# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001752724-23-049061
**Filing Date:** 2023-3
**Character Count:** 167069
**Document Hash:** d08f9d4e9a1c534d7f57929387b5b0c8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049061.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049061

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 23690776

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WRL SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Transamerica PIMCO Tactical - Balanced VP (Series ID: S000025013)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000074411 | Service      |  |
| C000074412 | Initial      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica PIMCO Tactical - Balanced VP

- **b. EDGAR series identifier (if any):** S000025013

- **c. LEI of Series:** ORDRJRZD3R02SUDTBU79

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $447747933.87

**Total Liabilities:** $71929036.86

**Net Assets:** $375818897.01

**Delayed Delivery Securities:** $47637652.37

**Cash Not Reported:** $3942072.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -336.69000000 | **1-Year:** -6746.79000000 | **5-Year:** -18250.73000000 | **10-Year:** -16038.00000000 | **30-Year:** -10503.38000000

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

- **3-Month:** -25.40000000 | **1-Year:** -915.54000000 | **5-Year:** 9243.56000000 | **10-Year:** -2551.19000000 | **30-Year:** -1887.45000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074412 | 0.58%                | 4.46%                | -2.41%               |
| Class ID C000074411 | 0.47%                | 4.56%                | -2.46%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1592206.76             | $-2299143.47                               |
| Month 2  | $60397.57                | $7669554.45                                |
| Month 3  | $-412401.21              | $-360402.13                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMER AIRLINE 16-3 A PTT                                                         | American Airlines Pass-Through Trust                                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    144282 | PA      | $112107.53    | 0.03%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                                                            | Ferguson Finance PLC                                                              | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $678681.82    | 0.18%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | Broadcom, Inc.                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    400000 | PA      | $288224.73    | 0.08%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                          | Mizuho Financial Group, Inc.                                                      | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $500212.24    | 0.13%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: —       |
| SKYWORKS SOLUTIONS INC                                                          | Skyworks Solutions, Inc.                                                          | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    400000 | PA      | $352217.38    | 0.09%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                 | CUSIP: 95000U2F9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $463630.00    | 0.12%             | 2027-06-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                          | Mitsubishi UFJ Financial Group, Inc.                                              | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $553880.10    | 0.15%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                        | Lloyds Banking Group PLC                                                          | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $380285.28    | 0.10%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | Global Payments, Inc.                                                             | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    800000 | PA      | $777415.42    | 0.21%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                            | Birch Grove CLO Ltd.                                                              | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1173848.40   | 0.31%             | 2031-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                                             | Sound Point CLO IX Ltd.                                                           | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $194453.60    | 0.05%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2014                                                        | CVS Pass-Through Trust                                                            | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72317 | PA      | $62926.58     | 0.02%             | 2036-08-11      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15300000 | PA      | $14365880.53  | 3.82%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                         | Purchased PEN / Sold USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |         1 | NC      | $655.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAB HOLDINGS BV                                                                 | JAB Holdings BV                                                                   | CUSIP: 46653KAA6<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $187974.54    | 0.05%             | 2030-11-23      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Berry Global Inc                                                                | Berry Global, Inc.                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    700000 | PA      | $672957.14    | 0.18%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                        | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88408.84     | 0.02%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13800000 | PA      | $9513914.03   | 2.53%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Zephyrus Capital Aviation Partners 2018-1 LLC                                   | Zephyrus Capital Aviation Partners LLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    715893 | PA      | $605170.51    | 0.16%             | 2038-10-15      | Fixed         | 4.61%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515527.42    | 0.14%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                          | Marriott International, Inc.                                                      | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    300000 | PA      | $242844.45    | 0.06%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | Dominican Republic International Bonds                                            | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    600000 | PA      | $498045.01    | 0.13%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                                        | Blackstone Holdings Finance Co. LLC                                               | CUSIP: 09261BAJ9<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402417.09    | 0.11%             | 2027-11-03      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs & Co. LLC                                                         | Goldman Sachs & Co. LLC                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |  50000000 | PA      | $50000000.00  | 13.30%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                          | Mitsubishi UFJ Financial Group, Inc.                                              | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $440708.90    | 0.12%             | 2028-01-19      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | Citigroup, Inc.                                                                   | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1193500.00   | 0.32%             | 2026-02-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                            | Purchased USD / Sold PEN                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-523.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AHS Hospital Corp                                                               | AHS Hospital Corp.                                                                | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $579935.35    | 0.15%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                                    | Illumina, Inc.                                                                    | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    200000 | PA      | $160635.34    | 0.04%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -100000 | NC      | $-3313.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC (THE)                                                            | Weir Group PLC                                                                    | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $443944.06    | 0.12%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375UXM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1435245 | PA      | $1416766.83   | 0.38%             | 2066-05-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                                                         | United Airlines Pass-Through Trust                                                | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    662121 | PA      | $535433.65    | 0.14%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                  | Structured Adjustable Rate Mortgage Loan Trust                                    | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278223 | PA      | $209759.28    | 0.06%             | 2035-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                                                | Man GLG Euro CLO VI DAC                                                           | CUSIP: 000000000<br>LEI: 635400D8TYQFYNLHNR61 | Long             | ABS-CBDO         | CORP              | IE        |    499719 | PA      | $518651.99    | 0.14%             | 2032-10-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                        | Santander U.K. Group Holdings PLC                                                 | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $387585.61    | 0.10%             | 2032-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                                             | Sound Point CLO XV Ltd.                                                           | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    224016 | PA      | $221147.87    | 0.06%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $3274984.35   | 0.87%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                                                        | LeasePlan Corp. NV                                                                | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $562860.25    | 0.15%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                      | FIXED INC CLEARING CORP.REPO                                                      | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        | 119118557 | PA      | $119118557.13 | 31.70%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                                 | Nordea Bank Abp                                                                   | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $201252.45    | 0.05%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency                                 | PHEAA Student Loan Trust                                                          | CUSIP: 69343VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234498 | PA      | $232496.52    | 0.06%             | 2065-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $2069484.38   | 0.55%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| DAE FUNDING LLC                                                                 | DAE Funding LLC                                                                   | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279287.74    | 0.07%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $262303.90    | 0.07%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                   | NYO Commercial Mortgage Trust                                                     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $634184.39    | 0.17%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97502.01     | 0.03%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1598000 | PA      | $1290884.38   | 0.34%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| VICI PROPERTIES LP                                                              | VICI Properties LP                                                                | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    500000 | PA      | $473669.03    | 0.13%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1541250.00   | 0.41%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                                | MortgageIT Trust                                                                  | CUSIP: 61915RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19456 | PA      | $18531.77     | 0.00%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                                                     | Towd Point Mortgage Funding PLC                                                   | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    839067 | PA      | $1011229.09   | 0.27%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                             | Midocean Credit CLO VIII                                                          | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295362.30    | 0.08%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                             | Jazz Securities DAC                                                               | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $178230.00    | 0.05%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Texas Transportation Commission State Highway Fund                              | Texas Transportation Commission State Highway Fund                                | CUSIP: 88283LKV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | PA      | $545483.82    | 0.15%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC Holdings PLC                                                                 | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $314836.39    | 0.08%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | State Street Corp.                                                                | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103428.78    | 0.03%             | 2028-11-04      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                                                        | First American Financial Corp.                                                    | CUSIP: 31847RAE2<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99897.04     | 0.03%             | 2023-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                                    | State Street Navigator Securities Lending Government Money Market Portfolio       | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |  10014112 | NS      | $10014112.00  | 2.66%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2510000 | PA      | $2127323.04   | 0.57%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                        | Charter Communications Operating LLC/Charter Communications Operating Capital     | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $58078.04     | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO X LTD                                                          | Marble Point CLO X Ltd.                                                           | CUSIP: 566061AL1<br>LEI: 549300PJ1FVY9B16K017 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $391932.00    | 0.10%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29497 | PA      | $22613.72     | 0.01%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                                        | Rockies Express Pipeline LLC                                                      | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $615968.85    | 0.16%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                                  | Romark CLO Ltd.                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $588058.80    | 0.16%             | 2030-10-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                                             | Sound Point CLO XVI Ltd.                                                          | CUSIP: 83610KAJ2<br>LEI: 549300ZK5CJ7PM7YBH85 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $590547.00    | 0.16%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                        | Northern States Power Co.                                                         | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $64034.17     | 0.02%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                                          | Option                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       336 | NC      | $4310880.00   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                                        | Alexandria Real Estate Equities, Inc.                                             | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    700000 | PA      | $664414.93    | 0.18%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA                                       | Los Angeles Community College District                                            | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    200000 | PA      | $239953.68    | 0.06%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| New York State Urban Development Corp                                           | New York State Urban Development Corp.                                            | CUSIP: 650036AX4<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    500000 | PA      | $415666.10    | 0.11%             | 2029-03-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FirstEnergy Corp.                                                                 | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    600000 | PA      | $529499.62    | 0.14%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1900000 | OU      | $-104703.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $-27748.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                        | Charter Communications Operating LLC/Charter Communications Operating Capital     | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $343482.12    | 0.09%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                               | HSBC Holdings PLC                                                                 | CUSIP: 404280CR8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $623470.07    | 0.17%             | 2027-07-24      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp. Strips                                           | CUSIP: 31325UUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601825 | PA      | $54911.04     | 0.01%             | 2043-09-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                             | Southern California Edison Co.                                                    | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87039.30     | 0.02%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -249 | NC      | $115336.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                         | GLP Capital LP/GLP Financing II, Inc.                                             | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $98132.81     | 0.03%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL/CAYMAN                                                        | Banco BTG Pactual SA                                                              | CUSIP: 05971AAE1<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |    600000 | PA      | $578250.00    | 0.15%             | 2025-01-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | Barclays PLC                                                                      | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $993339.67    | 0.26%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                                                          | Brookfield Finance, Inc.                                                          | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $643730.82    | 0.17%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                            | Purchased PEN / Sold USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PE        |         1 | NC      | $518.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2900000 | OU      | $513331.02    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   9300000 | OU      | $19181.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5800000 | PA      | $5100634.84   | 1.36%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                                   | Purchased USD / Sold BRL                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $37.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1613947 | PA      | $1528765.36   | 0.41%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138WET25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66530 | PA      | $62008.42     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                  | Synchrony Bank                                                                    | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493133.68    | 0.13%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    100000 | PA      | $92333.12     | 0.02%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NatWest Group PLC                                                                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $568676.77    | 0.15%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                            | Woodside Finance Ltd.                                                             | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     40000 | PA      | $38423.99     | 0.01%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | Purchased MXN / Sold USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |         1 | NC      | $79.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC INDUSTRY                                                              | Amgen, Inc.                                                                       | CUSIP: 031162DF4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $398981.81    | 0.11%             | 2052-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                         | Purchased PEN / Sold USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |         1 | NC      | $254.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                   | Purchased USD / Sold DKK                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-3756.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP Paribas SA                                                                    | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $176181.96    | 0.05%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: —       |
| OMEGA HLTHCARE INVESTORS                                                        | Omega Healthcare Investors, Inc.                                                  | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    300000 | PA      | $217703.03    | 0.06%             | 2033-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -100000 | NC      | $-277.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SES SA                                                                          | SES SA                                                                            | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $198200.72    | 0.05%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | Humana, Inc.                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511224.25    | 0.14%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                        | Discovery Communications LLC                                                      | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    608000 | PA      | $367047.19    | 0.10%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NiSource, Inc.                                                                    | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182758.50    | 0.05%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                     | Extended Stay America Trust                                                       | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683335 | PA      | $663619.80    | 0.18%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                          | CCO Holdings LLC/CCO Holdings Capital Corp.                                       | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1023066.00   | 0.27%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust                                                           | Worldwide Plaza Trust                                                             | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1288434.15   | 0.34%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 589929K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157408 | PA      | $147148.14    | 0.04%             | 2028-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                                                               | La Hipotecaria El Salvadorian Mortgage Trust                                      | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    776573 | PA      | $741519.80    | 0.20%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70000 | PA      | $58026.17     | 0.02%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |       397 | NC      | $-988247.09   | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138AUP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52466 | PA      | $52064.23     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                                        | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -2900000 | NC      | $-8644.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | Banco Santander SA                                                                | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $169123.62    | 0.05%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183035.68    | 0.05%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                                   | Purchased USD / Sold PEN                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-68856.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                                 | Sands China Ltd.                                                                  | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $369116.38    | 0.10%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    150000 | PA      | $160029.61    | 0.04%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT A                                                         | Spirit Airlines Pass-Through Trust                                                | CUSIP: 84858XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150763 | PA      | $122188.51    | 0.03%             | 2030-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31412PYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17069 | PA      | $16935.72     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS Group AG                                                                      | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $387062.67    | 0.10%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3320000 | PA      | $2888270.32   | 0.77%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       200 | NC      | $-120586.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | Duke Energy Progress LLC                                                          | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    200000 | PA      | $161246.00    | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                 | Nissan Motor Co. Ltd.                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $544637.23    | 0.14%             | 2027-09-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                           | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $286867.55    | 0.08%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                                   | Aircastle Ltd.                                                                    | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $188078.99    | 0.05%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                                                         | Midwest Connector Capital Co. LLC                                                 | CUSIP: 59833CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $484280.16    | 0.13%             | 2024-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2429578.13   | 0.65%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BEH49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115986 | PA      | $113091.01    | 0.03%             | 2041-02-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NatWest Group PLC                                                                 | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208302.09    | 0.06%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Tencent Holdings Ltd                                                            | Tencent Holdings Ltd.                                                             | CUSIP: 88032WAN6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $277113.60    | 0.07%             | 2029-04-11      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | Micron Technology, Inc.                                                           | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203851.67    | 0.05%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31415YHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13246 | PA      | $13035.94     | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                          | Federal Home Loan Banks                                                           | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3800000 | PA      | $3800012.77   | 1.01%             | 2023-01-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                               | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5900000 | PA      | $5891559.28   | 1.57%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Citibank N.A.                                                                   | Purchased PEN / Sold USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $26381.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO Harris Bank NA                                                              | BMO Harris Bank                                                                   | CUSIP: 000000000<br>LEI: 3Y4U8VZURTYWI1W2K376 | Long             | STIV             | RF                | US        |    141000 | NS      | $141000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Peru                                                                | Peruvian Government International Bonds                                           | CUSIP: 715638AX0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1200000 | PA      | $330485.50    | 0.09%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                              | Seagate HDD Cayman                                                                | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    357600 | PA      | $392215.68    | 0.10%             | 2032-12-01      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association, TBA                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700000 | PA      | $679656.25    | 0.18%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                         | GA Global Funding Trust                                                           | CUSIP: 36143L2H7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    400000 | PA      | $317734.71    | 0.08%             | 2032-01-06      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                                 | DAE Funding LLC                                                                   | CUSIP: 23371DAF1<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $560280.00    | 0.15%             | 2025-03-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL PROP INC                                                        | National Retail Properties, Inc.                                                  | CUSIP: 637417AM8<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    700000 | PA      | $584629.84    | 0.16%             | 2048-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                                              | Starwood Ltd.                                                                     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $766262.88    | 0.20%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                | Peruvian Government International Bonds                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    700000 | PA      | $168856.13    | 0.04%             | 2029-02-12      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Citibank N.A.                                                                   | Purchased EUR / Sold USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $496.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHRISTUS HEALTH                                                                 | CHRISTUS Health                                                                   | CUSIP: 17108JAA1<br>LEI: OQUVMAC1TV7BMO6XVW61 | Long             | DBT              | CORP              | US        |    600000 | PA      | $571122.47    | 0.15%             | 2028-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2000000 | OU      | $545881.55    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                         | Fremont Home Loan Trust                                                           | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296748 | PA      | $281337.64    | 0.07%             | 2035-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                            | DBUBS Mortgage Trust                                                              | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1504607.52   | 0.40%             | 2034-10-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1070000 | PA      | $886177.34    | 0.24%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERA Commercial Mortgage Ltd                                                    | HERA Commercial Mortgage Ltd.                                                     | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $772684.24    | 0.21%             | 2038-02-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP Paribas SA                                                                    | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $309041.03    | 0.08%             | 2031-02-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                           | PennyMac Financial Services, Inc.                                                 | CUSIP: 70932MAA5<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    400000 | PA      | $360489.74    | 0.10%             | 2025-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                                                     | Bell Telephone Co. of Canada or Bell Canada                                       | CUSIP: 0778FPAB5<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $245208.48    | 0.07%             | 2049-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    420000 | PA      | $297986.72    | 0.08%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                             | LCM XXV Ltd.                                                                      | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |    791432 | PA      | $775546.30    | 0.21%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -600000 | NC      | $-226.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1, LLC                                                           | LFT CRE Ltd.                                                                      | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $581037.00    | 0.15%             | 2039-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | American Express Co.                                                              | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311995.08    | 0.08%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $984242.19    | 0.26%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Helios Leasing I LLC                                                            | Helios Leasing I LLC                                                              | CUSIP: 42328BAC6<br>LEI: 549300H2L807705NLV88 | Long             | DBT              | CORP              | US        |     31684 | PA      | $30034.63     | 0.01%             | 2024-09-28      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1092101.60   | 0.29%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                        | Lloyds Banking Group PLC                                                          | CUSIP: 539439AT6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1319542.95   | 0.35%             | 2028-08-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768189 | PA      | $760501.98    | 0.20%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FIN                                                           | Liberty Utilities Finance GP 1                                                    | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $527487.04    | 0.14%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                                                | Georgia Power Co.                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    600000 | PA      | $580570.91    | 0.15%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206948.94    | 0.06%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | Boeing Co.                                                                        | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $160557.25    | 0.04%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                        | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $539485.83    | 0.14%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                        | Angel Oak Mortgage Trust                                                          | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133094 | PA      | $118904.97    | 0.03%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | Comcast Corp.                                                                     | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2152000 | PA      | $1341079.53   | 0.36%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                    | BAMLL Commercial Mortgage Securities Trust                                        | CUSIP: 05492HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $683955.23    | 0.18%             | 2036-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| TAGUA LEASING LLC                                                               | Tagua Leasing LLC                                                                 | CUSIP: 873782AC0<br>LEI: 549300NMMHVYCBECJ059 | Long             | DBT              | CORP              | US        |     36223 | PA      | $34992.23     | 0.01%             | 2024-11-16      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                             | Moody's Corp.                                                                     | CUSIP: 615369AE5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96639.19     | 0.03%             | 2044-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/RI                                                             | Citizens Bank NA                                                                  | CUSIP: 75524KPG3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $386767.43    | 0.10%             | 2028-08-09      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                                                     | Bacardi Ltd.                                                                      | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    100000 | PA      | $90798.60     | 0.02%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                          | Standard Chartered PLC                                                            | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $530665.62    | 0.14%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        28 | NC      | $-1349.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2471437.50   | 0.66%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       116 | NC      | $-130664.72   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | Boardwalk Pipelines LP                                                            | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    600000 | PA      | $503397.58    | 0.13%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                             | Southern California Edison Co.                                                    | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    900000 | PA      | $706079.26    | 0.19%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Purchased BRL / Sold USD                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |         1 | NC      | $3462.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHSTAR EDUCATION FINANCE, INC.                                               | Northstar Education Finance, Inc.                                                 | CUSIP: 66705EAA6<br>LEI: 25490059JOHYRUHEXW19 | Long             | ABS-O            | CORP              | US        |      8677 | PA      | $8619.89      | 0.00%             | 2031-12-26      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | Digital Realty Trust LP                                                           | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |    400000 | PA      | $403286.82    | 0.11%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                  | HarborView Mortgage Loan Trust                                                    | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59905 | PA      | $43595.77     | 0.01%             | 2035-07-19      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                              | Seagate HDD Cayman                                                                | CUSIP: 81180WBD2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    253000 | PA      | $197483.13    | 0.05%             | 2031-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    239000 | PA      | $191334.12    | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                       | Morgan Stanley Bank of America Merrill Lynch Trust                                | CUSIP: 61765TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1515792.48   | 0.40%             | 2048-10-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                          | Aviation Capital Group LLC                                                        | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392555.51    | 0.10%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                         | Consolidated Edison Co. of New York, Inc.                                         | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    300000 | PA      | $323310.01    | 0.09%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust 2022-BIG                                          | BIG Commercial Mortgage Trust                                                     | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $767765.52    | 0.20%             | 2039-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                                 | Arbor Realty Commercial Real Estate Notes Ltd.                                    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $580814.10    | 0.15%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                   | Purchased USD / Sold GBP                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $9534.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association, TBA                                     | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1894611.62   | 0.50%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                     | Aker BP ASA                                                                       | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $176064.40    | 0.05%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | Berry Global, Inc.                                                                | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89177.40     | 0.02%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                                        | Independence Plaza Trust                                                          | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $843697.98    | 0.22%             | 2035-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                         | UDR, Inc.                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    400000 | PA      | $334658.48    | 0.09%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -600000 | NC      | $-3488.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Swap                                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    200000 | OU      | $-11634.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BPPH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507114 | PA      | $506989.92    | 0.13%             | 2038-01-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                              | Conagra Brands, Inc.                                                              | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190532.19    | 0.05%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                                             | Sound Point CLO XVII Ltd.                                                         | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $786781.60    | 0.21%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                               | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $636763.68    | 0.17%             | 2033-04-10      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| State of California                                                             | State of California                                                               | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    300000 | PA      | $366201.54    | 0.10%             | 2039-11-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491635 | PA      | $372747.04    | 0.10%             | 2046-08-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare Inc                                                        | Northwell Healthcare, Inc.                                                        | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    700000 | PA      | $540192.69    | 0.14%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2200000 | OU      | $589559.76    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                   | Banner Health                                                                     | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    400000 | PA      | $316729.15    | 0.08%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                              | STORE Capital Corp.                                                               | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              |  | US        |    400000 | PA      | $307941.84    | 0.08%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SASOL Financing USA LLC                                                         | Sasol Financing USA LLC                                                           | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293276.91    | 0.08%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1A PTT                                                          | American Airlines Pass-Through Trust                                              | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86443 | PA      | $65607.69     | 0.02%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                                          | Natixis Commercial Mortgage Securities Trust                                      | CUSIP: 63874UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $867729.80    | 0.23%             | 2039-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL                                                            | Bank Leumi Le-Israel BM                                                           | CUSIP: 000000000<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |    400000 | PA      | $396221.76    | 0.11%             | 2027-07-27      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                             | Southern California Edison Co.                                                    | CUSIP: 842400FW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $155002.69    | 0.04%             | 2043-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                        | Charter Communications Operating LLC/Charter Communications Operating Capital     | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $736475.30    | 0.20%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                                             | American Tower Corp.                                                              | CUSIP: 03027XAG5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1250000 | PA      | $1219024.54   | 0.32%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC Holdings PLC                                                                 | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $464548.89    | 0.12%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                        | Mill City Mortgage Loan Trust                                                     | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260953 | PA      | $244144.93    | 0.06%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                                              | Province of Quebec                                                                | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1700000 | PA      | $1599760.79   | 0.43%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                             | Southern California Edison Co.                                                    | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79997.35     | 0.02%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                       | Morgan Stanley Bank of America Merrill Lynch Trust                                | CUSIP: 61761QAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2048-12-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Flex Ltd                                                                        | Flex Ltd.                                                                         | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    300000 | PA      | $283016.87    | 0.08%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5060000 | PA      | $3191160.14   | 0.85%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                                        | Equitable Financial Life Global Funding                                           | CUSIP: 29449WAP2<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399455.59    | 0.11%             | 2025-12-02      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                                        | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -2900000 | NC      | $-129.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NatWest Group PLC                                                                 | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $495004.48    | 0.13%             | 2028-09-30      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                             | Nomura Holdings, Inc.                                                             | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $526177.43    | 0.14%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BPS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507114 | PA      | $18906.46     | 0.01%             | 2038-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                        | Hudson Pacific Properties LP                                                      | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    200000 | PA      | $187006.06    | 0.05%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| SYNGENTA FINANCE NV                                                             | Syngenta Finance NV                                                               | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $199101.99    | 0.05%             | 2023-04-24      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                          | Santander Holdings USA, Inc.                                                      | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $477098.16    | 0.13%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                 | Xcel Energy, Inc.                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    300000 | PA      | $287402.17    | 0.08%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                                       | Anchorage Capital CLO 6 Ltd.                                                      | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    299982 | PA      | $296157.07    | 0.08%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                                                  | LoanCore Issuer Ltd.                                                              | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $674583.77    | 0.18%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                             | Macquarie Group Ltd.                                                              | CUSIP: 55608JBF4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    400000 | PA      | $398647.38    | 0.11%             | 2026-08-09      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                                                   | Aircastle Ltd.                                                                    | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $193370.01    | 0.05%             | 2024-05-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                                 | Arbor Realty Commercial Real Estate Notes Ltd.                                    | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485399.85    | 0.13%             | 2036-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                          | Fairfax Financial Holdings Ltd.                                                   | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $164363.45    | 0.04%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                         | Bay Area Toll Authority                                                           | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    200000 | PA      | $233684.96    | 0.06%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Securities Corp                               | CSWF Corp.                                                                        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674371 | PA      | $641088.41    | 0.17%             | 2034-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                        | Amcor Flexibles North America, Inc.                                               | CUSIP: 081437AT2<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    500000 | PA      | $407608.09    | 0.11%             | 2030-06-19      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $631968.75    | 0.17%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                       | Prosus NV                                                                         | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $358074.22    | 0.10%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                                                         | Japan Finance Organization for Municipalities                                     | CUSIP: 471068AJ5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   2400000 | PA      | $2342256.00   | 0.62%             | 2023-10-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $566125.00    | 0.15%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                                             | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates       | CUSIP: 03072SQC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79293 | PA      | $78182.31     | 0.02%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 A PTT                                                          | British Airways Pass-Through Trust                                                | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    218314 | PA      | $188699.47    | 0.05%             | 2029-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                       | Amgen, Inc.                                                                       | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $420486.75    | 0.11%             | 2045-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $5405156.25   | 1.44%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| DAVITA INC                                                                      | DaVita, Inc.                                                                      | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80270.27     | 0.02%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                                                        | United Airlines Pass-Through Trust                                                | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    662121 | PA      | $563870.83    | 0.15%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                           | Southern California Gas Co.                                                       | CUSIP: 842434CR1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    900000 | PA      | $725645.20    | 0.19%             | 2048-06-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| DORIC NIMROD 2013-1 CL A                                                        | Doric Nimrod Air Alpha Pass-Through Trust                                         | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |     12700 | PA      | $12603.51     | 0.00%             | 2023-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                                 | Venture XIV CLO Ltd.                                                              | CUSIP: 92328GBA3<br>LEI: 5493002O60L75PP6F022 | Long             | ABS-CBDO         | CORP              | KY        |   1149299 | PA      | $1134117.74   | 0.30%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | Elevance Health, Inc.                                                             | CUSIP: 036752AW3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102699.37    | 0.03%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                        | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $419987.63    | 0.11%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                                       | RAMP Trust                                                                        | CUSIP: 76112BTV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104729 | PA      | $104285.77    | 0.03%             | 2035-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520191.27    | 0.14%             | 2029-11-09      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                          | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        76 | NC      | $-690.08      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| American Money Management Corporation                                           | AMMC CLO XII Ltd.                                                                 | CUSIP: 00176CAW1<br>LEI: 549300YZO1X7UK2OVY35 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1774242.00   | 0.47%             | 2030-11-10      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5400000 | PA      | $3883992.17   | 1.03%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                                 | ChaseFlex Trust                                                                   | CUSIP: 16165WAA4<br>LEI: 549300B1U8MKA7ONX421 | Long             | ABS-MBS          | CORP              | US        |    271799 | PA      | $261312.72    | 0.07%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                   | Purchased USD / Sold EUR                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-57272.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BLD88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351036 | PA      | $343488.11    | 0.09%             | 2045-09-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                                                     | Bacardi Ltd.                                                                      | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    300000 | PA      | $286831.06    | 0.08%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | Romania Government International Bonds                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $356098.30    | 0.09%             | 2028-03-07      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                                                        | American Airlines Pass-Through Trust                                              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    433291 | PA      | $376018.38    | 0.10%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                                   | Purchased BRL / Sold USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |         1 | NC      | $3128.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                | SMB Private Education Loan Trust                                                  | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    407480 | PA      | $404515.46    | 0.11%             | 2032-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                        | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    240000 | PA      | $226599.60    | 0.06%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                | Peruvian Government International Bonds                                           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    300000 | PA      | $72366.91     | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                                | Lazard Group LLC                                                                  | CUSIP: 52107QAK1<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92558.03     | 0.02%             | 2029-03-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN PENERBIT SBSN                                                        | Perusahaan Penerbit SBSN Indonesia III                                            | CUSIP: 71567PAU4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | CORP              | ID        |    600000 | PA      | $593325.50    | 0.16%             | 2027-06-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                         | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193060.18    | 0.05%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems Inc                                                          | Spirit AeroSystems, Inc.                                                          | CUSIP: 85205TAG5<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    300000 | PA      | $271501.11    | 0.07%             | 2026-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | Credit Suisse Group AG                                                            | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2900000 | PA      | $2611962.31   | 0.70%             | 2025-03-26      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                    | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $618145.14    | 0.16%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Swap                                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  27200000 | OU      | $-226557.87   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                            | Enel Finance International NV                                                     | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $568400.62    | 0.15%             | 2027-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1900000 | OU      | $321163.61    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                        | Hackensack Meridian Health, Inc.                                                  | CUSIP: 404530AA5<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    300000 | PA      | $256832.96    | 0.07%             | 2057-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                                           | Bank of Ireland Group PLC                                                         | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    700000 | PA      | $692704.35    | 0.18%             | 2023-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP Paribas SA                                                                    | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    700000 | PA      | $691250.00    | 0.18%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                                                         | TRTX Issuer Ltd.                                                                  | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $673720.46    | 0.18%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Future                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |       571 | NC      | $-4094868.87  | -1.09%            |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | Edison International                                                              | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209276.82    | 0.06%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                        | Sumitomo Mitsui Financial Group, Inc.                                             | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $792951.72    | 0.21%             | 2030-07-08      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | American Tower Corp.                                                              | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    300000 | PA      | $268977.29    | 0.07%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ACHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244059 | PA      | $13462.42     | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                        | Republic of South Africa Government International Bonds                           | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    300000 | PA      | $267000.00    | 0.07%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | Essex Portfolio LP                                                                | CUSIP: 29717PAT4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    700000 | PA      | $639444.02    | 0.17%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                           | Brooklyn Union Gas Co.                                                            | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    700000 | PA      | $668660.76    | 0.18%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE HLDGS LLC                                                           | Brighthouse Holdings LLC                                                          | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $267000.00    | 0.07%             | 2037-07-27      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                                                 | Vibrant CLO VI Ltd.                                                               | CUSIP: 92558EAJ1<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | KY        |    392558 | PA      | $387245.31    | 0.10%             | 2029-06-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                                                          | FMG Resources August 2006 Pty. Ltd.                                               | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $166336.70    | 0.04%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                        | Targa Resources Partners LP/Targa Resources Partners Finance Corp.                | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $167970.00    | 0.04%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | Ashtead Capital, Inc.                                                             | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    500000 | PA      | $457207.59    | 0.12%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                               | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259441 | PA      | $236668.13    | 0.06%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                                                        | Fortress Transportation & Infrastructure Investors LLC                            | CUSIP: 34960PAB7<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    535000 | PA      | $503009.06    | 0.13%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE CHILDREN HOSP                                                        | Nationwide Children's Hospital, Inc.                                              | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    400000 | PA      | $357632.89    | 0.10%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | Deutsche Bank AG                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $252062.60    | 0.07%             | 2030-11-19      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Notes                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1743435 | PA      | $1598602.76   | 0.43%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK                                                           | Stichting AK Rabobank Certificaten                                                | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    735350 | PA      | $754724.25    | 0.20%             | 2049-12-29      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Vibrant CLO Ltd                                                                 | Vibrant CLO VII Ltd.                                                              | CUSIP: 92558BAJ7<br>LEI: 5493007DQ2IM8HOLV582 | Long             | ABS-CBDO         | CORP              | KY        |    298794 | PA      | $293343.27    | 0.08%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31371NU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5167 | PA      | $5082.52      | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | Romania Government International Bonds                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $159496.97    | 0.04%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BCPE Empire Holdings, Inc.                                                      | BCPE Empire Holdings, Inc.                                                        | CUSIP: 05550HAL9<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    297750 | PA      | $291546.97    | 0.08%             | 2026-06-11      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                             | MASTR Asset-Backed Securities Trust                                               | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248572 | PA      | $233642.92    | 0.06%             | 2034-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                                          | Tennessee Gas Pipeline Co. LLC                                                    | CUSIP: 880451AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $214005.35    | 0.06%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31416YRS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2316.95      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                          | Purchased USD / Sold BRL                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-3311.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOODMAN US FIN FIVE LLC                                                         | Goodman U.S. Finance Five LLC                                                     | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              |  | US        |    600000 | PA      | $548578.30    | 0.15%             | 2032-05-04      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A35Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59676 | PA      | $59479.39     | 0.02%             | 2041-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31412PA50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67860 | PA      | $67262.21     | 0.02%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                               | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456452 | PA      | $424454.87    | 0.11%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132Y1RS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433763 | PA      | $426930.26    | 0.11%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                        | Enterprise Products Operating LLC                                                 | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    560000 | PA      | $370103.23    | 0.10%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VIRTUSA CORPORATION                                                             | Virtusa Corp.                                                                     | CUSIP: 92828KAK8<br>LEI: C77OMXDER63WLJCSKT03 | Long             | LON              | CORP              | US        |    294750 | PA      | $283942.40    | 0.08%             | 2028-02-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | Societe Generale SA                                                               | CUSIP: 83368RBM3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $778992.21    | 0.21%             | 2027-06-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350000 | PA      | $1942513.67   | 0.52%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                                           | AMMC CLO 16 Ltd.                                                                  | CUSIP: 00176JAT3<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |    213953 | PA      | $212649.39    | 0.06%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                         | Park Aerospace Holdings Ltd.                                                      | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     84000 | PA      | $82929.79     | 0.02%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                                         | Booz Allen Hamilton, Inc.                                                         | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88596.26     | 0.02%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $643794.77    | 0.17%             | 2038-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Notes                                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    644958 | PA      | $565547.55    | 0.15%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Swap                                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    644000 | OU      | $-24935.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | Citigroup, Inc.                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1178799.44   | 0.31%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC/Charter Communications Operating Capital     | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    300000 | PA      | $218388.14    | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6550000 | PA      | $4290505.84   | 1.14%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                                         | Entergy Mississippi LLC                                                           | CUSIP: 29364NAT5<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1153502.12   | 0.31%             | 2028-06-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                         | Nissan Motor Acceptance Co. LLC                                                   | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    300000 | PA      | $258369.03    | 0.07%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                         | Bayer U.S. Finance II LLC                                                         | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1394367.42   | 0.37%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING Groep NV                                                                      | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $674071.78    | 0.18%             | 2026-03-28      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                         | Southwestern Electric Power Co.                                                   | CUSIP: 845437BL5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1020076.26   | 0.27%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                | Deutsche Bank AG                                                                  | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    500000 | PA      | $380311.75    | 0.10%             | 2032-05-28      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO                                                        | Flex Intermediate Holdco LLC                                                      | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72198.73     | 0.02%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                     | Future                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |       210 | NC      | $-590674.56   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                          | Federal Home Loan Banks                                                           | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3800000 | PA      | $3799998.02   | 1.01%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                                                   | DROP Mortgage Trust                                                               | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $285696.78    | 0.08%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | Romania Government International Bonds                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $119145.31    | 0.03%             | 2040-12-02      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                           | Duke Energy Carolinas LLC                                                         | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    400000 | PA      | $347373.33    | 0.09%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                                                | Alabama Power Co.                                                                 | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    400000 | PA      | $335035.86    | 0.09%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1586002.76   | 0.42%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4691250.00   | 1.25%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $384492.19    | 0.10%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                          | Mizuho Financial Group, Inc.                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $433597.21    | 0.12%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                                                            | Gallatin CLO IX Ltd.                                                              | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250926 | PA      | $249348.63    | 0.07%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                                                         | British Airways Pass-Through Trust                                                | CUSIP: 11042TAA1<br>LEI: 2549007HITOHPGVGUX03 | Long             | DBT              | CORP              | US        |    287758 | PA      | $259667.40    | 0.07%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                           | Level 3 Financing, Inc.                                                           | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    200000 | PA      | $157827.08    | 0.04%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                     | Oracle Corp.                                                                      | CUSIP: 68389XBC8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1186858.29   | 0.32%             | 2025-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                        | Liberty Mutual Group, Inc.                                                        | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    500000 | PA      | $451585.26    | 0.12%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT Capital Corp.                                                                 | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    200000 | PA      | $216081.34    | 0.06%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                             | LCM XV LP                                                                         | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    385265 | PA      | $379426.27    | 0.10%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                          | Arizona Public Service Co.                                                        | CUSIP: 040555DC5<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $117141.95    | 0.03%             | 2050-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | Georgia Power Co.                                                                 | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    100000 | PA      | $69352.18     | 0.02%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS Group AG                                                                      | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $389268.40    | 0.10%             | 2025-09-24      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Vincent Toner

**Name of Signer:** Vincent Toner

**Title:** Treasurer