | CUSIP: 38382GXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1839479 | PA      | $264635.97    | 0.26%             | 2050-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1285.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2018-H05, Class BI                                                   | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1327514 | PA      | $57068.48     | 0.06%             | 2068-02-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-26, Class MI                                                    | CUSIP: 38380CH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673448 | PA      | $123741.44    | 0.12%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                     | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class D              | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152000 | PA      | $137560.00    | 0.14%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                             | United Rentals North America, Inc.                                                | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     51000 | PA      | $48829.62     | 0.05%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5002, Class SJ                                                      | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1786670 | PA      | $224733.10    | 0.22%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Kedrion SpA                                                    | Kedrion SpA                                                                       | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    295000 | PA      | $291516.06    | 0.29%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 4105, Class HI                                                      | CUSIP: 3137AUD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118794 | PA      | $6024.39      | 0.01%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2017-32, Class SA                                                    | CUSIP: 3136AWLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2106257 | PA      | $245182.01    | 0.24%             | 2047-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Chobani LLC / Chobani Finance Corp., Inc.                      | Chobani LLC / Chobani Finance Corp., Inc.                                         | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $120059.66    | 0.12%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                               | NRG Energy, Inc.                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    230000 | PA      | $235914.68    | 0.23%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                    | Block, Inc.                                                                       | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27397.50     | 0.03%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H06, Class BI                                                   | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723240 | PA      | $23231.50     | 0.02%             | 2067-02-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd.                                     | AAdvantage Loyalty IP Ltd., First Lien, 2025 Incremental CME Term Loan            | CUSIP: 02376CBT1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9975 | PA      | $10031.11     | 0.01%             | 2032-05-28      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| CommScope, Inc.                                                | CommScope, Inc., First Lien, Initial CME Term Loan                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    115000 | PA      | $116555.38    | 0.11%             | 2029-12-18      | Variable      | 8.91%                 | No            |                  2 | On Loan: No      |
| PK Alift Loan Funding 7 LP                                     | PK Alift Loan Funding 7 LP, Series 2025-2, Class A                                | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250658.75    | 0.25%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                    | Capital One Financial Corp.                                                       | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84340.56     | 0.08%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1311400 | PA      | $8767.02      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1350392 | PA      | $295220.32    | 0.29%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                              | Clarios Global LP, First Lien, Amendment No. 6 Dollar CME Term Loan               | CUSIP: C8000CAP8<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |     35475 | PA      | $35541.52     | 0.04%             | 2032-01-28      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                             | Panama Government Bond                                                            | CUSIP: 698299BY9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $228120.00    | 0.23%             | 2038-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                          | Indonesia Government Bond                                                         | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $201088.26    | 0.20%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Boise Cascade Co.                                              | Boise Cascade Co.                                                                 | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122540.13    | 0.12%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5134, Class IC                                                      | CUSIP: 3137H1X68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2497583 | PA      | $500196.75    | 0.49%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                  | CCO Holdings LLC / CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $231404.20    | 0.23%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276000 | PA      | $286236.90    | 0.28%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| TIAA Real Estate CDO Ltd.                                      | TIAA Real Estate CDO Ltd., Series 2003-1A, Class E                                | CUSIP: 88631FAA6<br>LEI: 5493005Y5RSPJ6PO8N21 | Long             | ABS-CBDO         | CORP              | KY        |    472775 | PA      | $44.44        | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 4077, Class IK                                                      | CUSIP: 3137ASB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214717 | PA      | $45467.57     | 0.04%             | 2042-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OSI Systems, Inc.                                              | OSI Systems, Inc.                                                                 | CUSIP: 671044AF2<br>LEI: DDX3MPX1Y8YD30050X33 | Long             | DBT              | CORP              | US        |     32000 | PA      | $46504.00     | 0.05%             | 2029-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust             | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C      | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $144419.55    | 0.14%             | 2048-04-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-64, Class YI                                                    | CUSIP: 38379PE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282079 | PA      | $41498.82     | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp.                                         | ON Semiconductor Corp.                                                            | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     33000 | PA      | $30530.65     | 0.03%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    137100 | PA      | $15411.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Power Co.                                             | Southern Power Co., Series A                                                      | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44750.99     | 0.04%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                 | Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A1        | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162725 | PA      | $145607.26    | 0.14%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H09, Class BI                                                   | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987878 | PA      | $40636.36     | 0.04%             | 2066-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Broadcom Corp. / Broadcom Cayman Finance Ltd.                  | Broadcom Corp. / Broadcom Cayman Finance Ltd.                                     | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $134953.74    | 0.13%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                              | Eversource Energy                                                                 | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133563.59    | 0.13%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                                | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                          | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $235844.02    | 0.23%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Transnet SOC Ltd.                                              | Transnet SOC Ltd.                                                                 | CUSIP: N/A<br>LEI: 378900B07CD6F01EA796       | Long             | DBT              | CORP              | ZA        |    200000 | PA      | $211325.48    | 0.21%             | 2028-02-06      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                    | Terex Corp.                                                                       | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    115000 | PA      | $117244.34    | 0.12%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                               | MortgageIT Trust, Series 2005-3, Class M2                                         | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21512 | PA      | $20940.33     | 0.02%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                             | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26332.06     | 0.03%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                             | Ares Capital Corp.                                                                | CUSIP: 04010LBE2<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    270000 | PA      | $278006.11    | 0.27%             | 2027-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CQP Holdco LP                                                  | CQP Holdco LP, First Lien, Initial CME Term Loan                                  | CUSIP: 12657QAE3<br>LEI: 549300LPL012JY5D4B69 | Long             | LON              | CORP              | US        |    304493 | PA      | $304844.62    | 0.30%             | 2030-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Banijay Entertainment SAS                                      | Banijay Entertainment SAS, First Lien, CME Term Loan, B3                          | CUSIP: F6456UAE3<br>LEI: 5493008PW5N0VVCH7279 | Long             | LON              | CORP              | FR        |     44643 | PA      | $44880.16     | 0.04%             | 2028-03-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2018-94, Class AI                                                    | CUSIP: 38380XSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893450 | PA      | $184161.26    | 0.18%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    971300 | PA      | $27515.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                          | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                   | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74000 | PA      | $63954.84     | 0.06%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   9690000 | PA      | $10140.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                               | GE HealthCare Technologies, Inc.                                                  | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137748.41    | 0.14%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                    | Toll Brothers Finance Corp.                                                       | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $142012.19    | 0.14%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                        | Qnity Electronics, Inc.                                                           | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20448.72     | 0.02%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Haemonetics Corp.                                              | Haemonetics Corp.                                                                 | CUSIP: 405024AD2<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |     32000 | PA      | $29685.03     | 0.03%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $981.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2018-127, Class IC                                                   | CUSIP: 38380YYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    691753 | PA      | $137399.95    | 0.14%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp.                                              | IRB Holding Corp., First Lien, 2024 Second Replacement CME Term Loan, B           | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |    153909 | PA      | $154113.00    | 0.15%             | 2027-12-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                              | Chile Government Bond                                                             | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $204880.00    | 0.20%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Deep Blue Operating I LLC                                      | Deep Blue Operating I LLC, First Lien, CME Term Loan                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     25855 | PA      | $25919.84     | 0.03%             | 2032-09-17      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2103000 | PA      | $607.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1               | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253178.75    | 0.25%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2020-63, Class AS                                                    | CUSIP: 38382FGR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1520684 | PA      | $186891.97    | 0.18%             | 2043-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2015-CR22, Class B                                    | CUSIP: 12592XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116505 | PA      | $112196.10    | 0.11%             | 2048-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                               | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $181099.76    | 0.18%             | 2050-08-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1685304.20   | 1.66%             | 2055-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436884 | PA      | $202347.51    | 0.20%             | 2051-06-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                      | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202083.30    | 0.20%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1177.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance, Inc.                          | Jane Street Group / JSG Finance, Inc.                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $275444.79    | 0.27%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                  | Smyrna Ready Mix Concrete LLC, First Lien, 2025 CME Term Loan                     | CUSIP: 83283EAK9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     14577 | PA      | $14613.15     | 0.01%             | 2029-03-30      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Gabonese Republic                                              | Gabonese Republic                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GA        |    230000 | PA      | $185827.78    | 0.18%             | 2031-02-06      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DoorDash, Inc.                                                 | DoorDash, Inc.                                                                    | CUSIP: 25809KAA3<br>LEI: 549300NUQ43FGGSK5051 | Long             | DBT              | CORP              | US        |     61000 | PA      | $69479.00     | 0.07%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp.                                         | Freedom Mortgage Corp.                                                            | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    225000 | PA      | $251187.08    | 0.25%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1929.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $234.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  63519000 | PA      | $433721.26    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                            | Post Holdings, Inc.                                                               | CUSIP: 737446AT1<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     45000 | PA      | $50602.50     | 0.05%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $23739.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                   | Hess Midstream Operations LP                                                      | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51000 | PA      | $51406.98     | 0.05%             | 2030-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pharmacia LLC                                                  | Pharmacia LLC                                                                     | CUSIP: 71713UAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $306217.65    | 0.30%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                   | GS Mortgage Securities Trust, Series 2013-GC13, Class AS                          | CUSIP: 36198EAP0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    128702 | PA      | $127145.27    | 0.13%             | 2046-07-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                   | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23601 | PA      | $23199.54     | 0.02%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                             | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42512.08     | 0.04%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Repligen Corp.                                                 | Repligen Corp.                                                                    | CUSIP: 759916AD1<br>LEI: 54930006QJ0T5AUO1E71 | Long             | DBT              | CORP              | US        |     32000 | PA      | $32256.00     | 0.03%             | 2028-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                          | Haleon US Capital LLC                                                             | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $243454.65    | 0.24%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                    | Beach Acquisition Bidco LLC                                                       | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |    200000 | PA      | $216232.40    | 0.21%             | 2033-07-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1346.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    303600 | PA      | $42504.79     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Hercules Capital, Inc.                                         | Hercules Capital, Inc.                                                            | CUSIP: 427096AL6<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20914.75     | 0.02%             | 2028-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-29.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2006-OA10, Class 4A1                               | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768011 | PA      | $666657.37    | 0.66%             | 2046-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234000 | PA      | $231542.95    | 0.23%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Banijay Entertainment SAS                                      | Banijay Entertainment SAS                                                         | CUSIP: 060335AB2<br>LEI: 969500CE0IE2EZ5VBG13 | Long             | DBT              | CORP              | FR        |    210000 | PA      | $218284.29    | 0.22%             | 2029-05-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H22, Class AI                                                   | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643822 | PA      | $30031.71     | 0.03%             | 2066-10-20      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                       | RB Global Holdings, Inc.                                                          | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    158000 | PA      | $165450.17    | 0.16%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Boyd Gaming Corp.                                              | Boyd Gaming Corp.                                                                 | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $125428.69    | 0.12%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    623000 | PA      | $5005.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                            | Hilton Domestic Operating Co., Inc.                                               | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116618.63    | 0.12%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                              | Standard Building Solutions, Inc.                                                 | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82163.68     | 0.08%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    133000 | PA      | $2284.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     81200 | PA      | $8024.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                      | Towd Point Mortgage Trust, Series 2019-2, Class A2                                | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202000 | PA      | $183834.91    | 0.18%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco SARL                                       | Eagle Funding Luxco SARL                                                          | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    280000 | PA      | $284426.80    | 0.28%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                     | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D              | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $129500.98    | 0.13%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Scientific Games Holdings LP                                   | Scientific Games Holdings LP, First Lien, 2024 Refinancing Dollar CME Term Loan   | CUSIP: 80875CAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118798 | PA      | $117956.20    | 0.12%             | 2029-04-04      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                   | New York Life Global Funding                                                      | CUSIP: 64952WFD0<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138166.92    | 0.14%             | 2028-06-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    430000 | PA      | $194604.09    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                            | Kinder Morgan, Inc.                                                               | CUSIP: 494553AD2<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    165000 | PA      | $168770.95    | 0.17%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1296.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                          | Targa Resources Corp.                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    130000 | PA      | $137026.92    | 0.14%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2016-C02, Class 1B               | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    962721 | PA      | $1008581.43   | 0.99%             | 2028-09-25      | Floating      | 16.72%                | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp.                                            | Bausch + Lomb Corp., First Lien, Third Amendment CME Term Loan                    | CUSIP: C0787FAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    183999 | PA      | $184343.88    | 0.18%             | 2031-01-15      | Variable      | 8.41%                 | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                  | Smyrna Ready Mix Concrete LLC                                                     | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    255000 | PA      | $269517.85    | 0.27%             | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209551 | PA      | $34792.72     | 0.03%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                        | Qnity Electronics, Inc.                                                           | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35310.69     | 0.03%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                 | Teva Pharmaceutical Finance Netherlands III BV                                    | CUSIP: 88167AAR2<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    249000 | PA      | $285009.88    | 0.28%             | 2031-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1223.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                             | Royalty Pharma plc                                                                | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    160000 | PA      | $158713.05    | 0.16%             | 2031-03-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                          | Bank of America Corp., Series L                                                   | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135081.41    | 0.13%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                            | Viking Cruises Ltd.                                                               | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    105000 | PA      | $112775.78    | 0.11%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    111000 | PA      | $-45784.24    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2014-76                                                              | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210437 | PA      | $43816.67     | 0.04%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2018-38, Class SA                                                    | CUSIP: 3136B1S47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398833 | PA      | $173379.41    | 0.17%             | 2048-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                              | Philip Morris International, Inc.                                                 | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    270000 | PA      | $279146.28    | 0.28%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                          | Coinbase Global, Inc.                                                             | CUSIP: 19260QAJ6<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     30000 | PA      | $33210.00     | 0.03%             | 2032-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                            | Viking Cruises Ltd.                                                               | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    125000 | PA      | $134256.88    | 0.13%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Tyler Technologies, Inc.                                       | Tyler Technologies, Inc.                                                          | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     36000 | PA      | $39600.00     | 0.04%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                              | Chile Government Bond                                                             | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    230000 | PA      | $242224.50    | 0.24%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                       | Benchmark Mortgage Trust, Series 2024-V11, Class XA                               | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6574000 | PA      | $139966.38    | 0.14%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                    | Adient Global Holdings Ltd.                                                       | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |     20000 | PA      | $20724.70     | 0.02%             | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                         | Costa Rica Government Bond                                                        | CUSIP: N/A<br>LEI: 549300S1EK2VN6XVJP58       | Long             | DBT              | NUSS              | CR        |    400000 | PA      | $417900.00    | 0.41%             | 2031-02-19      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                   | Pacific Gas and Electric Co.                                                      | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    130000 | PA      | $136038.92    | 0.13%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Braskem Idesa SAPI                                             | Braskem Idesa SAPI                                                                | CUSIP: N/A<br>LEI: YH0V7ZHY352ITDGEYB83       | Long             | DBT              | CORP              | MX        |    200000 | PA      | $122359.63    | 0.12%             | 2029-11-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $785.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                      | Seagate Data Storage Technology Pte. Ltd.                                         | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     92000 | PA      | $104287.06    | 0.10%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-56.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Stonex Escrow Issuer LLC                                       | Stonex Escrow Issuer LLC                                                          | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $66957.57     | 0.07%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                | Madison IAQ LLC, First Lien, Initial CME Term Loan                                | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    118154 | PA      | $118388.97    | 0.12%             | 2028-06-21      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Arcosa, Inc.                                                   | Arcosa, Inc.                                                                      | CUSIP: 039653AC4<br>LEI: 549300WFHLTCZV7D6V29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31359.54     | 0.03%             | 2032-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                       | Celanese US Holdings LLC                                                          | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4090.10      | 0.00%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                           | Colombia Government Bond                                                          | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    350000 | PA      | $376425.00    | 0.37%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                         | XHR LP                                                                            | CUSIP: 98372MAE5<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113159.53    | 0.11%             | 2030-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                     | F&G Annuities & Life, Inc.                                                        | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $136512.88    | 0.13%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                             | T-Mobile USA, Inc.                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    145000 | PA      | $138265.12    | 0.14%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Chefs' Warehouse, Inc. (The)                                   | Chefs' Warehouse, Inc. (The)                                                      | CUSIP: 163086AE1<br>LEI: 549300JYEDC8C547E980 | Long             | DBT              | CORP              | US        |     26000 | PA      | $37648.00     | 0.04%             | 2028-12-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                     | AT&T, Inc.                                                                        | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    275000 | PA      | $274833.22    | 0.27%             | 2028-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                         | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $187463.08    | 0.18%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2121400 | PA      | $399381.85    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-550.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2020-01, Class M10  | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    499979 | PA      | $509805.20    | 0.50%             | 2050-03-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Progress Software Corp.                                        | Progress Software Corp.                                                           | CUSIP: 743312AD2<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |     36000 | PA      | $36297.00     | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                        | GA Global Funding Trust                                                           | CUSIP: 36143L2N4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150365.22    | 0.15%             | 2027-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                      | Ivory Coast Government Bond                                                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    300000 | PA      | $336842.26    | 0.33%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      3000 | PA      | $134.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FMC Corp.                                                      | FMC Corp.                                                                         | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     65000 | PA      | $68689.99     | 0.07%             | 2055-11-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                     | Builders FirstSource, Inc.                                                        | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36588.39     | 0.04%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -52 | NC      | $4789.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $449.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $991891.53    | 0.98%             | 2055-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                       | U.S. Treasury Bills                                                               | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    600000 | PA      | $599933.06    | 0.59%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                      | Turkiye Government Bond                                                           | CUSIP: 900123DJ6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $226676.52    | 0.22%             | 2030-07-13      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                     | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |    152000 | PA      | $177028.75    | 0.17%             | 2049-03-25      | Floating      | 14.97%                | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H16, Class IG                                                   | CUSIP: 38375UF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1021041 | PA      | $27415.98     | 0.03%             | 2067-07-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Dexcom, Inc.                                                   | Dexcom, Inc.                                                                      | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |     74000 | PA      | $67543.50     | 0.07%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                          | Bank of America Corp.                                                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    285000 | PA      | $297067.37    | 0.29%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1375.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                               | NRG Energy, Inc.                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105080.71    | 0.10%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-CR20, Class C                                    | CUSIP: 12592LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213420 | PA      | $205942.48    | 0.20%             | 2047-11-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2013-H08, Class CI                                                   | CUSIP: 38375BM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480313 | PA      | $17530.47     | 0.02%             | 2063-02-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals, Inc.                                  | Alnylam Pharmaceuticals, Inc.                                                     | CUSIP: 02043QAB3<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |     12000 | PA      | $19752.00     | 0.02%             | 2027-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                               | Gray Media, Inc., First Lien, CME Term Loan, D                                    | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2028-12-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-90.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust            | First Horizon Alternative Mortgage Securities Trust, Series 2006-AA6, Class 2A1   | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197910 | PA      | $135583.50    | 0.13%             | 2036-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Weekley Homes LLC / Weekley Finance Corp.                      | Weekley Homes LLC / Weekley Finance Corp.                                         | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $117604.37    | 0.12%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                   | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105897 | PA      | $104612.57    | 0.10%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Parsons Corp.                                                  | Parsons Corp.                                                                     | CUSIP: 70202LAD4<br>LEI: 549300ZXH0VRBSEPX752 | Long             | DBT              | CORP              | US        |     27000 | PA      | $30847.50     | 0.03%             | 2029-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2850.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                       | Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1                               | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101619 | PA      | $84109.95     | 0.08%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                        | Genesee & Wyoming, Inc., First Lien, Initial CME Term Loan                        | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |     79200 | PA      | $78979.82     | 0.08%             | 2031-04-10      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                       | Venture Global LNG, Inc.                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    260000 | PA      | $273175.58    | 0.27%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                   | Ameren Corp.                                                                      | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112511.70    | 0.11%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2020-76, Class BI                                                    | CUSIP: 3136BCLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1766810 | PA      | $405954.38    | 0.40%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3053000 | PA      | $-54768.74    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                    | Aker BP ASA                                                                       | CUSIP: 00973RAL7<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $154765.71    | 0.15%             | 2028-06-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4794400 | PA      | $1664.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                             | Energy Transfer LP                                                                | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    270000 | PA      | $277863.16    | 0.27%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK                                                           | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2708029 | PA      | $220544.34    | 0.22%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                     | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C               | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $110970.66    | 0.11%             | 2051-06-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $59.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                         | New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153000 | PA      | $128129.57    | 0.13%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC / Prime Finance, Inc.     | Prime Security Services Borrower LLC / Prime Finance, Inc.                        | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $120067.12    | 0.12%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                          | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                          | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    106924 | PA      | $103411.82    | 0.10%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                          | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class D                  | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $168475.00    | 0.17%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates           | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                 | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     85762 | PA      | $76956.11     | 0.08%             | 2047-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Republic of Montenegro                                         | Montenegro Government Bond                                                        | CUSIP: N/A<br>LEI: 747800V014106FYLL014       | Long             | DBT              | NUSS              | ME        |    130000 | PA      | $153531.73    | 0.15%             | 2032-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                             | VICI Properties LP                                                                | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    275000 | PA      | $278264.00    | 0.27%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                    | FIGRE Trust, Series 2025-FL1, Class A1                                            | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141248 | PA      | $141790.96    | 0.14%             | 2055-07-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    182000 | PA      | $-18578.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                               | CMS Energy Corp.                                                                  | CUSIP: 125896BX7<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     33000 | PA      | $36217.50     | 0.04%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP / RHP Finance Corp.                    | RHP Hotel Properties LP / RHP Finance Corp.                                       | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $41222.60     | 0.04%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                    | Carvana Co.                                                                       | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112475.00    | 0.11%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-67.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                           | Owens-Brockway Glass Container, Inc., First Lien, CME Term Loan                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     64293 | PA      | $64252.60     | 0.06%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust             | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $115012.29    | 0.11%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                            | Benin Government Bond                                                             | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |    210000 | PA      | $227327.03    | 0.22%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $169745.58    | 0.17%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara      | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                         | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $205735.00    | 0.20%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H03, Class AI                                                   | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643020 | PA      | $26184.43     | 0.03%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                      | ATI, Inc.                                                                         | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    265000 | PA      | $260761.83    | 0.26%             | 2029-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     56400 | PA      | $6135.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                           | WaMu Asset-Backed Certificates Trust, Series 2007-HE4, Class 1A                   | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100780 | PA      | $76143.94     | 0.08%             | 2047-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    210000 | PA      | $18837.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Datadog, Inc.                                                  | Datadog, Inc.                                                                     | CUSIP: 23804LAC7<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |     53000 | PA      | $52602.50     | 0.05%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2984560.68   | 2.94%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                        | Quikrete Holdings, Inc.                                                           | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104044.87    | 0.10%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WestJet Loyalty LP                                             | WestJet Loyalty LP, First Lien, Initial CME Term Loan                             | CUSIP: C9763HAB3<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     98500 | PA      | $98737.88     | 0.10%             | 2031-02-14      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                              | Standard Building Solutions, Inc.                                                 | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71001.36     | 0.07%             | 2033-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2012-140, Class IC                                                   | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548255 | PA      | $89773.36     | 0.09%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                   | GS Mortgage Securities Trust, Series 2014-GC24, Class B                           | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244000 | PA      | $235688.75    | 0.23%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                         | UBS AG                                                                            | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $269213.23    | 0.27%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                             | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $201154.70    | 0.20%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Istanbul Metropolitan Municipality                             | Istanbul Metropolitan Municipality                                                | CUSIP: N/A<br>LEI: 213800T1VDQSNKA2MD76       | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $219574.55    | 0.22%             | 2028-12-06      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Encore Capital Group, Inc.                                     | Encore Capital Group, Inc.                                                        | CUSIP: 292554AQ5<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    250000 | PA      | $264102.50    | 0.26%             | 2029-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Guidewire Software, Inc.                                       | Guidewire Software, Inc.                                                          | CUSIP: 40171VAB6<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |     56000 | PA      | $65269.29     | 0.06%             | 2029-11-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bentley Systems, Inc.                                          | Bentley Systems, Inc.                                                             | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |     47000 | PA      | $44368.00     | 0.04%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    544000 | PA      | $-37994.12    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, 30 Year                                                                     | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13814 | PA      | $14001.99     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    288900 | PA      | $9164.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                           | JPMorgan Chase & Co.                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    540000 | PA      | $550834.32    | 0.54%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                             | Dominican Republic Government Bond                                                | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    420000 | PA      | $434322.00    | 0.43%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-42                                                              | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373834 | PA      | $73530.78     | 0.07%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Albaugh LLC                                                    | Albaugh LLC, First Lien, Initial CME Term Loan                                    | CUSIP: 01260HAH8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    129664 | PA      | $129920.82    | 0.13%             | 2029-04-06      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Patrick Industries, Inc.                                       | Patrick Industries, Inc.                                                          | CUSIP: 703343AG8<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     25000 | PA      | $40650.00     | 0.04%             | 2028-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Rand Parent LLC                                                | Rand Parent LLC, First Lien, CME Term Loan, B                                     | CUSIP: 75223LAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    116653 | PA      | $116319.35    | 0.11%             | 2030-03-18      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| McAfee Corp.                                                   | McAfee Corp., First Lien, CME Term Loan, B1                                       | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    128702 | PA      | $123313.02    | 0.12%             | 2029-03-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                 | HarborView Mortgage Loan Trust, Series 2005-2, Class 1A                           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168343 | PA      | $46495.63     | 0.05%             | 2035-05-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H06, Class DI                                                   | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745525 | PA      | $29713.65     | 0.03%             | 2065-07-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                    | Caesars Entertainment, Inc., First Lien, CME Term Loan, B1                        | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    132975 | PA      | $132836.71    | 0.13%             | 2031-02-06      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                            | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303955 | PA      | $293933.57    | 0.29%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                      | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class B              | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262000 | PA      | $253585.24    | 0.25%             | 2048-09-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, 30 Year                                                                     | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1475 | PA      | $1507.13      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1322.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                            | Constellation Energy Generation LLC                                               | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134396.14    | 0.13%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    714100 | PA      | $18599.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Aris Water Holdings LLC                                        | Aris Water Holdings LLC                                                           | CUSIP: 04041NAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121500.21    | 0.12%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings, Inc.                             | Nationstar Mortgage Holdings, Inc.                                                | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $172342.26    | 0.17%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5011, Class SA                                                      | CUSIP: 3137FVT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1864769 | PA      | $261937.94    | 0.26%             | 2050-09-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                             | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |  20943113 | NS      | $20943113.24  | 20.66%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1116.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H11, Class DI                                                   | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801315 | PA      | $39220.39     | 0.04%             | 2067-05-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $925.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                      | Seagate Data Storage Technology Pte. Ltd.                                         | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     95000 | PA      | $96892.02     | 0.10%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fluor Corp.                                                    | Fluor Corp.                                                                       | CUSIP: 343412AJ1<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | DBT              | CORP              | US        |     41000 | PA      | $48749.00     | 0.05%             | 2029-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                       | Electricite de France SA                                                          | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    200000 | PA      | $232044.60    | 0.23%             | 2033-03-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                   | DaVita, Inc.                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15480.57     | 0.02%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR Debt Notes, Series 2016-DNA1, Class B                                 | CUSIP: 3137G0HZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016533 | PA      | $1042208.56   | 1.03%             | 2028-07-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                           | Bulgaria Government Bond                                                          | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |    100000 | PA      | $121096.89    | 0.12%             | 2032-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                          | Clydesdale Acquisition Holdings, Inc.                                             | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118058.43    | 0.12%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-H25, Class EI                                                   | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499747 | PA      | $14900.96     | 0.01%             | 2065-10-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                      | ATI, Inc.                                                                         | CUSIP: 01741RAN2<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15757.35     | 0.02%             | 2030-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     15000 | PA      | $422.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                                  | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116928 | PA      | $111343.70    | 0.11%             | 2037-02-26      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                             | Southern Co. (The)                                                                | CUSIP: 842587DP9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     60000 | PA      | $67605.00     | 0.07%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-310.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                             | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16940.00     | 0.02%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Lumentum Holdings, Inc.                                        | Lumentum Holdings, Inc.                                                           | CUSIP: 55024UAJ8<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |     61000 | PA      | $70180.50     | 0.07%             | 2032-03-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                          | Axon Enterprise, Inc.                                                             | CUSIP: 05464CAB7<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      9000 | PA      | $28248.75     | 0.03%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    575000 | PA      | $-35968.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                             | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                    | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    252139 | PA      | $257024.47    | 0.25%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    132000 | PA      | $8868.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Exact Sciences Corp.                                           | Exact Sciences Corp.                                                              | CUSIP: 30063PAE5<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |     67000 | PA      | $62676.49     | 0.06%             | 2031-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                          | NextEra Energy Capital Holdings, Inc.                                             | CUSIP: 65339KCY4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     43000 | PA      | $50890.50     | 0.05%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                | Virginia Electric and Power Co., Series A                                         | CUSIP: 927804GB4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    295000 | PA      | $281707.93    | 0.28%             | 2029-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     16000 | PA      | $1067.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Magnera Corp.                                                  | Magnera Corp.                                                                     | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |    130000 | PA      | $115205.09    | 0.11%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     81000 | PA      | $4630.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                    | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     73000 | PA      | $70020.56     | 0.07%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                | FirstCash, Inc.                                                                   | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    213000 | PA      | $220424.75    | 0.22%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust             | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class D      | CUSIP: 61762MBC4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $190129.39    | 0.19%             | 2046-07-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1686.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2005-65CB, Class 2A1                               | CUSIP: 12668AY90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255284 | PA      | $157546.48    | 0.16%             | 2035-12-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ambipar Lux SARL                                               | Ambipar Lux SARL                                                                  | CUSIP: 02319WAB7<br>LEI: 9845008C0E14F9BDEK55 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $33622.00     | 0.03%             | 2033-02-05      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    163000 | PA      | $-18153.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                         | Egypt Government Bond                                                             | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    260000 | PA      | $270064.47    | 0.27%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp.                                            | Bausch + Lomb Corp., First Lien, New CME Term Loan                                | CUSIP: C0787FAG7<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     70737 | PA      | $70825.27     | 0.07%             | 2028-09-29      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                   | Mattel, Inc.                                                                      | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    155000 | PA      | $150507.00    | 0.15%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2010-35, Class SG                                                    | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187747 | PA      | $21560.05     | 0.02%             | 2040-04-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                               | Boeing Co. (The)                                                                  | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7535.25      | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10856 | PA      | $9788.08      | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15141 | PA      | $15162.21     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1311400 | PA      | $211284.27    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-21.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIRECTV Financing LLC                                          | DIRECTV Financing LLC, First Lien, 2024 Refinancing CME Term Loan, B              | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    229458 | PA      | $230139.27    | 0.23%             | 2029-08-02      | Variable      | 9.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022984 | PA      | $31861.04     | 0.03%             | 2067-03-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17483 | PA      | $17593.74     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nutanix, Inc.                                                  | Nutanix, Inc.                                                                     | CUSIP: 67059NAJ7<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |     42000 | PA      | $47384.49     | 0.05%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Energo - Pro A/S                                               | Energo - Pro A/S                                                                  | CUSIP: N/A<br>LEI: 315700IQCL9IX158RO36       | Long             | DBT              | CORP              | CZ        |    200000 | PA      | $211290.99    | 0.21%             | 2028-11-02      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    867000 | PA      | $87175.90     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2016-3, Class NI                                                     | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385825 | PA      | $56279.19     | 0.06%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4027000 | PA      | $33825.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2007-OH1, Class A1D                                | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59749 | PA      | $52763.42     | 0.05%             | 2047-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                   | DaVita, Inc.                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113720.86    | 0.11%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust LP                                        | Digital Realty Trust LP                                                           | CUSIP: 25389JAX4<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78937.50     | 0.08%             | 2029-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  13919000 | PA      | $16755.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    800600 | PA      | $81701.80     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                          | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                  | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1798884 | PA      | $84645.23     | 0.08%             | 2052-08-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                         | DataBank Issuer II LLC, Series 2025-1A, Class A2                                  | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287000 | PA      | $287820.07    | 0.28%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Carnival plc                                                   | Carnival plc                                                                      | CUSIP: N/A<br>LEI: 4DR1VPDQMHD3N3QW8W95       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $119026.76    | 0.12%             | 2031-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2311000 | PA      | $5366.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    137100 | PA      | $18786.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                               | ArcelorMittal SA                                                                  | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    135000 | PA      | $151737.47    | 0.15%             | 2039-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Outfront Media Capital LLC / Outfront Media Capital Corp.      | Outfront Media Capital LLC / Outfront Media Capital Corp.                         | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $84640.84     | 0.08%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TGNR Intermediate Holdings LLC                                 | TGNR Intermediate Holdings LLC                                                    | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122414.94    | 0.12%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1549652 | PA      | $229645.23    | 0.23%             | 2056-08-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment LLC                                     | Fertitta Entertainment LLC, First Lien, Initial CME Term Loan, B                  | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    119087 | PA      | $119050.42    | 0.12%             | 2029-01-29      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC      | Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC                         | CUSIP: 60672JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $123345.36    | 0.12%             | 2032-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     91000 | PA      | $-354.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2019-89, Class PS                                                    | CUSIP: 38381W6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1832528 | PA      | $241804.39    | 0.24%             | 2049-07-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2017-H12, Class QI                                                   | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    765088 | PA      | $29599.73     | 0.03%             | 2067-05-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| OneSky Flight LLC                                              | OneSky Flight LLC                                                                 | CUSIP: 68278CAA3<br>LEI: 549300PM6NEPXGG5B882 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115776.43    | 0.11%             | 2029-12-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                    | Philippines Government Bond                                                       | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    220000 | PA      | $234365.04    | 0.23%             | 2035-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                   | Royal Caribbean Cruises Ltd.                                                      | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     72000 | PA      | $74354.00     | 0.07%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                 | NCL Corp. Ltd.                                                                    | CUSIP: 62886HBS9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     25000 | PA      | $29546.88     | 0.03%             | 2030-04-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                           | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                  | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4849842 | PA      | $265537.12    | 0.26%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $85.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $441.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                            | Station Casinos LLC                                                               | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    165000 | PA      | $155792.16    | 0.15%             | 2031-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                        | Quikrete Holdings, Inc., First Lien, CME Term Loan, B2                            | CUSIP: 74839XAK5<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    117899 | PA      | $118104.96    | 0.12%             | 2029-03-19      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Flash Charm, Inc.                                              | Flash Charm, Inc., First Lien, CME Term Loan, B2                                  | CUSIP: 45168RAT0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118798 | PA      | $104542.35    | 0.10%             | 2028-03-02      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4797000 | PA      | $-24908.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                             | Seagate HDD Cayman                                                                | CUSIP: 81180WBL4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     30000 | PA      | $86456.25     | 0.09%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd.                                         | Black Diamond CLO Ltd., Series 2024-1A, Class D1                                  | CUSIP: 09204UAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    260000 | PA      | $263840.43    | 0.26%             | 2037-10-25      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H10, Class AI                                                   | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071551 | PA      | $30089.15     | 0.03%             | 2066-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    170000 | PA      | $-2076.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                           | BBCMS Mortgage Trust, Series 2024-C26, Class XA                                   | CUSIP: 05555AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590789 | PA      | $114122.26    | 0.11%             | 2057-05-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Cogent Communications Group LLC / Cogent Finance, Inc.         | Cogent Communications Group LLC / Cogent Finance, Inc.                            | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $141046.65    | 0.14%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings, Inc.                                          | WEC US Holdings, Inc., First Lien, Initial CME Term Loan                          | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    118800 | PA      | $118972.85    | 0.12%             | 2031-01-27      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1655000 | PA      | $-10909.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1378000 | PA      | $4429.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CrossCountry Intermediate HoldCo LLC                           | CrossCountry Intermediate HoldCo LLC                                              | CUSIP: 22757VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35172.54     | 0.03%             | 2030-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1021743.92   | 1.01%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                          | Coinbase Global, Inc.                                                             | CUSIP: 19260QAF4<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     26000 | PA      | $32740.50     | 0.03%             | 2030-04-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                        | GSR Mortgage Loan Trust, Series 2007-OA1, Class 2A3A                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109181 | PA      | $60370.60     | 0.06%             | 2037-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                          | Spectrum Brands, Inc.                                                             | CUSIP: 84762LAZ8<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19566.75     | 0.02%             | 2029-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                      | Duke Energy Carolinas LLC, Series A                                               | CUSIP: 264399DK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    130000 | PA      | $137008.64    | 0.14%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2019-96, Class SY                                                    | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3067437 | PA      | $392502.79    | 0.39%             | 2049-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                         | Cleveland-Cliffs, Inc.                                                            | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30931.80     | 0.03%             | 2034-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Phoenix Newco, Inc.                                            | Phoenix Newco, Inc., First Lien, Sixth Amendment CME Term Loan                    | CUSIP: 71911KAE4<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    131543 | PA      | $131802.97    | 0.13%             | 2028-11-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    971300 | PA      | $40998.52     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    465000 | PA      | $8390.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-129.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verisure Midholding AB                                         | Verisure Midholding AB                                                            | CUSIP: N/A<br>LEI: 549300496LYEZ55X1M49       | Long             | DBT              | CORP              | SE        |    285000 | PA      | $337528.68    | 0.33%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                            | Peer Holding III BV, First Lien, CME Term Loan, B                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | NL        |     59438 | PA      | $59568.43     | 0.06%             | 2032-09-27      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 374, Class 6                                                         | CUSIP: 3136FCZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34987 | PA      | $5719.03      | 0.01%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM Mortgage Trust, Series 2014-CR16, Class C                                    | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $269221.44    | 0.27%             | 2047-04-10      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                         | Cleveland-Cliffs, Inc.                                                            | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55616.83     | 0.05%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B               | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    494375 | PA      | $520702.28    | 0.51%             | 2028-10-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                     | Aviation Capital Group LLC                                                        | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138343.50    | 0.14%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-87.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Transocean Poseidon Ltd.                                       | Transocean Poseidon Ltd.                                                          | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     54000 | PA      | $54108.48     | 0.05%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1249.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     81200 | PA      | $9900.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                          | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D                  | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    247235 | PA      | $29905.53     | 0.03%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    288900 | PA      | $9372.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                          | Ashtead Capital, Inc.                                                             | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198452.58    | 0.20%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $106.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                 | Carnival Corp.                                                                    | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     45000 | PA      | $45974.52     | 0.05%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Antero Resources Corp.                                         | Antero Resources Corp.                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    145000 | PA      | $145950.04    | 0.14%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust      | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                         | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $201879.31    | 0.20%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                | Air Lease Corp.                                                                   | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $309080.69    | 0.30%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I plc                                     | Vmed O2 UK Financing I plc                                                        | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |    135000 | PA      | $152587.90    | 0.15%             | 2031-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    283000 | PA      | $32766.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier, Inc.                                               | Bombardier, Inc.                                                                  | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    265000 | PA      | $277304.74    | 0.27%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                         | Chart Industries, Inc., First Lien, Amendment No. 7 CME Term Loan                 | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |    226327 | PA      | $227883.22    | 0.22%             | 2030-03-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2016-H03, Class DI                                                   | CUSIP: 38376RNT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613997 | PA      | $20165.50     | 0.02%             | 2065-12-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                       | Spirit AeroSystems, Inc.                                                          | CUSIP: 85205TAR1<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     73000 | PA      | $80376.21     | 0.08%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                     | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class A5              | CUSIP: 46645LAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74000 | PA      | $73721.75     | 0.07%             | 2049-03-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.          | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                             | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $247749.27    | 0.24%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Commvault Systems, Inc.                                        | Commvault Systems, Inc.                                                           | CUSIP: 204166AA0<br>LEI: 65T5VRP62VXG39YFML83 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21724.50     | 0.02%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D                         | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    149260 | PA      | $85824.46     | 0.08%             | 2046-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-79, Class GI                                                    | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140711 | PA      | $29018.84     | 0.03%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                     | Southern Gas Corridor CJSC                                                        | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |    220000 | PA      | $222749.04    | 0.22%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 378, Class 19                                                        | CUSIP: 3136FEMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93279 | PA      | $12911.67     | 0.01%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Box, Inc.                                                      | Box, Inc.                                                                         | CUSIP: 10316TAD6<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |     39000 | PA      | $39292.50     | 0.04%             | 2029-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                              | Rocket Cos., Inc.                                                                 | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $124003.68    | 0.12%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                      | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    155000 | PA      | $151868.36    | 0.15%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                    | Toronto-Dominion Bank (The)                                                       | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $96343.35     | 0.10%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                  | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8067153.76   | 7.96%             | 2055-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2019-43, Class JS                                                    | CUSIP: 3136B5A54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916192 | PA      | $103031.02    | 0.10%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                         | Tenet Healthcare Corp.                                                            | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    260000 | PA      | $269379.18    | 0.27%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Osaic Holdings, Inc.                                           | Osaic Holdings, Inc.                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36177.96     | 0.04%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                          | Guatemala Government Bond                                                         | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |    420000 | PA      | $445073.30    | 0.44%             | 2036-06-13      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Liberty Media Corp.-Liberty Formula One Corp.                  | Liberty Media Corp.-Liberty Formula One Corp.                                     | CUSIP: 531229AQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $78381.50     | 0.08%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1272000 | PA      | $-1306.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Zegona Finance plc                                             | Zegona Finance plc                                                                | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $213266.00    | 0.21%             | 2029-07-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    248000 | PA      | $-702.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2021-116, Class ES                                                   | CUSIP: 38382WSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2269414 | PA      | $269110.95    | 0.27%             | 2047-11-20      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                         | Alternative Loan Trust, Series 2005-38, Class A1                                  | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198551 | PA      | $179842.42    | 0.18%             | 2035-09-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                            | Newell Brands, Inc.                                                               | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7915.26      | 0.01%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1503.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rivian Automotive, Inc.                                        | Rivian Automotive, Inc.                                                           | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |     36000 | PA      | $37390.50     | 0.04%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                               | Welltower OP LLC                                                                  | CUSIP: 95041AAD0<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     32000 | PA      | $47072.00     | 0.05%             | 2029-07-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4794400 | PA      | $53.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance, Inc.                          | Acrisure LLC / Acrisure Finance, Inc.                                             | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $125103.60    | 0.12%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 304, Class C37                                                      | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16314 | PA      | $322.64       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vertex, Inc.                                                   | Vertex, Inc.                                                                      | CUSIP: 92538JAB2<br>LEI: 549300QMYW171MP1PL50 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25500.00     | 0.03%             | 2029-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                             | T-Mobile USA, Inc.                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    545000 | PA      | $529269.03    | 0.52%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2019-83, Class SY                                                    | CUSIP: 38381XBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1294721 | PA      | $161721.64    | 0.16%             | 2049-07-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 5093, Class YI                                                      | CUSIP: 3137FYLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1378247 | PA      | $329162.44    | 0.32%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1703900 | PA      | $208445.47    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| CPM Holdings, Inc.                                             | CPM Holdings, Inc., First Lien, Initial CME Term Loan                             | CUSIP: 12620BAR1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    100281 | PA      | $100171.66    | 0.10%             | 2028-09-28      | Variable      | 8.78%                 | No            |                  2 | On Loan: No      |
| Transocean Titan Financing Ltd.                                | Transocean Titan Financing Ltd.                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     40476 | PA      | $41581.27     | 0.04%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                      | Viper Energy Partners LLC                                                         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     16000 | PA      | $16277.52     | 0.02%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Playtika Holding Corp.                                         | Playtika Holding Corp., First Lien, CME Term Loan, B1                             | CUSIP: 72814CAF5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | LON              | CORP              | US        |     99740 | PA      | $98349.21     | 0.10%             | 2028-03-13      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Kodiak Gas Services LLC                                        | Kodiak Gas Services LLC                                                           | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35958.34     | 0.04%             | 2035-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2863.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verde Purchaser LLC                                            | Verde Purchaser LLC, First Lien, Second Refinancing CME Term Loan                 | CUSIP: 92338TAB2<br>LEI: 2549004HFEKMUGBG3Z35 | Long             | LON              | CORP              | US        |     19605 | PA      | $19435.23     | 0.02%             | 2030-11-30      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                             | Southern Co. (The)                                                                | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    170000 | PA      | $176840.71    | 0.17%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA, Series 2015-30                                                              | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605257 | PA      | $82541.91     | 0.08%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                | TransDigm, Inc.                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93332.70     | 0.09%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2019-152, Class ES                                                   | CUSIP: 38382BH89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771671 | PA      | $93239.10     | 0.09%             | 2049-12-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1735300 | PA      | $35269.73     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | U.S. Treasury 10 Year Ultra Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-11530.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Northwoods Capital 22 Ltd.                                     | Northwoods Capital 22 Ltd., Series 2020-22A, Class DRR                            | CUSIP: 66858HBG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $254094.26    | 0.25%             | 2031-09-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Solstice Advanced Materials, Inc.                              | Solstice Advanced Materials, Inc.                                                 | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |    265000 | PA      | $266041.15    | 0.26%             | 2033-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CACI International, Inc.                                       | CACI International, Inc.                                                          | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103280.07    | 0.10%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $530.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                       | Benchmark Mortgage Trust, Series 2024-V10, Class XA                               | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3820749 | PA      | $171652.87    | 0.17%             | 2057-09-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Clean Harbors, Inc.                                            | Clean Harbors, Inc., First Lien, CME Term Loan                                    | CUSIP: 18449EAJ9<br>LEI: 5493000SJVZVZJKHJF48 | Long             | LON              | CORP              | US        |    129817 | PA      | $130466.25    | 0.13%             | 2032-09-24      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                | JH North America Holdings, Inc.                                                   | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10162.05     | 0.01%             | 2031-01-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1703900 | PA      | $35302.97     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Nova Ltd.                                                      | Nova Ltd.                                                                         | CUSIP: 66982MAA2<br>LEI: 529900B2DSWE5V3SC292 | Long             | DBT              | CORP              | IL        |     21000 | PA      | $25297.52     | 0.02%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                      | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125592.81    | 0.12%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1108000 | PA      | $-3118.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127000 | PA      | $9686.54      | 0.01%             | 2046-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    210000 | PA      | $18837.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                        | Volkswagen Group of America Finance LLC                                           | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189082.63    | 0.19%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Veritiv Operating Co.                                          | Veritiv Operating Co.                                                             | CUSIP: 92339LAA0<br>LEI: 5493004G8OK5L1UTIY12 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26861.95     | 0.03%             | 2030-11-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                               | Boeing Co. (The)                                                                  | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     92000 | PA      | $90158.66     | 0.09%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                               | Boeing Co. (The)                                                                  | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    267000 | PA      | $283428.96    | 0.28%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Republic of Armenia                                            | Armenia Government Bond                                                           | CUSIP: N/A<br>LEI: 5299000H77JSW90G7935       | Long             | DBT              | NUSS              | AM        |    200000 | PA      | $180668.45    | 0.18%             | 2031-02-02      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                       | EquipmentShare.com, Inc.                                                          | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121839.40    | 0.12%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Waystar Technologies, Inc.                                     | Waystar Technologies, Inc., First Lien, Initial CME Term Loan                     | CUSIP: 63939WAN3<br>LEI: 549300BIRBTAWWHCSZ09 | Long             | LON              | CORP              | US        |     55115 | PA      | $55218.55     | 0.05%             | 2029-10-22      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Cloudflare, Inc.                                               | Cloudflare, Inc.                                                                  | CUSIP: 18915MAE7<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |     40000 | PA      | $45520.00     | 0.04%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     95000 | PA      | $-14744.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk                       | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2        | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $478263.29    | 0.47%             | 2051-11-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Wayfair, Inc.                                                  | Wayfair, Inc.                                                                     | CUSIP: 94419LAP6<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     53000 | PA      | $80892.70     | 0.08%             | 2027-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1917.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                        | SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A4                 | CUSIP: 78419CAD6<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $257091.81    | 0.25%             | 2048-10-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                | TransDigm, Inc.                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36077.83     | 0.04%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                           | FNMA Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $159123.33    | 0.16%             | 2040-01-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1371000 | PA      | $-10009.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $148.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1218400 | PA      | $20061.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  50420000 | PA      | $-99719.11    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                    | Caesars Entertainment, Inc.                                                       | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    131000 | PA      | $134830.76    | 0.13%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B2                               | CUSIP: 35565WBE1<br>LEI: 5493000ITGOA1OPGRQ72 | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $309347.38    | 0.31%             | 2050-06-25      | Floating      | 13.82%                | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    800600 | PA      | $21186.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1519.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                     | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class B              | CUSIP: 46643ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $106831.85    | 0.11%             | 2047-09-15      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA, Series 2015-H23, Class BI                                                   | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788624 | PA      | $17684.90     | 0.02%             | 2065-09-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-396.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                               | CSC Holdings LLC, First Lien, Term Loan, B5                                       | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     93516 | PA      | $90710.14     | 0.09%             | 2027-04-15      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                 | Morgan Stanley Capital I Trust, Series 2018-H3, Class C                           | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $116452.84    | 0.11%             | 2051-07-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UKG, Inc.                                                      | UKG, Inc., First Lien, Initial CME Term Loan                                      | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    118800 | PA      | $118816.04    | 0.12%             | 2031-02-10      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| United States of America                                       | U.S. Treasury Note                                                                | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    133000 | PA      | $133000.00    | 0.13%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                          | FHLMC, Series 4000, Class PI                                                      | CUSIP: 3137ALYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105147 | PA      | $13972.87     | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Waste Pro USA, Inc.                                            | Waste Pro USA, Inc.                                                               | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    240000 | PA      | $249191.28    | 0.25%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -4794400 | PA      | $-25.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kodiak Gas Services LLC                                        | Kodiak Gas Services LLC                                                           | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50940.04     | 0.05%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                   | Royal Caribbean Cruises Ltd.                                                      | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    143000 | PA      | $146700.96    | 0.14%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                   | Hess Midstream Operations LP                                                      | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $150361.27    | 0.15%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Putnam Variable Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer