# EDGAR Filing Document

**Accession Number:** 0000835620
**File Stem:** 0001752724-23-040670
**Filing Date:** 2023-2
**Character Count:** 1009163
**Document Hash:** ebe689e8ec395aac27a633ee5ff5f51e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040670.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-040670

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Strategic Global Bond Fund, Inc.
- **CENTRAL INDEX KEY:** 0000835620
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05603
- **FILM NUMBER:** 23668360

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK WORLD INCOME FUND, INC.
- **DATE OF NAME CHANGE:** 20061002

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MERRILL LYNCH WORLD INCOME FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WORLD INCOME FUND INC
- **DATE OF NAME CHANGE:** 19910916

## Series and Classes Contracts Data

### BlackRock Strategic Global Bond Fund, Inc. (Series ID: S000002866)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000007879 | Investor A    |  |
| C000007882 | Institutional |  |
| C000038980 | Investor C    |  |
| C000162768 | Class K       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Strategic Global Bond Fund, Inc.

- **b. Investment Company Act file number:** 811-05603

- **c. CIK number of Registrant:** 0000835620

- **d. LEI of Registrant:** WLNAPPG3EBO2UQ0EB806

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

  - **Street Address 1:** 100 BELLEVUE PARKWAY

  - **City:** WILMINGTON

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Strategic Global Bond Fund, Inc.

- **b. EDGAR series identifier (if any):** S000002866

- **c. LEI of Series:** WLNAPPG3EBO2UQ0EB806

**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:** $872208457.88

**Total Liabilities:** $171760436.84

**Net Assets:** $700448021.04

**Delayed Delivery Securities:** $89215735.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 9964.61000000 | **1-Year:** 7455.05000000 | **5-Year:** 65094.74000000 | **10-Year:** 96642.15000000 | **30-Year:** 42033.76000000

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

- **3-Month:** 82840.56000000 | **1-Year:** -14491.15000000 | **5-Year:** 37489.58000000 | **10-Year:** 110945.90000000 | **30-Year:** -86606.42000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007882 | -0.28%               | 4.11%                | -0.01%               |
| Class ID C000038980 | -0.37%               | 4.04%                | -0.10%               |
| Class ID C000007879 | -0.10%               | 3.89%                | -0.03%               |
| Class ID C000162768 | -0.08%               | 3.91%                | -0.01%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15572754.11            | $17409373.82                               |
| Month 2  | $-1565642.45             | $28971687.74                               |
| Month 3  | $-633318.45              | $807499.02                                 |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### Schedule of Portfolio Investments

| Name                                                               | Title                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     300000 | PA      | $286896.89    | 0.04%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $141.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.850000 27-MAY-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   28080033 | OU      | $3094119.88   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                                           | Bundesrepublik Deutschland Bundesanleihe                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    1530000 | PA      | $1526745.72   | 0.22%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                    | IHS Holding Ltd                                                                                                        | CUSIP: 44963HAA3<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     224000 | PA      | $185892.00    | 0.03%             | 2026-11-29      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20992 | PA      | $18763.14     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPSOL EUROPE FINANCE                                              | Repsol Europe Finance Sarl                                                                                             | CUSIP: 000000000<br>LEI: 222100TAWUOMRM7NNG09 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $230944.67    | 0.03%             | 2033-07-06      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | INTUIT INC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          1 | NC      | $85.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087XG4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     170000 | PA      | $151846.16    | 0.02%             | 2033-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3670 | PA      | $3613.67      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                             | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      34000 | PA      | $30430.00     | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EAST JAPAN RAILWAY CO                                              | East Japan Railway Co                                                                                                  | CUSIP: 000000000<br>LEI: 353800SENYJ2DSM6PS44 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $208070.27    | 0.03%             | 2025-09-08      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                  | NatWest Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $110202.57    | 0.02%             | 2027-03-28      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                        | Equinix Inc                                                                                                            | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     269000 | PA      | $214000.06    | 0.03%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| EMIRATES NBD BANK PJSC                                             | Emirates NBD Bank PJSC                                                                                                 | CUSIP: 000000000<br>LEI: 54930029BCN8HF3B1286 | Long             | DBT              | CORP              | AE        |     280000 | PA      | $275415.00    | 0.04%             | 2025-03-20      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2988 | PA      | $2925.79      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180003 | PA      | $147633.82    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                     | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |          1 | NC      | $-128.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                  | Expedia Group Inc                                                                                                      | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     268000 | PA      | $270271.80    | 0.04%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-30770.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                                          | Apple Inc                                                                                                              | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      42000 | PA      | $27787.39     | 0.00%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL                                                       | Mortimer BTL 2021-1 PLC                                                                                                | CUSIP: 000000000<br>LEI: 213800XP3NPPV83PMY32 | Long             | ABS-MBS          | CORP              | GB        |     100000 | PA      | $114604.36    | 0.02%             | 2053-06-23      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                           | Ashton Woods USA LLC / Ashton Woods Finance Co                                                                         | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $40036.54     | 0.01%             | 2029-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CZ        |          1 | NC      | $3953.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35181 | PA      | $33784.94     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $46823.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.270000 30-DEC-2050                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6800000 | OU      | $2761316.06   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $2483.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED CLP / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |          1 | NC      | $11851.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ABBOTT LABORATORIES                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          7 | NC      | $3937.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYALTY PHARMA PLC                                                 | Royalty Pharma PLC                                                                                                     | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      44000 | PA      | $27124.47     | 0.00%             | 2051-09-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                   | AccessLex Institute                                                                                                    | CUSIP: 00432CDJ7<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |      74607 | PA      | $72334.45     | 0.01%             | 2036-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                                           | EQT Corp                                                                                                               | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |       4922 | NS      | $166511.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LSF11 A5 Holdco LLC                                                | LSF11 A5 Holdco LLC Term Loan                                                                                          | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |     200485 | PA      | $193417.90    | 0.03%             | 2028-10-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1007000 | PA      | $932243.47    | 0.13%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17633 | PA      | $16506.24     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QQFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80511 | PA      | $73466.72     | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        275 | NC      | $20075.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                             | ELI LILLY + CO                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -2 | NC      | $-150.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                               | Colombia Government International Bond                                                                                 | CUSIP: 195325DT9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $119912.50    | 0.02%             | 2051-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1776000 | PA      | $1631460.63   | 0.23%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LVMH Moet Hennessy Louis Vuitton SE                                | LVMH Moet Hennessy Louis Vuitton SE                                                                                    | CUSIP: 000000000<br>LEI: IOG4E947OATN0KJYSD45 | Long             | EC               | CORP              | FR        |        179 | NS      | $130256.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER AG                                                           | Bayer AG                                                                                                               | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | DBT              | CORP              | DE        |     500000 | PA      | $420405.18    | 0.06%             | 2032-07-06      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                          | Avoca CLO XXII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $99349.71     | 0.01%             | 2035-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1021974 | PA      | $914521.71    | 0.13%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIP V Waste Holdings, LLC                                          | MIP V Waste Holdings, LLC Term Loan B                                                                                  | CUSIP: 000000000<br>LEI: 254900RELOGHR3ZGIQ56 | Long             | LON              | CORP              | US        |     117115 | PA      | $115309.09    | 0.02%             | 2028-12-08      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                | Global Payments Inc                                                                                                    | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     304000 | PA      | $294880.80    | 0.04%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | MCKESSON CORP                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -4 | NC      | $-1410.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                        | BBCMS MORTGAGE TRUST 2017-C1                                                                                           | CUSIP: 07332VBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1097725.20   | 0.16%             | 2050-02-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212745.24    | 0.03%             | 2026-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     142000 | PA      | $131405.87    | 0.02%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc                                                     | Salesforce Inc                                                                                                         | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |       1379 | NS      | $182841.61    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                                         | Intuit Inc                                                                                                             | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |        490 | NS      | $190717.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        579 | PA      | $526.95       | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dynatrace Inc                                                      | Dynatrace Inc                                                                                                          | CUSIP: 268150109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       3742 | NS      | $143318.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623695 | PA      | $517103.05    | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| iShares JP Morgan USD Emerging Markets Bond ETF                    | iShares JP Morgan USD Emerging Markets Bond ETF                                                                        | CUSIP: 464288281<br>LEI: 54930070R8WH6MNUJG74 | Long             | EC               | RF                | US        |      47992 | NS      | $4059643.28   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11610 | PA      | $10839.37     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     187000 | PA      | $174973.33    | 0.02%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47804 | PA      | $41972.60     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | WALT DISNEY CO/THE                                                                                                     | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -13 | NC      | $-97.50       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                                | Allegiant Travel Co                                                                                                    | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |      88000 | PA      | $83702.23     | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $193372.85    | 0.03%             | 2026-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11129 | PA      | $10422.28     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1076.08      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES IBOXX HIGH YIELD CORPO                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        211 | NC      | $7279.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Aqua Finance Trust                                                 | Aqua Finance Trust 2021-A                                                                                              | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      64100 | PA      | $58607.26     | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                           | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                                                                 | CUSIP: 03969AAQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     200000 | PA      | $190347.67    | 0.03%             | 2025-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| iShares Biotechnology ETF                                          | iShares Biotechnology ETF                                                                                              | CUSIP: 464287556<br>LEI: 549300S7IVD88MPK0066 | Long             | EC               | RF                | US        |        493 | NS      | $64725.97     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                             | Volkswagen International Finance NV                                                                                    | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $293356.68    | 0.04%             | 2038-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TAP ROCK RESOURCES LLC                                             | Tap Rock Resources LLC                                                                                                 | CUSIP: 87602LAA0<br>LEI: 549300Y3SDS1HPFQ6H17 | Long             | DBT              | CORP              | US        |     392000 | PA      | $364599.20    | 0.05%             | 2026-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| State of Wisconsin                                                 | WISCONSIN ST                                                                                                           | CUSIP: 97705MWB7<br>LEI: 549300VTAT608CNZ5827 | Long             | DBT              | MUN               | US        |    2000000 | PA      | $2236966.00   | 0.32%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                | Suzano Austria GmbH                                                                                                    | CUSIP: 86964WAH5<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $187100.00    | 0.03%             | 2030-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192385.89    | 0.03%             | 2028-05-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 2Y RTP 2.600000 15-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -49553356 | NC      | $-1684337.90  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |          1 | NC      | $6728.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     878000 | PA      | $722030.82    | 0.10%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132000 | PA      | $108577.97    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: OIS 3.914000 31-MAY-2025                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    6170000 | OU      | $22746.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED GBP / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |          1 | NC      | $-52913.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15908 | PA      | $15156.37     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.445000 07-JAN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6212088 | OU      | $2339929.38   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                | American Express Co                                                                                                    | CUSIP: 025816DA4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     123000 | PA      | $116187.61    | 0.02%             | 2033-08-03      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DNE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214223 | PA      | $196633.03    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30538 | PA      | $27425.75     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME                  | Tiaa Clo III Ltd                                                                                                       | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $391451.88    | 0.06%             | 2031-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     859757 | PA      | $746069.40    | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5064 | PA      | $4745.83      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                | AUST 10Y BOND FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        113 | NC      | $-508588.88   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-BUND FUTURE MAR23                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        273 | NC      | $-2514475.88  | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                         | AbbVie Inc                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      33000 | PA      | $27386.21     | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3183 | PA      | $3023.25      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $12225.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EIS BUYER INC                                                      | EIS BUYER INC                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      53178 | PA      | $51715.12     | 0.01%             | 2027-09-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Intercontinental Exchange, Inc.                                    | ICE: (CDX.NA.IG.39.V1)                                                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1750200 | OU      | $9194.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -316000 | PA      | $-273769.15   | -0.04%            | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                              | Melco Resorts Finance Ltd                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     200000 | PA      | $175500.00    | 0.03%             | 2026-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $13404.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                               | DBUBS 2017-BRBK Mortgage Trust                                                                                         | CUSIP: 23305JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $251407.15    | 0.04%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  3 | On Loan: No      |
| QUALCOMM INC                                                       | QUALCOMM Inc                                                                                                           | CUSIP: 747525BK8<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     468000 | PA      | $395947.80    | 0.06%             | 2030-05-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4835 | PA      | $4649.19      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAPTION MAR23 0.6 CALL                                                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        | -123604533 | NC      | $-11.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV NV                                             | Volkswagen Financial Services NV                                                                                       | CUSIP: 000000000<br>LEI: 529900ZTQC8D1TW6BL41 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $112806.89    | 0.02%             | 2024-12-03      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3019 | PA      | $2746.00      | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310279 | PA      | $254366.80    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                        | Exelon Corp                                                                                                            | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     494000 | PA      | $394737.52    | 0.06%             | 2052-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 4.352000 07-DEC-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1650000 | OU      | $4158.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                    | CFCRE Commercial Mortgage Trust 2018-TAN                                                                               | CUSIP: 12528DAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $478935.00    | 0.07%             | 2033-02-15      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11715 | PA      | $11161.04     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | SWP: OIS 13.980000 02-JAN-2024                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3439476 | OU      | $3242.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| iShares MSCI Emerging Markets ETF                                  | iShares MSCI Emerging Markets ETF                                                                                      | CUSIP: 464287234<br>LEI: 549300BPYHDEDI59G670 | Long             | EC               | RF                | US        |      13148 | NS      | $498309.20    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1035087.67   | 0.15%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)                                                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     529000 | OU      | $-99372.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                           | Capital One Financial Corp                                                                                             | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      56000 | PA      | $52019.58     | 0.01%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.480000 28-JAN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7179169 | OU      | $2657738.54   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        926 | PA      | $891.25       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS                                           | AusNet Services Holdings Pty Ltd                                                                                       | CUSIP: 000000000<br>LEI: TTMIG9TE1S0X3ZPDHD61 | Long             | DBT              | CORP              | AU        |     100000 | PA      | $96300.08     | 0.01%             | 2027-02-26      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $948.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fresno Unified School District                                     | FRESNO CA UNIF SCH DIST                                                                                                | CUSIP: 3582324A1<br>LEI: 549300WL4QIP65TFU882 | Long             | DBT              | MUN               | US        |     115000 | PA      | $111301.03    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 10Y RTR 2.970000 15-FEB-2023                                                                                           | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |    8597936 | OU      | $14123.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Jersey Health Care Facilities Financing Authority              | NEW JERSEY ST HLTH CARE FACS FING AUTH REVENUE                                                                         | CUSIP: 645790PE0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      95000 | PA      | $65448.16     | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GRUPO AVAL LTD                                                     | Grupo Aval Ltd                                                                                                         | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $161600.00    | 0.02%             | 2030-02-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| EIS GROUP INC                                                      | EIS Group Inc Term Loan                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     531775 | PA      | $517151.19    | 0.07%             | 2028-05-01      | Variable      | 11.09%                | No            |                  3 | On Loan: No      |
| STEM INC                                                           | Stem Inc                                                                                                               | CUSIP: 85859NAA0<br>LEI: 549300GVWIYFILN5V546 | Long             | DBT              | CORP              | US        |      27000 | PA      | $16977.60     | 0.00%             | 2028-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34408 | PA      | $32829.41     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD SGD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-4832.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     100000 | PA      | $14871.29     | 0.00%             | 2028-11-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $1536.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |    3196000 | OU      | $205060.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD CHF                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $7.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4937 | PA      | $4723.10      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: PLN 6.150000 06-APR-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    5303000 | OU      | $11325.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10672 | PA      | $9979.31      | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD/JPY One-touch barrier option; Barrier price USD 110.00000                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     120000 | OU      | $3006.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.555000 15-OCT-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     730000 | OU      | $16128.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-91513.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                                           | Brookfield Residential Properties Inc / Brookfield Residential US LLC                                                  | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      65000 | PA      | $50789.05     | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                   | CIFC Funding 2013-I Ltd                                                                                                | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $972755.30    | 0.14%             | 2030-07-16      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                                    | KOREA 3YR BND FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         63 | NC      | $-35116.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.887500 10-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3789155 | OU      | $1811294.54   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                           | Foundation Finance Trust 2021-2                                                                                        | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |     204482 | PA      | $186898.90    | 0.03%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                | Kinetik Holdings LP                                                                                                    | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      25000 | PA      | $23444.58     | 0.00%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33974 | PA      | $33541.00     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2460.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5608.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OP CORPORATE BANK PLC                                              | OP Corporate Bank plc                                                                                                  | CUSIP: 000000000<br>LEI: 549300NQ588N7RWKBP98 | Long             | DBT              | CORP              | FI        |     130000 | PA      | $120692.11    | 0.02%             | 2027-01-18      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        347 | NC      | $33832.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED SGD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | SG        |          1 | NC      | $11384.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                     | Home Depot Inc/The                                                                                                     | CUSIP: 437076BY7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     230000 | PA      | $208073.71    | 0.03%             | 2029-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $5333.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $282.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31307PUJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      44188 | PA      | $41475.55     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                             | Mosaic Solar Loan Trust 2022-2                                                                                         | CUSIP: 61946UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97358 | PA      | $91472.15     | 0.01%             | 2053-01-21      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                       | QUALCOMM Inc                                                                                                           | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     309000 | PA      | $270611.43    | 0.04%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                             | Velocity Commercial Capital Loan Trust 2020-1                                                                          | CUSIP: 92259LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77650 | PA      | $63921.09     | 0.01%             | 2050-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                                           | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                   | CUSIP: 25381XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      92454 | PA      | $79325.53     | 0.01%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | RESETTABLE USD P JPY C 1/05/23                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    2595000 | OU      | $228507.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3112.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.443000 26-NOV-2031                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3889316 | OU      | $717230.18    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3504000 | PA      | $3324183.30   | 0.47%             | 2024-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                     | Mariner Finance Issuance Trust 2022-A                                                                                  | CUSIP: 56847QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $248231.93    | 0.04%             | 2037-10-20      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XJDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132420 | PA      | $121633.74    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRAPORT AG                                                         | Fraport AG Frankfurt Airport Services Worldwide                                                                        | CUSIP: 000000000<br>LEI: 5299001ERX0K10IZUL40 | Long             | DBT              | CORP              | DE        |     115000 | PA      | $105609.43    | 0.02%             | 2028-03-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                    | Kingdom of Belgium Government Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     855000 | PA      | $825720.74    | 0.12%             | 2028-06-22      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.570700 27-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8208901 | OU      | $583795.85    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2670 | PA      | $2510.85      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |          1 | NC      | $899.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689015 | PA      | $580787.91    | 0.08%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173733 | PA      | $142154.92    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3881 | PA      | $3627.00      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                            | Dryden 53 CLO Ltd                                                                                                      | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $592622.28    | 0.08%             | 2031-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39568 | PA      | $37084.38     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                    | Republic Finance Issuance Trust 2021-A                                                                                 | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $86870.79     | 0.01%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                                    | McDonald's Corp                                                                                                        | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |        267 | NS      | $70362.51     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CSN RESOURCES SA                                                   | CSN Resources SA                                                                                                       | CUSIP: 12644VAE8<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $167000.00    | 0.02%             | 2032-04-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | LONG GILT FUTURE MAR23                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         81 | NC      | $-680687.30   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD/JPY One-touch barrier option; Barrier price USD 105.00000                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     170000 | OU      | $1196.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59418 | PA      | $54702.42     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45412 | PA      | $43472.01     | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                                            | Wintershall Dea Finance BV                                                                                             | CUSIP: 000000000<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $192633.30    | 0.03%             | 2025-09-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15003 | PA      | $14404.79     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      68000 | PA      | $48445.87     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                               | Colombia Government International Bond                                                                                 | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     345000 | PA      | $344310.00    | 0.05%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD SEK                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $29909.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42929 | PA      | $34990.02     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 1.080000 18-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  107839831 | OU      | $-5637375.20  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                                  | TenneT Holding BV                                                                                                      | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |     260000 | PA      | $193299.41    | 0.03%             | 2035-06-16      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47585 | PA      | $44378.09     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                             | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     125000 | PA      | $117294.38    | 0.02%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138XY5S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41272 | PA      | $40447.61     | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     164000 | PA      | $150600.64    | 0.02%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| AGILE GROUP HOLDINGS LTD                                           | Agile Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300ZRISRT38EEYY07 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $104966.00    | 0.01%             | 2025-01-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                                              | Traton Finance Luxembourg SA                                                                                           | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $396378.88    | 0.06%             | 2024-11-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $5249.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $-936.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                   | Symphony CLO XIX Ltd                                                                                                   | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492836.45    | 0.07%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166705 | PA      | $154460.41    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED DKK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | DK        |          1 | NC      | $4834.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     663000 | PA      | $425808.40    | 0.06%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     206000 | PA      | $159837.19    | 0.02%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $15696.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                 | GLENCORE PLC                                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               |  | JE        |         -7 | NC      | $-65.38       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91600 | PA      | $85980.10     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | EUR C USD P @1.100000 EO                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    6760000 | OU      | $49011.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOL FINANCE SA                                                     | Gol Finance SA                                                                                                         | CUSIP: 36254VAA6<br>LEI: 5299007RH8MA67ZC6J07 | Long             | DBT              | CORP              | LU        |     120000 | PA      | $52222.50     | 0.01%             | 2025-01-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $360.42       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5608.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38401 | PA      | $36626.20     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    1400000 | PA      | $204696.22    | 0.03%             | 2024-04-11      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| United Rentals Inc                                                 | United Rentals Inc                                                                                                     | CUSIP: 911363109<br>LEI: 5323X5O7RN0NKFCDRY08 | Long             | EC               | CORP              | US        |        392 | NS      | $139324.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Medline Borrower, LP                                               | Medline Borrower, LP USD Term Loan B                                                                                   | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     512130 | PA      | $486001.13    | 0.07%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                     | PECO Energy Co                                                                                                         | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     343000 | PA      | $225765.87    | 0.03%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                                | Oportun Issuance Trust 2021-C                                                                                          | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     305000 | PA      | $264740.98    | 0.04%             | 2031-10-08      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HIGHLAND HOLDINGS SARL                                             | Highland Holdings Sarl                                                                                                 | CUSIP: 000000000<br>LEI: 549300WGY8GPJM4PQR36 | Long             | DBT              | CORP              | LU        |     420000 | PA      | $393363.21    | 0.06%             | 2026-12-15      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $960.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                          | Anchorage Capital CLO 4-R Ltd                                                                                          | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |     391807 | PA      | $387409.06    | 0.06%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                       | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                    | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $127283.64    | 0.02%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     140000 | PA      | $115688.54    | 0.02%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     179000 | PA      | $105592.11    | 0.02%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                          | Nelnet Student Loan Trust 2021-D                                                                                       | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $358549.83    | 0.05%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-289.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1176300 | PA      | $905410.18    | 0.13%             | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Republic of Turkey                                                 | Turkey Government International Bond                                                                                   | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     454000 | PA      | $294333.88    | 0.04%             | 2043-04-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                            | Eni SpA                                                                                                                | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     600000 | PA      | $636142.44    | 0.09%             | 2029-01-29      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| New Jersey Health Care Facilities Financing Authority              | NEW JERSEY ST HLTH CARE FACS FING AUTH REVENUE                                                                         | CUSIP: 645790QD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     160000 | PA      | $145581.44    | 0.02%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                 | Denmark Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     450000 | PA      | $80729.44     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp                                                 | Valero Energy Corp                                                                                                     | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |        419 | NS      | $53154.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455489 | PA      | $381794.50    | 0.05%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9009 | PA      | $8424.36      | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                   | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     190000 | PA      | $183059.47    | 0.03%             | 2031-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     133000 | PA      | $121274.90    | 0.02%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                           | BX Trust 2021-LBA                                                                                                      | CUSIP: 05609BBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $790964.19    | 0.11%             | 2036-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | SE        |          1 | NC      | $-39839.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                                          | Apple Inc                                                                                                              | CUSIP: 037833ED8<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     899000 | PA      | $723612.45    | 0.10%             | 2031-02-08      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Hipgnosis Music Assets LP                                          | Hipgnosis Music Assets 2022-1 LP                                                                                       | CUSIP: 43351RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     385000 | PA      | $354219.10    | 0.05%             | 2062-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | USD C JPY P @142.0000 EO                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1002000 | OU      | $-1410.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | FTSE 100 IDX FUT MAR23                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          1 | NC      | $-409.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                                            | Marathon Petroleum Corp                                                                                                | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |       1806 | NS      | $210200.34    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINL CO                                             | General Motors Financial Co Inc                                                                                        | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     200000 | PA      | $191507.70    | 0.03%             | 2026-02-26      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| UPJOHN FINANCE BV                                                  | Upjohn Finance BV                                                                                                      | CUSIP: 000000000<br>LEI: 254900OG32E8F3XO5O83 | Long             | DBT              | CORP              | NL        |     390000 | PA      | $398346.58    | 0.06%             | 2024-06-23      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $913.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                       | Ecopetrol SA                                                                                                           | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     663000 | PA      | $600015.00    | 0.09%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                               | Bank of America Corp                                                                                                   | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105748.63    | 0.02%             | 2024-06-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | 1Y RTP 1.750000 02-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -54059928 | OU      | $-1071609.19  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern Trust Co.                                                 | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 6PTKHDJ8HDUF78PFWH30 | N/A              | DFE              |  | CZ        |          1 | NC      | $5234.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407585 | PA      | $350493.40    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                                            | Volkswagen Leasing GmbH                                                                                                | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |      40000 | PA      | $32946.74     | 0.00%             | 2029-07-19      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193186 | PA      | $158968.67    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Emerald Technologies (U.S.) Acquisitionco, Inc                     | Emerald Technologies (U.S.) Acquisitionco, Inc Term Loan                                                               | CUSIP: 29102UAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     159944 | PA      | $150347.13    | 0.02%             | 2027-12-29      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8917 | PA      | $8530.84      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL NO SEA HOLD                                            | Shelf Drilling North Sea Holdings Ltd                                                                                  | CUSIP: 822541AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     177000 | PA      | $174322.88    | 0.02%             | 2025-10-31      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| RXO Inc                                                            | RXO Inc                                                                                                                | CUSIP: 74982T103<br>LEI: 549300KL8CA6GP8XPM30 | Long             | EC               | CORP              | US        |        372 | NS      | $6398.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                        | FSWP: EUR 1.927500 15-AUG-2031                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     630000 | OU      | $-61652.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $1102.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236334 | PA      | $193663.23    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Marathon Oil Corp                                                  | Marathon Oil Corp                                                                                                      | CUSIP: 565849106<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | EC               | CORP              | US        |        928 | NS      | $25120.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1147000 | PA      | $918040.55    | 0.13%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203131 | PA      | $184841.28    | 0.03%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Offerpad Solutions Inc                                             | Offerpad Solutions Inc                                                                                                 | CUSIP: 67623L117<br>LEI: N/A                  | N/A              | DE               |  | US        |       8529 | NS      | $191.90       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     570000 | PA      | $545291.41    | 0.08%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED AUD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |          1 | NC      | $10501.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |          1 | NC      | $28790.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                   | Crown Castle Inc                                                                                                       | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    1004000 | PA      | $878292.38    | 0.13%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                                           | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                   | CUSIP: 25381XAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      37162 | PA      | $16311.80     | 0.00%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                 | Union Pacific Corp                                                                                                     | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      39000 | PA      | $28101.85     | 0.00%             | 2050-02-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532417 | PA      | $457825.50    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                           | Benchmark 2021-B25 Mortgage Trust                                                                                      | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $165982.64    | 0.02%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | USD P MXN C @19.35000 EO                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |     680000 | OU      | $4687.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD TWD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $542.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29085 | PA      | $26838.52     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $5249.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                     | Amazon.com Inc                                                                                                         | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     165000 | PA      | $117514.12    | 0.02%             | 2051-05-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                            | Fidelity National Information Services Inc                                                                             | CUSIP: 31620MBC9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     230000 | PA      | $244294.81    | 0.03%             | 2023-05-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ALPHABET INC                                                                                                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -20 | NC      | $-22600.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Schlumberger Ltd                                                   | Schlumberger Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 213800ZUA17OK3QLGM62 | Long             | EC               | CORP              | CW        |       1713 | NS      | $91576.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FREEWIRE TECH NOTES + WTS                                          | FREEWIRE TECH NOTES + WTS                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318415 | PA      | $292145.93    | 0.04%             | 2025-03-31      | Floating      | 9.68%                 | No            |                  3 | On Loan: No      |
| iShares Latin America 40 ETF                                       | iShares Latin America 40 ETF                                                                                           | CUSIP: 464287390<br>LEI: 549300LU9LZBB8WGN795 | Long             | EC               | RF                | US        |       9782 | NS      | $223909.98    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Oportun Funding LLC                                                | Oportun Issuance Trust 2021-C                                                                                          | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     680000 | PA      | $594872.98    | 0.08%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| COVESTRO AG                                                        | Covestro AG                                                                                                            | CUSIP: 000000000<br>LEI: 3912005AWHKLQ1CPLV11 | Long             | DBT              | CORP              | DE        |      60000 | PA      | $58667.69     | 0.01%             | 2026-02-03      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Georgia State Road & Tollway Authority                             | GEORGIA ST ROAD & TOLLWAY AUTH REVENUE                                                                                 | CUSIP: 37358MEU1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      75000 | PA      | $77219.40     | 0.01%             | 2038-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 10Y RTP 3.750000 05-MAY-2023                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -11428263 | NC      | $-199734.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                                           | Puma International Financing SA                                                                                        | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |     251000 | PA      | $232175.00    | 0.03%             | 2024-10-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3219.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-498.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9ZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $7070.66      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     371000 | PA      | $345572.25    | 0.05%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | MCKESSON CORP                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          4 | NC      | $640.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SA                                                     | SWP: OIS 13.780000 02-JAN-2025                                                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |   20917888 | OU      | $81635.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                             | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     215000 | PA      | $221544.98    | 0.03%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | EXXON MOBIL CORP                                                                                                       | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -3 | NC      | $-139.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.547000 16-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23714491 | OU      | $1682925.43   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                               | BAT International Finance PLC                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $104184.28    | 0.01%             | 2025-03-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.630000 09-FEB-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   54116414 | OU      | $-5060141.24  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| IBM CORP                                                           | International Business Machines Corp                                                                                   | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $82444.39     | 0.01%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                      | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16                                                          | CUSIP: 46641BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $976058.50    | 0.14%             | 2046-12-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                       | UBS Group AG                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     305000 | PA      | $299395.20    | 0.04%             | 2026-01-29      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33605 | PA      | $33647.54     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126635 | PA      | $112364.55    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49336 | PA      | $47153.78     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                                             | American Airlines 2019-1 Class B Pass Through Trust                                                                    | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      72440 | PA      | $60877.87     | 0.01%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                               | YPF SA                                                                                                                 | CUSIP: 984245AR1<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     167000 | PA      | $99709.44     | 0.01%             | 2047-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $181965.71    | 0.03%             | 2028-02-19      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 31329J6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11449 | PA      | $11224.09     | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.705000 30-NOV-2051                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     989345 | OU      | $330382.30    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235466 | PA      | $193080.09    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL FIN                                              | Thames Water Utilities Finance PLC                                                                                     | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $91046.19     | 0.01%             | 2028-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | JAN23 XLF US P @ 35                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |      40600 | NC      | $43454.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F042616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   29324525 | PA      | $28217708.63  | 4.03%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                            | Walt Disney Co/The                                                                                                     | CUSIP: 254687FL5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     384000 | PA      | $321907.99    | 0.05%             | 2029-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46903 | PA      | $38626.33     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31419AA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6381 | PA      | $6566.67      | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265426 | PA      | $229057.70    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $24657.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTP 3.900000 01-DEC-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | LU        |  -38000000 | OU      | $-334053.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FREEWIRE WARRANTS TRANCHE A                                        | FREEWIRE WARRANTS TRANCHE A                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      34768 | NS      | $27119.04     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| VICI PROPERTIES LP                                                 | VICI Properties LP                                                                                                     | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     250000 | PA      | $231487.50    | 0.03%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177411 | PA      | $146102.92    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1823000 | PA      | $1633685.39   | 0.23%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2084.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                           | Banco Mercantil del Norte SA/Grand Cayman                                                                              | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     202000 | PA      | $179881.00    | 0.03%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wisconsin Health & Educational Facilities Authority                | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE                                                                          | CUSIP: 97712DQU3<br>LEI: 549300ISNGXS0VHGVD41 | Long             | DBT              | MUN               | US        |     125000 | PA      | $130515.75    | 0.02%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2833 | PA      | $2628.23      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VanEck Semiconductor ETF                                           | VanEck Semiconductor ETF                                                                                               | CUSIP: 92189F676<br>LEI: 549300MJTG2N9QRH7I02 | Long             | EC               | RF                | US        |        628 | NS      | $127446.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                                           | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                   | CUSIP: 25381XAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      56300 | PA      | $29276.00     | 0.00%             | 2025-12-31      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                           | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     700000 | PA      | $655479.47    | 0.09%             | 2049-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                           | Snam SpA                                                                                                               | CUSIP: 000000000<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     290000 | PA      | $281531.15    | 0.04%             | 2025-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                                      | HTA Group Ltd/Mauritius                                                                                                | CUSIP: 40435WAB6<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     205000 | PA      | $188190.00    | 0.03%             | 2025-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1025.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | SWP: CLP 1.650000 28-MAY-2023                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | 1315531000 | OU      | $-73243.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $950.36       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED HUF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |          1 | NC      | $18377.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | AMAZON.COM INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -37 | NC      | $-9712.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7883 | PA      | $7371.31      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                | COMM 2015-LC19 Mortgage Trust                                                                                          | CUSIP: 200474BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $476318.80    | 0.07%             | 2048-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                                            | Wintershall Dea Finance BV                                                                                             | CUSIP: 000000000<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |     800000 | PA      | $692671.39    | 0.10%             | 2028-09-25      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                                             | American Airlines 2015-2 Class AA Pass Through Trust                                                                   | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8997 | PA      | $8070.26      | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10932 | PA      | $9943.05      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                              | Prologis Euro Finance LLC                                                                                              | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |     200000 | PA      | $179185.11    | 0.03%             | 2027-09-10      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.910000 06-OCT-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23492412 | OU      | $-920735.55   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                            | United Rentals North America Inc                                                                                       | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     203000 | PA      | $201731.25    | 0.03%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27070 | PA      | $26592.79     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                          | Amgen Inc                                                                                                              | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     312000 | PA      | $291571.48    | 0.04%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P REGIONAL BANKING ETF                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -158 | NC      | $-1659.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Oportun Funding LLC                                                | Oportun Issuance Trust 2021-B                                                                                          | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190000 | PA      | $165950.90    | 0.02%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232000 | PA      | $1127129.60   | 0.16%             | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROMIGAS/GASES PACIFICO                                            | Promigas SA ESP / Gases del Pacifico SAC                                                                               | CUSIP: 74348DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     213000 | PA      | $173328.75    | 0.02%             | 2029-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129621 | PA      | $124927.80    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74637 | PA      | $61633.94     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $3722.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD CHF                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3144.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                                            | CBAM 2017-1 Ltd                                                                                                        | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |     398697 | PA      | $394430.33    | 0.06%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     166000 | PA      | $124599.13    | 0.02%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (PHILIP)                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    1451646 | OU      | $-2485.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                           | Permian Resources Operating LLC                                                                                        | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      25000 | PA      | $22757.12     | 0.00%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                   | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     495000 | PA      | $459206.86    | 0.07%             | 2028-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $193986.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TNB GLOBAL VENTURES CAP                                            | TNB Global Ventures Capital Bhd                                                                                        | CUSIP: 000000000<br>LEI: 5493004U8XEGPFWIBZ14 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $192037.50    | 0.03%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                                 | Shackleton 2013-III CLO Ltd                                                                                            | CUSIP: 81881QAS5<br>LEI: 549300S9WB2KLCOJR134 | Long             | ABS-CBDO         | CORP              | KY        |     397822 | PA      | $390096.29    | 0.06%             | 2030-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2917000 | PA      | $2880223.19   | 0.41%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                           | AT&T Inc                                                                                                               | CUSIP: 000000000<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     100000 | PA      | $121733.54    | 0.02%             | 2027-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                           | Discovery Communications LLC                                                                                           | CUSIP: 000000000<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     810000 | PA      | $782376.92    | 0.11%             | 2027-03-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487385 | PA      | $418510.42    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAWAG P.S.K.                                                       | BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG                                        | CUSIP: 000000000<br>LEI: 529900ICA8XQYGIKR372 | Long             | DBT              | CORP              | AT        |     800000 | PA      | $718436.03    | 0.10%             | 2027-09-03      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $2476.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                           | Marsh & McLennan Cos Inc                                                                                               | CUSIP: 571748BQ4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      68000 | PA      | $43573.55     | 0.01%             | 2051-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $569.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | DYNATRACE INC                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -7 | NC      | $-350.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED INR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |          1 | NC      | $-3544.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6132 | PA      | $6201.44      | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                | LYB International Finance III LLC                                                                                      | CUSIP: 50249AAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      78000 | PA      | $52188.16     | 0.01%             | 2051-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KENBOURNE INVEST SA                                                | Kenbourne Invest SA                                                                                                    | CUSIP: 48855KAA8<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |     225000 | PA      | $212526.56    | 0.03%             | 2024-11-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242417 | PA      | $207311.52    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ABBOTT LABORATORIES                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -7 | NC      | $-56.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.700000 15-DEC-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    1225000 | OU      | $2175.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                              | Wells Fargo Commercial Mortgage Trust 2019-C50                                                                         | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12917879 | PA      | $803457.20    | 0.11%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Green Plains Operating Company LLC                                 | Green Plains Operating Company LLC Term Loan                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     540000 | PA      | $532602.00    | 0.08%             | 2026-07-20      | Floating      | 10.51%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12451 | PA      | $11642.95     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                    | Gen Digital Inc                                                                                                        | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     184000 | PA      | $180320.00    | 0.03%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: IFS 2.706030 15-NOV-2032                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     900000 | OU      | $5041.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED KRW / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $45513.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343107 | PA      | $293418.11    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |          1 | NC      | $1079.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Katy Independent School District                                   | KATY TX INDEP SCH DIST                                                                                                 | CUSIP: 486063P61<br>LEI: 254900H9QSKVP2HWVL72 | Long             | DBT              | MUN               | US        |    1410000 | PA      | $1363125.96   | 0.19%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                        | Equinix Inc                                                                                                            | CUSIP: 29444UBM7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      81000 | PA      | $50452.61     | 0.01%             | 2051-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                              | Micron Technology Inc                                                                                                  | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |       2575 | NS      | $128698.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EARTHSTONE ENERGY HOL                                              | Earthstone Energy Holdings LLC                                                                                         | CUSIP: 27034RAA1<br>LEI: 549300HGVO86L8G72J25 | Long             | DBT              | CORP              | US        |     324000 | PA      | $309954.60    | 0.04%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                                       | KBC Group NV                                                                                                           | CUSIP: 000000000<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     100000 | PA      | $102927.11    | 0.01%             | 2027-09-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                        | Swedbank AB                                                                                                            | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     100000 | PA      | $102960.72    | 0.01%             | 2027-12-08      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1299 | PA      | $1241.39      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | 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        |     252000 | PA      | $145746.81    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                       | Ares XXXVII CLO Ltd                                                                                                    | CUSIP: 04015NAG9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $395856.16    | 0.06%             | 2030-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                                  | Jamestown CLO XV Ltd                                                                                                   | CUSIP: 47050EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $974798.50    | 0.14%             | 2033-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ETBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1997 | PA      | $1898.11      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1081398.39   | 0.15%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: PLN 5.920000 15-MAR-2028                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    3426000 | OU      | $5665.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284631 | PA      | $234931.58    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD TWD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $2693.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9Y23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8476 | PA      | $8304.49      | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd                                                          | Chubb Ltd                                                                                                              | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |        383 | NS      | $84489.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31417GHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120880 | PA      | $109985.55    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | USD P MXN C @19.75000 EO                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -278000 | OU      | $-3963.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENKO MAURITIUS LTD                                              | Greenko Mauritius Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 2138005EDWGI4914B264 | Long             | DBT              | CORP              | MU        |     200000 | PA      | $198500.00    | 0.03%             | 2023-02-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED SGD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SG        |          1 | NC      | $11294.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                           | Benchmark 2020-B21 Mortgage Trust                                                                                      | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5028874 | PA      | $383121.22    | 0.05%             | 2053-12-17      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | MICRON TECHNOLOGY INC                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -35 | NC      | $-3657.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     451000 | PA      | $406439.85    | 0.06%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $2444.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3738 | PA      | $3389.05      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11173 | PA      | $10579.37     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                           | New York Life Global Funding                                                                                           | CUSIP: 000000000<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     150000 | PA      | $179470.33    | 0.03%             | 2025-09-16      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                                 | Cold Storage Trust 2020-ICE5                                                                                           | CUSIP: 193051AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982991 | PA      | $936664.93    | 0.13%             | 2037-11-15      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN NETH                                           | Imperial Brands Finance Netherlands BV                                                                                 | CUSIP: 000000000<br>LEI: 724500GIEFJOBWGD0272 | Long             | DBT              | CORP              | NL        |     270000 | PA      | $203235.20    | 0.03%             | 2033-03-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                             | Service Experts Issuer 2021-1 LLC                                                                                      | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     302033 | PA      | $274305.33    | 0.04%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5354 | PA      | $5172.64      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.195000 05-FEB-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2857139 | OU      | $535482.67    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |          1 | NC      | $-233.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46482 | PA      | $42342.47     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                              | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     183000 | PA      | $164604.29    | 0.02%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                         | CUSIP: 61761JVL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     880000 | PA      | $858896.12    | 0.12%             | 2024-10-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.237500 10-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5683733 | OU      | $-2353587.86  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD DKK                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 5Y RTR 2.500000 14-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   -8516000 | OU      | $-23221.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED JPY / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |          1 | NC      | $66574.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US ULTRA BOND CBT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        363 | NC      | $-464780.15   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.570000 27-MAY-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7832891 | OU      | $1309012.79   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12111 | PA      | $11594.05     | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A8S40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24142 | PA      | $21803.02     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: PLN 5.670000 15-MAR-2028                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    1144000 | OU      | $4510.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                            | DBJPM 2016-C3 Mortgage Trust                                                                                           | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $343084.88    | 0.05%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     278000 | PA      | $219500.29    | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD SEK                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2979.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     508000 | PA      | $504653.98    | 0.07%             | 2024-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED TWD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $-336.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Finsbury Square                                                    | Finsbury Square                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     281942 | PA      | $331622.28    | 0.05%             | 2067-12-16      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| INDUSTRIAS PENOLES SAB D                                           | Industrias Penoles SAB de CV                                                                                           | CUSIP: 000000000<br>LEI: 549300WA2HB7776CB324 | Long             | DBT              | CORP              | MX        |     225000 | PA      | $210417.19    | 0.03%             | 2049-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200835 | PA      | $177198.62    | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                             | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                 | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    1797000 | PA      | $1544633.81   | 0.22%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                | Global Payments Inc                                                                                                    | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     247000 | PA      | $215470.76    | 0.03%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                                            | Volkswagen Leasing GmbH                                                                                                | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |     225000 | PA      | $208443.17    | 0.03%             | 2026-07-20      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                   | CIFC Funding 2014-V Ltd                                                                                                | CUSIP: 12550AAT3<br>LEI: 549300Y56VCWZJQV2Z14 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1975353.80   | 0.28%             | 2031-10-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY PARTNERS                                            | Colgate Energy Partners III LLC                                                                                        | CUSIP: 19416MAA7<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |      35000 | PA      | $33951.39     | 0.00%             | 2026-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                              | Wells Fargo Commercial Mortgage Trust 2016-NXS5                                                                        | CUSIP: 95000CBG7<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1247714.16   | 0.18%             | 2059-01-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                   | GoodLeap Sustainable Home Solutions Trust 2021-3                                                                       | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     416825 | PA      | $296356.46    | 0.04%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| SES SA                                                             | SES SA                                                                                                                 | CUSIP: 000000000<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |     408000 | PA      | $371948.14    | 0.05%             | 2028-07-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Industrial Select Sector SPDR Fund                                 | Industrial Select Sector SPDR Fund                                                                                     | CUSIP: 81369Y704<br>LEI: 549300HQI51T8KP6U325 | Long             | EC               | RF                | US        |       1485 | NS      | $145841.85    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Trimaran Advisors CAVU 2019-1                                      | Trimaran Cavu 2019-1 Ltd                                                                                               | CUSIP: 89624CAG7<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $479821.80    | 0.07%             | 2032-07-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |  105780000 | PA      | $15470985.68  | 2.21%             | 2031-05-27      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | WALT DISNEY CO/THE                                                                                                     | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -13 | NC      | $-2769.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEDLINE BORROWER LP                                                | Medline Borrower LP                                                                                                    | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     508000 | PA      | $409427.68    | 0.06%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| iShares iBoxx High Yield Corporate Bond ETF                        | iShares iBoxx High Yield Corporate Bond ETF                                                                            | CUSIP: 464288513<br>LEI: 549300FCCXHK7O37PQ68 | Long             | EC               | RF                | US        |     122210 | NS      | $8998322.30   | 1.28%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $2476.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRESENIUS FIN IRELAND PL                                           | Fresenius Finance Ireland PLC                                                                                          | CUSIP: 000000000<br>LEI: 549300GFSOR556BX2290 | Long             | DBT              | CORP              | IE        |     486000 | PA      | $361113.12    | 0.05%             | 2031-10-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                              | Norfolk Southern Corp                                                                                                  | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     122000 | PA      | $104159.71    | 0.01%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-BTP FUTURE MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         45 | NC      | $-419098.76   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CAP HILL BRANDS PREF EQUITY                                        | CAP HILL BRANDS PREF EQUITY                                                                                            | CUSIP: 000000000<br>LEI: U246OE781574J2BUD366 | Long             | EC               | CORP              | US        |     265896 | NS      | $420115.68    | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                                            | United Airlines 2019-2 Class B Pass Through Trust                                                                      | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45772 | PA      | $39397.80     | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                     | NRG Energy Inc                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     243000 | PA      | $201338.82    | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                          | Boeing Co/The                                                                                                          | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      44000 | PA      | $29546.89     | 0.00%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $7177.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDI ESCROW ISSUER INC                                              | CDI Escrow Issuer Inc                                                                                                  | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     119000 | PA      | $106675.07    | 0.02%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                        | OCP CLO 2013-4 Ltd                                                                                                     | CUSIP: 67105HBC8<br>LEI: 254900OVGEI8FTD7PT85 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242012.55    | 0.03%             | 2029-04-24      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-64.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                           | BX 2021-MFM1                                                                                                           | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390000 | PA      | $358729.41    | 0.05%             | 2034-01-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                         | Vonovia SE                                                                                                             | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $175553.72    | 0.03%             | 2027-06-16      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                  | Hellenic Republic Government Bond                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    1740000 | PA      | $1508877.77   | 0.22%             | 2030-06-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (CHILE)                                                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     184748 | OU      | $655.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1024.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                 | Regional Management Issuance Trust 2022-1                                                                              | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     182000 | PA      | $166025.15    | 0.02%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $10727.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     301000 | PA      | $235908.75    | 0.03%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $825.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44199 | PA      | $42162.41     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED IDR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $1145.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                               | BX Commercial Mortgage Trust 2019-XL                                                                                   | CUSIP: 056054AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935000 | PA      | $894980.41    | 0.13%             | 2036-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2726000 | PA      | $2556061.00   | 0.36%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186863 | PA      | $166412.65    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Profrac Services, LLC                                              | Profrac Services, LLC 2022 Term Loan                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     225894 | PA      | $231541.78    | 0.03%             | 2025-03-04      | Floating      | 12.10%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76380 | PA      | $65170.87     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                | Elevance Health Inc                                                                                                    | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     335000 | PA      | $357133.94    | 0.05%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 2Y RTR 3.300000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -42311948 | OU      | $-77777.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     117000 | PA      | $95232.55     | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                          | Apple Inc                                                                                                              | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     520000 | PA      | $472044.60    | 0.07%             | 2032-08-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Sarcos Technology and Robotics Corp                                | Sarcos Technology and Robotics Corp                                                                                    | CUSIP: 80359A106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1832 | NS      | $1028.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        669 | PA      | $624.19       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Domivest B.V.                                                      | Domi 2021-1 BV                                                                                                         | CUSIP: 000000000<br>LEI: 724500GC0MQI1HTJVG97 | Long             | ABS-MBS          | CORP              | NL        |     139712 | PA      | $146461.16    | 0.02%             | 2053-06-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                   | Societe Generale SA                                                                                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $750811.56    | 0.11%             | 2030-11-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                         | Biogen Inc                                                                                                             | CUSIP: 09062XAG8<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |      44000 | PA      | $28601.80     | 0.00%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAPTION MAR23 0.4 CALL                                                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        | -123604533 | NC      | $-8.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     356000 | OU      | $4654.36      | 0.00%             |  |  |  | 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        |     190000 | PA      | $162575.24    | 0.02%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                   | OneMain Financial Issuance Trust 2022-2                                                                                | CUSIP: 68268VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     280000 | PA      | $273329.22    | 0.04%             | 2034-10-14      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | EXXON MOBIL CORP                                                                                                       | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -12 | NC      | $-30.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                             | PURCHASED EUR / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |          1 | NC      | $-1751.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.400000 12-OCT-2031                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7022948 | OU      | $1320324.04   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Wisconsin Health & Educational Facilities Authority                | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE                                                                          | CUSIP: 97712DQV1<br>LEI: 549300ISNGXS0VHGVD41 | Long             | DBT              | MUN               | US        |     125000 | PA      | $127891.38    | 0.02%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                       | AES Corp/The                                                                                                           | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     400000 | PA      | $318208.50    | 0.05%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XAU9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1004000 | PA      | $979494.90    | 0.14%             | 2024-07-08      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2313 | PA      | $2079.41      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104374 | PA      | $97394.12     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                         | AbbVie Inc                                                                                                             | CUSIP: 00287YBF5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     814000 | PA      | $785161.83    | 0.11%             | 2028-11-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| iShares China Large-Cap ETF                                        | iShares China Large-Cap ETF                                                                                            | CUSIP: 464287184<br>LEI: 5493001YVWPO25CNKN94 | Long             | EC               | RF                | US        |      13546 | NS      | $383351.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30067 | PA      | $28799.86     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $733.93       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ALIGN TECHNOLOGY INC                                                                                                   | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -2 | NC      | $-330.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $176.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2496 | PA      | $2334.52      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QKM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505254 | PA      | $433411.86    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                     | Morgan Stanley Capital I Trust 2017-H1                                                                                 | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $299200.00    | 0.04%             | 2050-06-15      | Variable      | 4.28%                 | No            |                  3 | On Loan: No      |
| Options Clearing Corp.                                             | EOG RESOURCES INC                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -21 | NC      | $-2100.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 9.250000 17-SEP-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   17125000 | OU      | $-28937.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-12192.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2016-GC36                                                                          | CUSIP: 17324TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $352398.49    | 0.05%             | 2049-02-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                         | VMware Inc                                                                                                             | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     323000 | PA      | $245113.04    | 0.03%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                         | Apidos CLO XXXVI                                                                                                       | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238842.85    | 0.03%             | 2034-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY LEVANTE                                           | Continuum Energy Levanter Pte Ltd                                                                                      | CUSIP: 21218MAB1<br>LEI: 254900MFSMO37F3WJ232 | Long             | DBT              | CORP              | SG        |     209948 | PA      | $189477.62    | 0.03%             | 2027-02-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                  | HSBC Holdings PLC                                                                                                      | CUSIP: 404280CR8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $103911.68    | 0.01%             | 2027-07-24      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     860000 | PA      | $686049.96    | 0.10%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                              | Republic Services Inc                                                                                                  | CUSIP: 760759BA7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     105000 | PA      | $83737.74     | 0.01%             | 2033-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.450000 11-DEC-2050                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1791106 | OU      | $672597.99    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10Y NOTE W1 OP JAN23P 113.5                                                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        454 | NC      | $595875.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $129748.39    | 0.02%             | 2028-04-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.835000 08-NOV-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2545100 | OU      | $-792449.87   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1979000 | PA      | $1713092.79   | 0.24%             | 2038-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                                      | JDE Peet's NV                                                                                                          | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $190017.63    | 0.03%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6826.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2015-P1                                                                            | CUSIP: 17324DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $356857.01    | 0.05%             | 2048-09-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6423 | PA      | $6169.11      | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                                             | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     299000 | PA      | $287750.13    | 0.04%             | 2026-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Conair Holdings, LLC                                               | Conair Holdings, LLC Term Loan B                                                                                       | CUSIP: 20600RAB8<br>LEI: 549300804G00T34FLV17 | Long             | LON              | CORP              | US        |      48509 | PA      | $40565.46     | 0.01%             | 2028-05-17      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                   | Crown Castle Inc                                                                                                       | CUSIP: 22822VAU5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      41000 | PA      | $26657.10     | 0.00%             | 2051-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| China Evergrande Group                                             | China Evergrande Group                                                                                                 | CUSIP: 000000000<br>LEI: 549300CUF7B1LAB15T90 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $13500.00     | 0.00%             | 2022-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | S+P 500 INDEX                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         16 | NC      | $200.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     654898 | PA      | $583207.15    | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $2589.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145863 | PA      | $125670.43    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10YR ULTRA FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1752 | NC      | $1966648.54   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 10Y RTP 3.450000 18-APR-2023                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   -5856079 | NC      | $-158561.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ELI LILLY + CO                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -6 | NC      | $-1287.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11237 | PA      | $10220.51     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                              | Entergy Louisiana LLC                                                                                                  | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1157000 | PA      | $919489.34    | 0.13%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.380000 14-OCT-2031                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6214676 | OU      | $1177955.48   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | CVS HEALTH CORP                                                                                                        | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         18 | NC      | $117.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                                   | Altria Group Inc                                                                                                       | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      90000 | PA      | $56368.86     | 0.01%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-4634.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        346 | NC      | $23009.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Coterra Energy Inc                                                 | Coterra Energy Inc                                                                                                     | CUSIP: 127097103<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | EC               | CORP              | US        |       2100 | NS      | $51597.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.543000 21-DEC-2027                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5019080 | OU      | $-7732.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156254 | PA      | $128579.69    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENER MEDIT/CENT TERMICA                                           | Generacion Mediterranea SA / Central Termica Roca SA                                                                   | CUSIP: 36875KAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |     341569 | PA      | $212477.46    | 0.03%             | 2027-12-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 1Y RTP 4.400000 09-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -178364823 | OU      | $-940735.32   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| HP INC                                                             | HP Inc                                                                                                                 | CUSIP: 40434LAL9<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     217000 | PA      | $186574.08    | 0.03%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                     | Amazon.com Inc                                                                                                         | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     181000 | PA      | $149363.11    | 0.02%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/CDS: (ITRAXX.JPN.38.V1)                                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | JP        |   57035000 | OU      | $-2859.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lyford Consolidated Independent School District/TX                 | LYFORD TX CONSOL INDEP SCH DIST                                                                                        | CUSIP: 550850FZ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     155000 | PA      | $148267.42    | 0.02%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.462500 21-DEC-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12740000 | OU      | $-1499.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2822269.12   | 0.40%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                           | Neuberger Berman Loan Advisers CLO 46 Ltd                                                                              | CUSIP: 64134QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237445.35    | 0.03%             | 2036-01-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A7UM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3793 | PA      | $3425.54      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NA                                                  | USD P BRL C @4.900000 EO                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |    -824000 | OU      | $-2785.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $293.84       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                    | CFCRE Commercial Mortgage Trust 2018-TAN                                                                               | CUSIP: 12528DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $743198.70    | 0.11%             | 2033-02-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| HYDROFARM HOLDINGS LLC                                             | Hydrofarm Holdings LLC 2021 Term Loan                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      99000 | PA      | $84150.00     | 0.01%             | 2028-09-27      | Floating      | 9.89%                 | No            |                  3 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED INR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IN        |          1 | NC      | $-2513.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     135000 | PA      | $90891.00     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                                              | Traton Finance Luxembourg SA                                                                                           | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |    2000000 | PA      | $2018067.05   | 0.29%             | 2024-06-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1733.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAP/CDSWAP/CDS: (CMBX.NA.9.A)                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     187333 | OU      | $-9790.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40185 | PA      | $35892.94     | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARABIAN CENTRES SUKUK II                                           | Arabian Centres Sukuk II Ltd                                                                                           | CUSIP: 03847QAA1<br>LEI: 549300X92PKHJD8UYG94 | Long             | DBT              | CORP              | KY        |     322000 | PA      | $291571.00    | 0.04%             | 2026-10-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                                       | KBC Group NV                                                                                                           | CUSIP: 000000000<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     400000 | PA      | $419677.86    | 0.06%             | 2024-01-25      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28108 | PA      | $26280.81     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                            | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   20100000 | PA      | $977168.00    | 0.14%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RENEW POWER PVT LTD                                                | ReNew Power Pvt Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |     200000 | PA      | $191100.00    | 0.03%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $1576.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |          1 | NC      | $-11261.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US BOND FUTR OPTN FEB23P 129                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          3 | NC      | $12703.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PLANET LABS PBC                                                    | PLANET LABS PBC                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      19680 | NS      | $85608.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED MXN / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $-3309.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                             | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      64000 | PA      | $49760.00     | 0.01%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MERCK FIN SERVICES GMBH                                            | Merck Financial Services GmbH                                                                                          | CUSIP: 000000000<br>LEI: 549300OELEN3ZS5RB682 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $99029.00     | 0.01%             | 2025-07-16      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                          | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                                                            | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $379246.04    | 0.05%             | 2048-10-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155180 | PA      | $143798.27    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MNTN DIGITAL                                                       | MNTN DIGITAL                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       6037 | NS      | $57955.20     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.060000 21-DEC-2023                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   80860780 | OU      | $20741.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Health & Educational Facilities Authority of the State of Missouri | MISSOURI ST HLTH & EDUCTNL FACS AUTH HLTH FACS REVENUE                                                                 | CUSIP: 60637AHZ8<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |     650000 | PA      | $595410.40    | 0.09%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51615 | PA      | $48280.00     | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87582 | PA      | $72125.83     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                | Nomura Holdings Inc                                                                                                    | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $197798.69    | 0.03%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $395.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Phillips 66                                                        | Phillips 66                                                                                                            | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |       1974 | NS      | $205453.92    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MABR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17837 | PA      | $16704.46     | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20225 | PA      | $20039.76     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                              | Wells Fargo & Co                                                                                                       | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     145000 | PA      | $149393.06    | 0.02%             | 2024-04-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $521.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3228768 | PA      | $3035407.92   | 0.43%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.420000 08-APR-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12190458 | OU      | $-2172423.68  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | 3 MONTH SOFR FUT MAR23                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          7 | NC      | $-1587.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REALKREDIT DANMARK                                                 | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          0 | PA      | $0.02         | 0.00%             | 2038-01-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 5YR FUTR OPTN FEB23C 108.2                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -10 | NC      | $-4843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                             | XPO INC                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          5 | NC      | $237.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $2542.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203002 | PA      | $188242.64    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ROCKWELL AUTOMATION INC                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -6 | NC      | $-1005.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                             | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     154000 | PA      | $125573.35    | 0.02%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO                                           | British American Tobacco PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |     430000 | PA      | $356408.77    | 0.05%             | 2026-09-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                | Erste Group Bank AG                                                                                                    | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     500000 | PA      | $471356.38    | 0.07%             | 2030-06-10      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2538900 | PA      | $2199596.48   | 0.31%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13675 | PA      | $13689.68     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| China Development Bank                                             | China Development Bank                                                                                                 | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |    1400000 | PA      | $204495.74    | 0.03%             | 2024-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10808 | PA      | $10588.59     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED TWD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $-177.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APTIV PLC                                                          | Aptiv PLC                                                                                                              | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      45000 | PA      | $26594.41     | 0.00%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.385000 10-FEB-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   20840354 | OU      | $-2465389.83  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD BRL                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1985.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 10Y RTP 4.820000 07-NOV-2023                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    4401022 | OU      | $37211.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | GBP P USD C @1.210000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |     558000 | OU      | $8974.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     600000 | PA      | $476801.75    | 0.07%             | 2031-02-24      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | EUR C USD P @1.060000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    9198630 | OU      | $182143.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria                                                | Republic of Austria Government Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     556000 | PA      | $535057.76    | 0.08%             | 2028-02-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10YR NOTE (CBT)MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -25 | NC      | $7072.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $662.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32908 | PA      | $31400.38     | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                    | Nissan Motor Co Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     100000 | PA      | $99217.82     | 0.01%             | 2026-03-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                             | Anglo American Capital PLC                                                                                             | CUSIP: 000000000<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $99304.26     | 0.01%             | 2026-03-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.491500 23-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15879655 | OU      | $1151615.84   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED PLN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $2996.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co                                          | Archer-Daniels-Midland Co                                                                                              | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |       1469 | NS      | $136396.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                             | SCHLUMBERGER LTD                                                                                                       | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | CW        |        -12 | NC      | $-444.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC BANK USA, NA                                                  | USD P BRL C @5.300000 EO                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |     550000 | OU      | $13455.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ConnectWise, LLC                                                   | ConnectWise, LLC 2021 Term Loan B                                                                                      | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     110880 | PA      | $105093.17    | 0.02%             | 2028-09-29      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    8500000 | PA      | $1241300.66   | 0.18%             | 2024-10-17      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD C CLP P @920.00 EO                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     688000 | OU      | $940.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5642 | PA      | $5279.25      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60662 | PA      | $49829.87     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                           | BX 2021-MFM1                                                                                                           | CUSIP: 05608VAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $692444.28    | 0.10%             | 2034-01-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD CHF                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3144.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.150000 10-NOV-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22414236 | OU      | $2491386.91   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                       | GS Mortgage Securities Trust 2020-GSA2                                                                                 | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3623593 | PA      | $335299.44    | 0.05%             | 2053-12-12      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $214194.52    | 0.03%             | 2026-11-03      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| HP Inc                                                             | HP Inc                                                                                                                 | CUSIP: 428236BR3<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28783.80     | 0.00%             | 2041-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.912000 22-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1118376 | OU      | $324374.57    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                     | Lowe's Cos Inc                                                                                                         | CUSIP: 548661DZ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     147000 | PA      | $93512.46     | 0.01%             | 2050-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2396.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3202 | PA      | $2981.79      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                           | Service Properties Trust                                                                                               | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      32000 | PA      | $30493.62     | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                | Suzano Austria GmbH                                                                                                    | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     248000 | PA      | $193130.00    | 0.03%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                                        | Gulf Stream Meridian 4 Ltd                                                                                             | CUSIP: 402562AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240644.13    | 0.03%             | 2034-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                 | Ukraine Government International Bond                                                                                  | CUSIP: 903724BM3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     200000 | PA      | $37037.50     | 0.01%             | 2034-09-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | HUMANA INC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          1 | NC      | $2095.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of South Africa                                           | Republic of South Africa Government Bond                                                                               | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   99396000 | PA      | $5215002.83   | 0.74%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 10.300000 18-SEP-2023                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   28852000 | OU      | $-7701.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9578 | PA      | $8588.74      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173877 | PA      | $143457.94    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                            | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     118000 | PA      | $109008.15    | 0.02%             | 2028-05-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                    | Naked Juice LLC 2nd Lien Term Loan                                                                                     | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |      20000 | PA      | $15731.20     | 0.00%             | 2030-01-24      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Northern Trust Co.                                                 | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: 6PTKHDJ8HDUF78PFWH30 | N/A              | DFE              |  | US        |          1 | NC      | $-200.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED PLN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |          1 | NC      | $219.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415595 | PA      | $357068.93    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79514 | PA      | $65628.85     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $609895.45    | 0.09%             | 2025-03-17      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16968 | PA      | $16213.25     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.760000 28-JAN-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33146793 | OU      | $-5302950.63  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| Kapitus Asset Securitization LLC                                   | Kapitus Asset Securitization LLC                                                                                       | CUSIP: 48555HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     334000 | PA      | $309772.68    | 0.04%             | 2028-07-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P JPY C @124.7000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -9530000 | OU      | $-194288.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                            | Becton Dickinson and Co                                                                                                | CUSIP: 075887CH0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     495000 | PA      | $527482.77    | 0.08%             | 2023-05-24      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (COLOM)                                                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     695000 | OU      | $50370.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | EUR C USD P @1.090000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -9198630 | OU      | $-49125.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Sri Lanka                                              | Sri Lanka Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     200000 | PA      | $58750.00     | 0.01%             | 2024-03-14      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60296 | PA      | $57791.71     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                          | Amgen Inc                                                                                                              | CUSIP: 000000000<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     100000 | PA      | $123341.66    | 0.02%             | 2026-12-07      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88657 | PA      | $74732.32     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1126000 | PA      | $1069015.31   | 0.15%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      91000 | PA      | $56839.87     | 0.01%             | 2052-07-21      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                             | New Zealand Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     100000 | PA      | $60533.91     | 0.01%             | 2025-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Aruba Investments, Inc.                                            | Aruba Investments, Inc. 2020 USD Term Loan                                                                             | CUSIP: 04317JAB4<br>LEI: 254900GMIYFF4FZ0A357 | Long             | LON              | CORP              | US        |     108900 | PA      | $105542.61    | 0.02%             | 2027-11-24      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ELI LILLY + CO                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          2 | NC      | $5605.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Great Canadian Gaming Corporation                                  | Great Canadian Gaming Corporation 2021 Term Loan                                                                       | CUSIP: 000000000<br>LEI: 549300FU60SSFLTE0M84 | Long             | LON              | CORP              | CA        |      33830 | PA      | $33139.19     | 0.00%             | 2026-11-01      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $777434.95    | 0.11%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                           | Independence Plaza Trust 2018-INDP                                                                                     | CUSIP: 45378YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $933601.80    | 0.13%             | 2035-07-10      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2016-C2                                                                            | CUSIP: 17291CBU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $645934.80    | 0.09%             | 2049-08-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 4.412000 07-DEC-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1620000 | OU      | $2267.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | S+P500 EMINI FUT MAR23                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -27 | NC      | $118810.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14334 | PA      | $13681.11     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.572600 27-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8208910 | OU      | $583497.53    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4603 | PA      | $4124.25      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20310 | PA      | $19035.62     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4530 | PA      | $4247.38      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     322000 | OU      | $4209.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                    | Kingdom of Belgium Government Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     351000 | PA      | $267794.71    | 0.04%             | 2047-06-22      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                               | Heathrow Funding Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     735000 | PA      | $712659.36    | 0.10%             | 2028-03-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                              | Takeda Pharmaceutical Co Ltd                                                                                           | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $396587.87    | 0.06%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1171006.50   | 0.17%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                 | GLENCORE PLC                                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               |  | JE        |          7 | NC      | $828.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| American Auto Auction Group, LLC                                   | American Auto Auction Group, LLC 2021 Term Loan B                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     418770 | PA      | $322034.13    | 0.05%             | 2027-12-30      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29098 | PA      | $27582.88     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 3.469500 01-DEC-2025                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1690000 | OU      | $8270.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                           | California Resources Corp                                                                                              | CUSIP: 13057QAH0<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48052.00     | 0.01%             | 2026-02-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39940 | PA      | $38440.89     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                         | CUSIP: 61746BDQ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     176000 | PA      | $173265.92    | 0.02%             | 2024-04-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: GBP 3.956000 13-SEP-2024                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     855000 | OU      | $-5033.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2806000 | PA      | $2326530.53   | 0.33%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.900000 15-NOV-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   18193706 | OU      | $-1019377.02  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                           | Discovery Communications LLC                                                                                           | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      89000 | PA      | $53477.58     | 0.01%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                           | Rogers Communications Inc                                                                                              | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     402000 | PA      | $346907.32    | 0.05%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                       | GS Mortgage Securities Corp Trust 2021-ROSS                                                                            | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93471.64     | 0.01%             | 2026-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114924 | PA      | $93680.19     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606000 | PA      | $600381.91    | 0.09%             | 2053-01-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                                 | Viterra Finance BV                                                                                                     | CUSIP: 000000000<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |    1345000 | PA      | $1280339.18   | 0.18%             | 2025-09-24      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: OIS 3.314000 07-DEC-2025                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     830000 | OU      | $5901.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                               | Kraft Heinz Foods Co                                                                                                   | CUSIP: 000000000<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     100000 | PA      | $115350.76    | 0.02%             | 2027-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                             | Russian Federal Bond - OFZ                                                                                             | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   27309000 | PA      | $99978.71     | 0.01%             | 2035-07-18      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTL HLDINGS NE                                           | Mondelez International Holdings Netherlands BV                                                                         | CUSIP: 000000000<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |     120000 | PA      | $81170.04     | 0.01%             | 2041-09-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                             | Rockford Tower CLO 2017-3 Ltd                                                                                          | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $394400.28    | 0.06%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                                  | Genius Sports Ltd                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GG        |      26450 | NS      | $94426.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                             | LULULEMON ATHLETICA INC                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          4 | NC      | $656.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                             | MSCI EMGMKT MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          2 | NC      | $-3054.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QQFB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99381 | PA      | $90562.33     | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1086000 | PA      | $881810.86    | 0.13%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                            | United Kingdom Inflation-Linked Gilt                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |          0 | PA      | $0.01         | 0.00%             | 2051-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231996 | PA      | $211467.53    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                                           | Alimentation Couche-Tard Inc                                                                                           | CUSIP: 000000000<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $494672.91    | 0.07%             | 2026-05-06      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust                                                                             | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     935000 | PA      | $888921.70    | 0.13%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175AY0<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | DBT              | CORP              | US        |    1868000 | PA      | $1830828.63   | 0.26%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.720000 15-OCT-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     700000 | OU      | $9519.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21928 | PA      | $21108.81     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $90109.59     | 0.01%             | 2032-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                             | Cox Communications Inc                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      44000 | PA      | $26380.25     | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                            | Oncor Electric Delivery Co LLC                                                                                         | CUSIP: 68233JCE2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     663000 | PA      | $625528.31    | 0.09%             | 2032-06-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-149.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                 | Meta Platforms Inc                                                                                                     | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     190000 | PA      | $150983.64    | 0.02%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                                     | Microsoft Corp                                                                                                         | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |        300 | NS      | $71946.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                     | 280 Park Avenue 2017-280P Mortgage Trust                                                                               | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $312998.18    | 0.04%             | 2034-09-15      | Floating      | 6.36%                 | No            |                  3 | On Loan: No      |
| KBC GROUP NV                                                       | KBC Group NV                                                                                                           | CUSIP: 000000000<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     600000 | PA      | $530771.68    | 0.08%             | 2031-12-07      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | Dual Binary Option: Payout at expiration if the S&P 500 Index is below or at 3687.14 and USOSFR10 is below or at 3.33  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               |  | US        |     151128 | NC      | $17336.65     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD TWD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $542.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Health Care Select Sector SPDR Fund                                | Health Care Select Sector SPDR Fund                                                                                    | CUSIP: 81369Y209<br>LEI: 549300EJNY3KKJHPOY44 | Long             | EC               | RF                | US        |       3733 | NS      | $507128.05    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                             | Williams Cos Inc/The                                                                                                   | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1053000 | PA      | $852143.39    | 0.12%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                       | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $200144.51    | 0.03%             | 2025-09-03      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110705 | PA      | $90240.30     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                 | Regional Management Issuance Trust 2022-2B                                                                             | CUSIP: 75907JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     325000 | PA      | $326805.57    | 0.05%             | 2032-11-17      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     730000 | PA      | $694298.52    | 0.10%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287718 | PA      | $238007.02    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                  | State Street Corp                                                                                                      | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     123000 | PA      | $113619.02    | 0.02%             | 2033-08-04      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Align Technology Inc                                               | Align Technology Inc                                                                                                   | CUSIP: 016255101<br>LEI: 549300N5YSE0U3LCP840 | Long             | EC               | CORP              | US        |        121 | NS      | $25518.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK KGAA                                                         | Merck KGaA                                                                                                             | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $201434.62    | 0.03%             | 2079-06-25      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10YR FUT OPTN FEB23C 114.5                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         31 | NC      | $6296.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-1008.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $11248.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                 | Union Pacific Corp                                                                                                     | CUSIP: 907818GA0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     121000 | PA      | $88964.54     | 0.01%             | 2072-02-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                | Moody's Corp                                                                                                           | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     169000 | PA      | $106362.59    | 0.02%             | 2061-11-29      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | CVS HEALTH CORP                                                                                                        | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -18 | NC      | $-5895.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     104000 | PA      | $62884.31     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED MXN / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $-3293.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sovos Brands Intermediate, Inc.                                    | Sovos Brands Intermediate, Inc. 2021 Term Loan                                                                         | CUSIP: 84611UAH1<br>LEI: 549300LNTCFBIDJ7R637 | Long             | LON              | CORP              | US        |      41406 | PA      | $40233.31     | 0.01%             | 2028-06-08      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     627000 | PA      | $596983.51    | 0.09%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ELI LILLY + CO                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          6 | NC      | $5970.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Park Funding Ltd                                           | Madison Park Funding XI Ltd                                                                                            | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     968982 | PA      | $956216.16    | 0.14%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     622392 | PA      | $539691.86    | 0.08%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     553000 | PA      | $578781.34    | 0.08%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                   | FirstEnergy Corp                                                                                                       | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      44000 | PA      | $29031.20     | 0.00%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED CNH / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | CN        |          1 | NC      | $-88.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1596000 | PA      | $1560442.89   | 0.22%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                   | Crown Castle Inc                                                                                                       | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     138000 | PA      | $130318.84    | 0.02%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                        | PUERTO RICO CMWLTH                                                                                                     | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    1841982 | PA      | $607853.94    | 0.09%             | 2051-11-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 10Y RTR 2.820000 07-NOV-2023                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    4401022 | OU      | $75980.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                             | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      73000 | PA      | $49481.85     | 0.01%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197587 | PA      | $194894.68    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: EUR 1.568000 15-AUG-2031                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     790000 | OU      | $-101052.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GERMAN TREASURY BILL                                               | German Treasury Bill                                                                                                   | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   35000000 | PA      | $36910313.99  | 5.27%             | 2023-08-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 3.470000 04-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   10372840 | OU      | $-84074.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OP CORPORATE BANK PLC                                              | OP Corporate Bank plc                                                                                                  | CUSIP: 000000000<br>LEI: 549300NQ588N7RWKBP98 | Long             | DBT              | CORP              | FI        |    1150000 | PA      | $1088046.61   | 0.16%             | 2026-03-24      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        883 | PA      | $825.97       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                   | Societe Generale SA                                                                                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $113979.82    | 0.02%             | 2024-10-03      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76550 | PA      | $63041.01     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79126 | PA      | $77355.71     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 2.035000 07-JUN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1265533 | OU      | $344409.94    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD BRL                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6663.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                                        | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     239000 | PA      | $179853.71    | 0.03%             | 2048-03-22      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                  | Hellenic Republic Government Bond                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     246000 | PA      | $232931.69    | 0.03%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039689 | PA      | $850535.72    | 0.12%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| 2020 CASH EXCH TRUST                                               | 2020 Cash Mandatory Exchangeable Trust                                                                                 | CUSIP: 901375105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        290 | NS      | $331765.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Rockwell Automation Inc                                            | Rockwell Automation Inc                                                                                                | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |        173 | NS      | $44559.61     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.547500 15-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     715000 | OU      | $-9282.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     841097 | PA      | $710630.36    | 0.10%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2728 | PA      | $2669.07      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY P                                                   | Colgate Energy Partners III LLC                                                                                        | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |      62000 | PA      | $53249.35     | 0.01%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $242.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                            | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $82620.48     | 0.01%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                 | Ukraine Government International Bond                                                                                  | CUSIP: 903724BY7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     216000 | PA      | $40270.50     | 0.01%             | 2035-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8806 | PA      | $8233.53      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69526 | PA      | $66325.21     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VEDANTA UK INVESTMENTS                                             | Vedanta Resources Ltd                                                                                                  | CUSIP: 92241TAM4<br>LEI: 2138007MYEKPEAZQTW83 | Long             | DBT              | CORP              | GB        |     338000 | PA      | $213425.88    | 0.03%             | 2024-08-09      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3872 | PA      | $3641.07      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55657 | PA      | $54361.68     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                               | Colombia Government International Bond                                                                                 | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $124800.00    | 0.02%             | 2042-02-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANK NA                                              | Texas Capital Bank NA                                                                                                  | CUSIP: 88225GAA6<br>LEI: 38PG5GG0OEQK4QMSKE59 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $969240.38    | 0.14%             | 2024-09-30      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                             | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer                                       | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              |  | US        |     222000 | PA      | $187923.00    | 0.03%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6943 | PA      | $6499.13      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | MARATHON OIL CORP                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         39 | NC      | $292.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD SGD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5712.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | USD P MXN C @18.75000 EO                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -4241301 | OU      | $-10492.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                                            | HCA Inc                                                                                                                | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     210000 | PA      | $209745.75    | 0.03%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                              | Toronto-Dominion Bank/The                                                                                              | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2065000 | PA      | $2127368.64   | 0.30%             | 2024-04-25      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175379 | PA      | $162915.80    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3102000 | PA      | $1947517.65   | 0.28%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QQE84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60713 | PA      | $55588.29     | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PSA BANQUE FRANCE                                                  | PSA Banque France SA                                                                                                   | CUSIP: 000000000<br>LEI: 969500JK1O192KI3E882 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $98610.45     | 0.01%             | 2025-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eastman Chemical Company                                           | Eastman Chemical Company 2021 Term Loan B                                                                              | CUSIP: 33939NAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     101490 | PA      | $82460.63     | 0.01%             | 2028-11-01      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                               | Steele Creek Clo 2017-1 Ltd                                                                                            | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $393029.88    | 0.06%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Canada Square Funding                                              | Canada Square Funding 2021-2 PLC                                                                                       | CUSIP: 000000000<br>LEI: 6354007J4JIXGCWTSJ05 | Long             | ABS-MBS          | CORP              | GB        |     112000 | PA      | $129877.05    | 0.02%             | 2058-06-17      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CN        |          1 | NC      | $936.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                                             | FMG Resources August 2006 Pty Ltd                                                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     268000 | PA      | $249936.80    | 0.04%             | 2032-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2202 | PA      | $2002.46      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                                          | Adobe Inc                                                                                                              | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |        763 | NS      | $256772.39    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87021 | PA      | $74306.70     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.600000 08-APR-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   54465822 | OU      | $6446683.51   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      91000 | PA      | $55519.11     | 0.01%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                    | Cameron LNG LLC                                                                                                        | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     831000 | PA      | $669052.18    | 0.10%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 3.050000 28-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11501677 | OU      | $-501447.58   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | 1Y RTP 3.220000 03-APR-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -93002768 | NC      | $-1565289.42  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27726 | PA      | $25218.96     | 0.00%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | GBP/USD One-touch barrier option; Barrier price GBP 1.00000                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     153223 | OU      | $5663.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                | AUST 3YR BOND FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         16 | NC      | $-15425.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40883 | PA      | $38294.83     | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                    | SWAP/CDSWAP/ICE: (CDX.NA.HY.39.V1)                                                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6036659 | OU      | $540320.06    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1120505.42   | 0.16%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43311 | PA      | $40647.00     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27736 | PA      | $27816.57     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151901 | PA      | $130245.13    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P HUF C @390.0000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -414000 | OU      | $-19662.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                       | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                                  | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $97996.34     | 0.01%             | 2036-05-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                                               | Oleoducto Central SA                                                                                                   | CUSIP: 000000000<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |     242000 | PA      | $212476.00    | 0.03%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-11.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                           | Service Properties Trust                                                                                               | CUSIP: 44106MAT9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      46000 | PA      | $39677.16     | 0.01%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL                                              | TotalEnergies Capital International SA                                                                                 | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $108554.29    | 0.02%             | 2026-07-22      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2460995 | PA      | $2235328.45   | 0.32%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Latch Inc                                                          | Latch Inc                                                                                                              | CUSIP: 51818V114<br>LEI: N/A                  | N/A              | DE               |  | US        |      12334 | NS      | $525.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                                                       | Alphabet Inc                                                                                                           | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |        680 | NS      | $60336.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                                            | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     206000 | PA      | $183204.63    | 0.03%             | 2028-03-07      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                             | General Motors Financial Co Inc                                                                                        | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      83000 | PA      | $77696.21     | 0.01%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                  | GXO Logistics Inc                                                                                                      | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |     208000 | PA      | $153576.86    | 0.02%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10678 | PA      | $10171.66     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1076.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                                             | AngloGold Ashanti Holdings PLC                                                                                         | CUSIP: 03512TAE1<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |     204000 | PA      | $177008.25    | 0.03%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENBW INTL FINANCE BV                                               | EnBW International Finance BV                                                                                          | CUSIP: 000000000<br>LEI: 724500CNCIO1ZTJ0X675 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $214309.13    | 0.03%             | 2026-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1994 | PA      | $1864.51      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                   | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      40000 | PA      | $41875.73     | 0.01%             | 2030-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWP: OIS 14.485000 02-JAN-2024                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    3772585 | OU      | $7197.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $1638.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                        | NVIDIA Corp                                                                                                            | CUSIP: 67066GAN4<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     247000 | PA      | $197828.39    | 0.03%             | 2031-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| London Wall Mortgage Capital                                       | London Wall Mortgage Capital PLC                                                                                       | CUSIP: 000000000<br>LEI: 213800QSO8J75OTK5919 | Long             | ABS-MBS          | CORP              | GB        |     121668 | PA      | $143310.98    | 0.02%             | 2051-05-15      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50615 | PA      | $48073.43     | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Invesco QQQ Trust Series 1                                         | Invesco QQQ Trust Series 1                                                                                             | CUSIP: 46090E103<br>LEI: 549300VY6FEJBCIMET58 | Long             | EC               | RF                | US        |      38300 | NS      | $10198524.00  | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $807.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 4.495000 03-MAR-2023                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   34373371 | OU      | $-26374.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305587 | PA      | $264728.18    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                           | Spain Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     688000 | PA      | $656488.69    | 0.09%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.620000 08-APR-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22427103 | OU      | $2639956.55   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                       | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                                  | CUSIP: 12653VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $677034.75    | 0.10%             | 2036-05-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140M2SS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330021 | PA      | $284914.99    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 5Y RTP 4.300000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -17141335 | OU      | $-98583.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $873.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                            | Oncor Electric Delivery Co LLC                                                                                         | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     501000 | PA      | $490487.79    | 0.07%             | 2032-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q8AB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9892 | PA      | $9413.73      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                            | Hungary Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     390000 | PA      | $413410.93    | 0.06%             | 2027-02-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5802 | PA      | $5437.35      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                            | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   90900000 | PA      | $4392905.24   | 0.63%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                            | Fidelity National Information Services Inc                                                                             | CUSIP: 31620MAW6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     110000 | PA      | $113367.75    | 0.02%             | 2024-07-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO                                           | British American Tobacco PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |     380000 | PA      | $289490.65    | 0.04%             | 2029-06-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-763.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares iBoxx $ Investment Grade Corporate Bond ETF                | iShares iBoxx $ Investment Grade Corporate Bond ETF                                                                    | CUSIP: 464287242<br>LEI: 549300FYCXFXG8POR355 | Long             | EC               | RF                | US        |      19978 | NS      | $2106280.54   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     175000 | PA      | $168634.96    | 0.02%             | 2025-09-29      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-5155.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3218.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.165000 14-OCT-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9207678 | OU      | $1015371.14   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 1Y RTP 3.750000 09-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   89182411 | OU      | $1014444.57   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |          1 | NC      | $2956.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                    | CVS Health Corp                                                                                                        | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |        742 | NS      | $69146.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $562.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROOF ACQUISITION CORP I                                           | PROOF ACQUISITION CORP I                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      10200 | NS      | $204.00       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Goldman Sachs International                                        | 5Y RTP 3.900000 14-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   -8516000 | OU      | $-95783.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105192 | PA      | $100560.42    | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FHWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        947 | PA      | $849.57       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                     | Commerzbank AG                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $97806.97     | 0.01%             | 2026-03-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | INVESCO QQQ TRUST SERIES 1                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -97 | NC      | $-56405.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD INR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1462.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4157358 | PA      | $3961937.10   | 0.57%             | 2025-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6773 | PA      | $6062.36      | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | NORTHROP GRUMMAN CORP                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          2 | NC      | $1460.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-61033.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREED CORP                                                         | FREED CORP                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     629000 | PA      | $605412.50    | 0.09%             | 2023-12-02      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| ROYALTY PHARMA PLC                                                 | Royalty Pharma PLC                                                                                                     | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      75000 | PA      | $47929.01     | 0.01%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GERMAN TREASURY BILL                                               | German Treasury Bill                                                                                                   | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |  112313000 | PA      | $119798412.17 | 17.10%            | 2023-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12633 | PA      | $12376.41     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                        | BBCMS 2017-DELC Mortgage Trust                                                                                         | CUSIP: 05552EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1357653.36   | 0.19%             | 2036-08-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-SCHATZ FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -23 | NC      | $28665.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Walt Disney Co/The                                                 | Walt Disney Co/The                                                                                                     | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |       1297 | NS      | $112683.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114169 | PA      | $97488.26     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.412000 30-NOV-2031                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2701674 | OU      | $504284.56    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                            | Metropolitan Life Global Funding I                                                                                     | CUSIP: 000000000<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107081.13    | 0.02%             | 2023-01-11      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1551.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $2076.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: AUD 3.900000 11-NOV-2024                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    2765000 | OU      | $902.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                           | Aon Corp / Aon Global Holdings PLC                                                                                     | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     572000 | PA      | $466871.02    | 0.07%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P 500 ETF TRUST                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -61 | NC      | $-213.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Autonoria                                                          | Autonoria Spain 2021 FT                                                                                                | CUSIP: 000000000<br>LEI: 959800PAVFGQ48YNAE06 | Long             | ABS-O            | CORP              | ES        |     165799 | PA      | $173180.93    | 0.02%             | 2039-01-31      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                         | CAN 10YR BOND FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          5 | NC      | $-12470.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1346038.10   | 0.19%             | 2023-11-10      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED TRY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TR        |          1 | NC      | $-187.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     720000 | PA      | $677422.26    | 0.10%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102548 | PA      | $84237.08     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     101000 | PA      | $66173.69     | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                                    | Allegro CLO VI Ltd                                                                                                     | CUSIP: 01749BAA7<br>LEI: 635400AREEXNEGDZE419 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $392451.52    | 0.06%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15414 | PA      | $15406.11     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                   | CIFC Funding 2014-III Ltd                                                                                              | CUSIP: 12549QBA2<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1480122.45   | 0.21%             | 2031-10-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-726.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 0.940000 14-OCT-2026                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5482499 | OU      | $650027.08    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Medical Solutions Holdings, Inc.                                   | Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan                                                               | CUSIP: 58462QAM3<br>LEI: 549300JH2XHZ7TIKYR39 | Long             | LON              | CORP              | US        |      74000 | PA      | $68080.00     | 0.01%             | 2029-11-01      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335AYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8175 | PA      | $7332.97      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                   | OneMain Financial Issuance Trust 2022-3                                                                                | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     682000 | PA      | $678974.58    | 0.10%             | 2034-05-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $4333599.20   | 0.62%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | EOG RESOURCES INC                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -21 | NC      | $-11025.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |          1 | NC      | $157498.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTP 5.090000 24-OCT-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -42956064 | OU      | $-103157.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     731000 | PA      | $591363.14    | 0.08%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $425.33       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                           | Service Properties Trust                                                                                               | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     120000 | PA      | $109088.58    | 0.02%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -346 | NC      | $-4844.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED JPY / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |          1 | NC      | $4461.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.625000 25-JAN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4696916 | OU      | $1614885.04   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     150000 | PA      | $94386.11     | 0.01%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Triborough Bridge & Tunnel Authority                               | TRIBOROUGH NY BRIDGE & TUNNEL AUTH PAYROLL MOBILITY TAX                                                                | CUSIP: 89602HAS6<br>LEI: 54930020ZN4LQF7K3456 | Long             | DBT              | MUN               | US        |    1005000 | PA      | $1073157.09   | 0.15%             | 2046-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P 500 ETF TRUST                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         42 | NC      | $798.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087XW9<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      90000 | PA      | $78791.21     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15328 | PA      | $15046.44     | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6989.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                            | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   77500000 | PA      | $3982083.75   | 0.57%             | 2024-12-05      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $48869.59     | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P CLP C @860.00 EO                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -412000 | OU      | $-9873.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD TRESRY                                           | Heimstaden Bostad Treasury BV                                                                                          | CUSIP: 000000000<br>LEI: 549300ORG6UYMJBCV938 | Long             | DBT              | CORP              | NL        |     540000 | PA      | $510687.45    | 0.07%             | 2024-10-13      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19579 | PA      | $19185.90     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -165000 | PA      | $-150954.86   | -0.02%            | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                 | Banco Santander SA                                                                                                     | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $223672.21    | 0.03%             | 2026-10-06      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     905000 | PA      | $877770.85    | 0.13%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                           | Spain Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     431000 | PA      | $396009.72    | 0.06%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178740 | PA      | $158337.69    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620382 | PA      | $508443.15    | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                                               | Covanta Holding Corp                                                                                                   | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |     137000 | PA      | $112239.99    | 0.02%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED BRL / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |          1 | NC      | $11565.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.504810 15-DEC-2032                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    1150000 | OU      | $-5199.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cano Health Inc                                                    | Cano Health Inc                                                                                                        | CUSIP: 13781Y111<br>LEI: N/A                  | N/A              | DE               |  | US        |       9002 | NS      | $1980.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                   | GoodLeap Sustainable Home Solutions Trust 2022-3                                                                       | CUSIP: 38237TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     218591 | PA      | $202306.79    | 0.03%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44398 | PA      | $41668.75     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 000000000<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96925.88     | 0.01%             | 2028-11-03      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | AMAZON.COM INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         37 | NC      | $5106.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust                                         | Navient Private Education Refi Loan Trust 2021-D                                                                       | CUSIP: 63942CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     405886 | PA      | $373451.07    | 0.05%             | 2060-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ASG FINANCE DESIGNATED                                             | ASG Finance Designated Activity Co                                                                                     | CUSIP: 00217AAA4<br>LEI: 5493005UOB0OMEJ4WK10 | Long             | DBT              | CORP              | IE        |     302000 | PA      | $291430.00    | 0.04%             | 2024-12-03      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                           | Capital One Financial Corp                                                                                             | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     107000 | PA      | $101901.10    | 0.01%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | SWAP/CDSWAP/CDS: (ITRAXX.JPN.38.V1)                                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | JP        |   22814000 | OU      | $-1143.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE GAS INC                                                        | ONE Gas Inc                                                                                                            | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |      35000 | PA      | $28457.85     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $4239.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330000 | PA      | $315673.41    | 0.05%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                   | Exxon Mobil Corp                                                                                                       | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |        347 | NS      | $38274.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE ASSRNCES                                           | Credit Agricole Assurances SA                                                                                          | CUSIP: 000000000<br>LEI: 969500K2MUPSI57XK083 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $280527.99    | 0.04%             | 2048-01-29      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.567500 27-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8168070 | OU      | $581393.03    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 2.010000 27-MAY-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4051495 | OU      | $1123575.58   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                              | Takeda Pharmaceutical Co Ltd                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     600000 | PA      | $489749.60    | 0.07%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.850000 08-APR-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   54465822 | OU      | $-6005346.16  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| MC BRAZIL DWNSTRM                                                  | MC Brazil Downstream Trading SARL                                                                                      | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |     321000 | PA      | $263420.63    | 0.04%             | 2031-06-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.820000 18-OCT-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2342309 | OU      | $737178.58    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |          1 | NC      | $5154.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                            | HCA Inc                                                                                                                | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     829000 | PA      | $701461.32    | 0.10%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| iShares MSCI Brazil ETF                                            | iShares MSCI Brazil ETF                                                                                                | CUSIP: 464286400<br>LEI: F6BK0XM2JFWYXJ2MDK09 | Long             | EC               | RF                | US        |       9033 | NS      | $252653.01    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133512 | PA      | $109950.77    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $2589.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2993 | PA      | $2804.69      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967MM0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      76000 | PA      | $72451.52     | 0.01%             | 2041-03-26      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74372 | PA      | $63755.45     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | SWP: OIS 11.694000 02-JAN-2025                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    2558000 | OU      | $-12251.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-2019.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                                             | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     289000 | PA      | $298537.00    | 0.04%             | 2027-10-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | SWAP/CDSWAP/CDS: (ITRAXX.JPN.38.V1)                                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | JP        |   34221000 | OU      | $-1715.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT MONTELENA                                                  | PROJECT MONTELENA                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     300000 | PA      | $311500.80    | 0.04%             | 2030-06-20      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | NORTHROP GRUMMAN CORP                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -2 | NC      | $-535.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                           | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     232000 | PA      | $247872.43    | 0.04%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $948.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                 | Denmark Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     200000 | PA      | $28511.84     | 0.00%             | 2023-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2747.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $873.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QHBG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288829 | PA      | $247349.37    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                    | CVS Health Corp                                                                                                        | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      63000 | PA      | $56545.33     | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10183 | PA      | $10089.64     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185490 | PA      | $152634.78    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJJN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16710 | PA      | $17043.74     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.709500 25-SEP-2030                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1243000 | OU      | $260891.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.834000 08-MAR-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22775000 | OU      | $-2336407.28  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L7GE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16835 | PA      | $14417.00     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DREAM FINDERS HOMES INC                                            | DREAM FINDERS HOMES INC                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       1320 | NS      | $1202850.00   | 0.17%             |  |  |  | No            |                  3 | On Loan: No      |
| ELEVANCE HEALTH INC                                                | Elevance Health Inc                                                                                                    | CUSIP: 036752AM5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      59000 | PA      | $40440.42     | 0.01%             | 2050-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| VERGE GENOMICS                                                     | VERGE GENOMICS                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      31150 | NS      | $147339.50    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30463 | PA      | $29247.56     | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |          1 | NC      | $238060.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4725 | PA      | $4233.80      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DANA INC                                                           | Dana Inc                                                                                                               | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |      38000 | PA      | $30613.56     | 0.00%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     228000 | PA      | $180736.07    | 0.03%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59602 | PA      | $57618.16     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| iShares Russell 2000 ETF                                           | iShares Russell 2000 ETF                                                                                               | CUSIP: 464287655<br>LEI: 549300O80OAR5VTWR172 | Long             | EC               | RF                | US        |        476 | NS      | $82995.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15443 | PA      | $13803.63     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                              | Tenet Healthcare Corp                                                                                                  | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     210000 | PA      | $181768.65    | 0.03%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | 10Y RTP 3.110000 23-JAN-2023                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | LU        |    1680000 | OU      | $25569.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     206000 | PA      | $180122.90    | 0.03%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |          0 | PA      | $0.01         | 0.00%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD C CLP P @960.00 EO                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -962000 | OU      | $-343.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.400000 07-APR-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   41943696 | OU      | $-7531250.44  | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| ASAHI GROUP HOLDINGS LTD                                           | Asahi Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 353800KAJ02XNHLCJW79 | Long             | DBT              | CORP              | JP        |     930000 | PA      | $949998.96    | 0.14%             | 2024-04-19      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     595000 | PA      | $415006.76    | 0.06%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $1550.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.494500 23-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15879655 | OU      | $1150697.46   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     186000 | PA      | $124125.71    | 0.02%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     549000 | PA      | $524287.78    | 0.07%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.551000 21-DEC-2027                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12078000 | OU      | $-17977.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135158 | PA      | $116222.47    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASAHI GROUP HOLDINGS LTD                                           | Asahi Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 353800KAJ02XNHLCJW79 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $200665.54    | 0.03%             | 2024-10-23      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.383000 14-OCT-2031                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4274491 | OU      | $809225.28    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                  | Southern Power Co                                                                                                      | CUSIP: 843646AQ3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200489.62    | 0.03%             | 2026-06-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7122 | PA      | $6848.42      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     178000 | PA      | $122887.43    | 0.02%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.455000 23-NOV-2025                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8405000 | OU      | $-926257.69   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |          1 | NC      | $596.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED NZD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |          1 | NC      | $-2635.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254252 | PA      | $196436.41    | 0.03%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                              | Level 3 Financing Inc                                                                                                  | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      59000 | PA      | $49117.50     | 0.01%             | 2027-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1850490 | PA      | $1744956.41   | 0.25%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                      | BHG Securitization Trust 2021-A                                                                                        | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97416 | PA      | $90481.42     | 0.01%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust                                      | GCT Commercial Mortgage Trust 2021-GCT                                                                                 | CUSIP: 36167RAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $258119.09    | 0.04%             | 2038-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MENS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18653 | PA      | $17756.54     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | INVESCO QQQ TRUST SERIES 1                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -94 | NC      | $-94.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO                                                    | Nissan Motor Co Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     100000 | PA      | $93714.64     | 0.01%             | 2028-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                               | SRS Distribution Inc                                                                                                   | CUSIP: 78471RAB2<br>LEI: 549300ZQ3XP75BCYM468 | Long             | DBT              | CORP              | US        |      36000 | PA      | $31912.93     | 0.00%             | 2028-07-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.826500 22-JUN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4592938 | OU      | $-1418636.82  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                           | Ashton Woods USA LLC / Ashton Woods Finance Co                                                                         | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $104339.30    | 0.01%             | 2030-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VERSA NETWORKS INC                                                 | VERSA NETWORKS INC                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     168283 | NS      | $449315.61    | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                                 | One New York Plaza Trust 2020-1NYP                                                                                     | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $236310.13    | 0.03%             | 2036-01-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $370.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                              | Cayuga Park CLO Ltd                                                                                                    | CUSIP: 149791AS4<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238662.80    | 0.03%             | 2034-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61239 | PA      | $58812.26     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                           | OHA Credit Funding 3 LTD                                                                                               | CUSIP: 67112RAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $956630.60    | 0.14%             | 2035-07-02      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18918 | PA      | $16945.12     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $-118621.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED IDR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $1292.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WOLTERS KLUWER NV                                                  | Wolters Kluwer NV                                                                                                      | CUSIP: 000000000<br>LEI: 724500TEM53I0U077B74 | Long             | DBT              | CORP              | NL        |     240000 | PA      | $251388.98    | 0.04%             | 2026-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ROCKWELL AUTOMATION INC                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          6 | NC      | $975.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG Energy Inc                                                     | NRG Energy Inc                                                                                                         | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19262.72     | 0.00%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34536 | PA      | $28354.99     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 1.699000 26-NOV-2041                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2086950 | OU      | $595010.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1443.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TSMC GLOBAL LTD                                                    | TSMC Global Ltd                                                                                                        | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |     200000 | PA      | $196936.00    | 0.03%             | 2032-07-22      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                            | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      18000 | PA      | $20506.72     | 0.00%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53042 | PA      | $47524.54     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED SGD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $12977.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |          1 | NC      | $5154.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.172500 04-FEB-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9608248 | OU      | $1818893.63   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2048000 | PA      | $2005631.69   | 0.29%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                                           | Medtronic Global Holdings SCA                                                                                          | CUSIP: 58507LAH2<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |     290000 | PA      | $281762.11    | 0.04%             | 2027-03-07      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                       | UBS Group AG                                                                                                           | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     675000 | PA      | $656333.70    | 0.09%             | 2024-07-30      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FHWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2123.29      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                                 | Braskem Idesa SAPI                                                                                                     | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     205000 | PA      | $146062.50    | 0.02%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                | COMM 2016-DC2 Mortgage Trust                                                                                           | CUSIP: 12594CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90674.23     | 0.01%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ROCKWELL AUTOMATION INC                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -4 | NC      | $-2360.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155075 | PA      | $142416.06    | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1576.11      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      81000 | PA      | $65255.11     | 0.01%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435703 | PA      | $374661.52    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                    | SWAP/CDSWAP/ICE: (ITRAXX.FINSR.38.V1)                                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |    2265000 | OU      | $-1745.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GVC Holdings (Gibraltar) Limited                                   | GVC Holdings (Gibraltar) Limited 2021 USD Term Loan B4                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |         71 | PA      | $70.07        | 0.00%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                             | Mexico City Airport Trust                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $189912.50    | 0.03%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                            | Walt Disney Co/The                                                                                                     | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     201000 | PA      | $187336.14    | 0.03%             | 2030-03-22      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MFCX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20681 | PA      | $19412.05     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                           | Saudi Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     303000 | PA      | $215565.56    | 0.03%             | 2061-02-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Volkswagen Leasing GmbH                                            | Volkswagen Leasing GmbH                                                                                                | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $106769.20    | 0.02%             | 2023-02-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| American Rock Salt Company LLC                                     | American Rock Salt Company LLC 2021 Term Loan                                                                          | CUSIP: 02932JAP2<br>LEI: 549300FBKBNV4GSVVR46 | Long             | LON              | CORP              | US        |      52467 | PA      | $49188.11     | 0.01%             | 2028-06-09      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Digital Room Holdings, Inc.                                        | Digital Room Holdings, Inc. 2021 Term Loan                                                                             | CUSIP: 78473KAB5<br>LEI: 549300I680V3FDWE2N30 | Long             | LON              | CORP              | US        |     135972 | PA      | $116426.45    | 0.02%             | 2028-12-21      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5858 | PA      | $5478.12      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                             | Natixis Commercial Mortgage Securities Trust 2018-SOX                                                                  | CUSIP: 63874NAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382000 | PA      | $317784.20    | 0.05%             | 2038-06-17      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                   | Paramount Global                                                                                                       | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      94000 | PA      | $68377.30     | 0.01%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                           | Lloyds Banking Group PLC                                                                                               | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     986000 | PA      | $1014469.01   | 0.14%             | 2030-03-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-6003.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| California Pollution Control Financing Authority                   | CALIFORNIA ST POLL CONTROL FING AUTH WTR FURNISHING REVENUE                                                            | CUSIP: 13054WAC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     180000 | PA      | $179140.14    | 0.03%             | 2045-11-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      45000 | PA      | $27829.14     | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |          1 | NC      | $5562.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                               | BX Commercial Mortgage Trust 2019-XL                                                                                   | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680000 | PA      | $646379.92    | 0.09%             | 2036-10-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     135000 | PA      | $126418.46    | 0.02%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | RESETTABLE JAN23 SPX C @ 4250                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |       -326 | NC      | $-733.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     700000 | PA      | $642003.80    | 0.09%             | 2027-01-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335AGZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11672 | PA      | $11933.24     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306069 | PA      | $262098.85    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     688000 | PA      | $462300.87    | 0.07%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     488000 | PA      | $428394.81    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MODERN LAND CHINA CO LTD                                           | Modern Land China Co Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300PDOU6AR9Z9IN08 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $11500.00     | 0.00%             | 2023-04-11      | Fixed         | 9.80%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO STOXX 50 MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -61 | NC      | $124088.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                             | Sunoco LP / Sunoco Finance Corp                                                                                        | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     167000 | PA      | $144964.35    | 0.02%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 5Y RTP 4.300000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |  -17141335 | OU      | $-98583.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                          | Anchorage Capital CLO 3-R Ltd                                                                                          | CUSIP: 03330AAA0<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |     392332 | PA      | $387795.31    | 0.06%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                               | Enel Finance International NV                                                                                          | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $305502.00    | 0.04%             | 2024-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-9682.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | NASDAQ 100 E-MINI MAR23                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -35 | NC      | $567672.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TOTALENERGIES SE                                                   | TotalEnergies SE                                                                                                       | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $100848.47    | 0.01%             | 2024-04-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9061 | PA      | $8405.89      | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | Dual Binary Option: Payout at expiration if the USDJP is above 137.06 and AUDUSD is above 0.697                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     232000 | OU      | $8623.44      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BECTON DICKINSON EURO                                              | Becton Dickinson Euro Finance Sarl                                                                                     | CUSIP: 07589LAB3<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $212349.35    | 0.03%             | 2023-06-04      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 4.415000 28-FEB-2023                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   34384181 | OU      | $-26682.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                          | Amgen Inc                                                                                                              | CUSIP: 031162DD9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     661000 | PA      | $585316.39    | 0.08%             | 2029-02-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352523 | PA      | $289758.46    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-1B PTT                                             | American Airlines 2017-1 Class B Pass Through Trust                                                                    | CUSIP: 02378WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      12888 | PA      | $12118.22     | 0.00%             | 2025-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                   | Freddie Mac Multifamily Structured Pass Through Certificates                                                           | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4059075 | PA      | $239337.66    | 0.03%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF 2020-K105 Mortgage Trust                                                                                         | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     726000 | PA      | $617438.68    | 0.09%             | 2053-03-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                             | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PDS8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     320000 | PA      | $285133.19    | 0.04%             | 2029-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                 | Grupo Televisa SAB                                                                                                     | CUSIP: 40049JAZ0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     151000 | PA      | $155228.00    | 0.02%             | 2040-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                       | Atrium Hotel Portfolio Trust 2017-ATRM                                                                                 | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $182389.90    | 0.03%             | 2036-12-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1443.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.960000 21-JAN-2052                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9851890 | OU      | $2803650.79   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-685.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bausch Health Cos Inc                                              | Bausch Health Cos Inc                                                                                                  | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      45000 | PA      | $38228.25     | 0.01%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4229.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317428 | PA      | $284788.50    | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                  | Kinder Morgan Inc                                                                                                      | CUSIP: 49456BAT8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     178000 | PA      | $122599.71    | 0.02%             | 2051-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $795.96       | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 1.130000 07-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   53145521 | OU      | $-2658024.24  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Agora Securities                                                   | Agora Securities UK 2021 DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400JPPZ72DHCQAZ42 | Long             | ABS-MBS          | CORP              | IE        |     299888 | PA      | $346459.64    | 0.05%             | 2031-07-22      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| AFFINITY GAMING                                                    | Affinity Gaming                                                                                                        | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      22000 | PA      | $18652.46     | 0.00%             | 2027-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SIMPAR EUROPE SA                                                   | Simpar Europe SA                                                                                                       | CUSIP: 82883PAA2<br>LEI: 54930068BSUST41D5C30 | Long             | DBT              | CORP              | LU        |     306000 | PA      | $228444.30    | 0.03%             | 2031-01-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543300 | PA      | $445997.75    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3316000 | PA      | $2577971.51   | 0.37%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20627 | PA      | $19856.64     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.693000 15-AUG-2032                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     535000 | OU      | $-4884.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                            | Talen Energy Supply LLC                                                                                                | CUSIP: 87422VAG3<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     292000 | PA      | $298570.00    | 0.04%             | 2028-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DirecTV Financing, LLC                                             | DirecTV Financing, LLC Term Loan                                                                                       | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     203376 | PA      | $197571.61    | 0.03%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1046000 | PA      | $800110.64    | 0.11%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104424 | PA      | $102403.51    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                            | Fantasia Holdings Group Co Ltd                                                                                         | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $15500.00     | 0.00%             | 2023-06-01      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                               | BAT International Finance PLC                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     315000 | PA      | $273652.98    | 0.04%             | 2030-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      36000 | PA      | $28408.74     | 0.00%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                           | KLA Corp                                                                                                               | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     250000 | PA      | $240068.51    | 0.03%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US LONG BOND(CBT) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        128 | NC      | $-66213.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.640000 27-MAY-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   84240097 | OU      | $9854548.87   | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.568500 13-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15661669 | OU      | $1117031.92   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3880.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED DKK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | DK        |          1 | NC      | $1725.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                         | Cigna Corp                                                                                                             | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      39000 | PA      | $27719.51     | 0.00%             | 2051-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55713 | PA      | $53173.88     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: EUR 0.020000 26-AUG-2031                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    8789346 | OU      | $2256866.86   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                              | Prologis Euro Finance LLC                                                                                              | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |     130000 | PA      | $104043.19    | 0.01%             | 2034-02-08      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SITIO ROYALTIES CORP                                               | SITIO ROYALTIES CORP                                                                                                   | CUSIP: 000000000<br>LEI: 549300OILIONON7XK623 | Long             | DBT              | CORP              | US        |    1008000 | PA      | $989150.40    | 0.14%             | 2026-09-21      | None          | 10.05%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257955 | PA      | $228066.30    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: OIS 4.255000 06-SEP-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    9662848 | OU      | $-41835.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14342 | PA      | $12837.45     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-10.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132JAST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4125 | PA      | $3868.36      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13072000 | PA      | $12878814.27  | 1.84%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: PLN 6.870000 29-SEP-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |     870400 | OU      | $-4930.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30593 | PA      | $29907.23     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                     | Open Text Corp                                                                                                         | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     120000 | PA      | $120000.00    | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                        | Arbor Multifamily Mortgage Securities Trust 2020-MF1                                                                   | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326000 | PA      | $732199.17    | 0.10%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2650000 | PA      | $1486818.32   | 0.21%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                             | General Motors Financial Co Inc                                                                                        | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181139.32    | 0.03%             | 2027-05-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                               | MAD Mortgage Trust 2017-330M                                                                                           | CUSIP: 55282MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $98406.73     | 0.01%             | 2034-08-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                                                 | Elmwood CLO IV Ltd                                                                                                     | CUSIP: 29002GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492003.75    | 0.07%             | 2033-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.850000 15-OCT-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1508148 | OU      | $465966.53    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                            | Fidelity National Information Services Inc                                                                             | CUSIP: 000000000<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     350000 | PA      | $297399.24    | 0.04%             | 2039-05-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                              | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     130000 | PA      | $87846.69     | 0.01%             | 2024-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 10Y RTP 3.600000 14-DEC-2023                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   -2349000 | OU      | $-76878.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                | BHMS 2018-ATLS                                                                                                         | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $163211.73    | 0.02%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     806000 | PA      | $786917.43    | 0.11%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/CDS: (CMBX.NA.9.A)                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |      93667 | OU      | $-4895.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111779 | PA      | $86359.82     | 0.01%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1064386.00   | 0.15%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                           | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    5204000 | PA      | $5560090.69   | 0.79%             | 2023-03-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA N Y BRH INSTL                                          | CITIBANK NA N Y BRH INSTL                                                                                              | CUSIP: 17330QAB3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1120000 | PA      | $1116007.16   | 0.16%             | 2023-09-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-999.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-4634.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                   | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $113166.19    | 0.02%             | 2026-06-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $795.35       | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                      | MASSACHUSETTS ST                                                                                                       | CUSIP: 57582RXA9<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    1000000 | PA      | $1055524.00   | 0.15%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SALESFORCE INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          4 | NC      | $8.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO POSADAS SAB CV                                               | Grupo Posadas SAB de CV                                                                                                | CUSIP: 000000000<br>LEI: 529900NRFIXN5G8NUX35 | Long             | DBT              | CORP              | MX        |     123516 | PA      | $97407.81     | 0.01%             | 2027-12-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INFORMA PLC                                                        | Informa PLC                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | DBT              | CORP              | GB        |    1155000 | PA      | $1173808.88   | 0.17%             | 2025-10-06      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     453000 | PA      | $402348.78    | 0.06%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4852 | PA      | $4519.27      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 2Y RTP 4.800000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -42311948 | OU      | $-110772.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCK FIN SERVICES GMBH                                            | Merck Financial Services GmbH                                                                                          | CUSIP: 000000000<br>LEI: 549300OELEN3ZS5RB682 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $208016.60    | 0.03%             | 2023-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2583.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tesla Inc                                                          | Tesla Inc                                                                                                              | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |        632 | NS      | $77849.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                   | Bain Capital Credit CLO 2017-1 Ltd                                                                                     | CUSIP: 05682QAQ9<br>LEI: 549300GUKNMHLHIJO049 | Long             | ABS-CBDO         | CORP              | KY        |     590404 | PA      | $583542.03    | 0.08%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                        | Exelon Corp                                                                                                            | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1298000 | PA      | $1190375.60   | 0.17%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203877 | PA      | $187944.60    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                   | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $187184.36    | 0.03%             | 2028-02-23      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337582 | PA      | $312229.00    | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                     | NRG Energy Inc                                                                                                         | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35373.93     | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED USD / SOLD TRY                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $22.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 10Y RTP 3.400000 06-APR-2023                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -11750787 | NC      | $-332475.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2979.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                 | Ford Motor Co                                                                                                          | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     301000 | PA      | $277930.61    | 0.04%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364579 | PA      | $298250.86    | 0.04%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED MYR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $3095.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED TWD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |          1 | NC      | $-129.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | S+P 500 INDEX                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -16 | NC      | $-5600.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTP 4.700000 14-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -827810 | OU      | $-6007.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.451000 19-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23502100 | OU      | $1290355.02   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.220000 27-NOV-2050                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6800000 | OU      | $2841141.31   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| OVG Business Services, LLC                                         | OVG Business Services, LLC Initial Term Loan                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     266660 | PA      | $247993.80    | 0.04%             | 2028-10-13      | Floating      | 10.64%                | No            |                  3 | On Loan: No      |
| Credito Real Sab DE CV Sofom ENR                                   | Credito Real Sab DE CV Sofom ENR Term Loan B                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | MX        |      59500 | PA      | $1130.50      | 0.00%             | 2023-02-17      | Floating      | 6.73%                 | No            |                  3 | On Loan: No      |
| Options Clearing Corp.                                             | OTIS WORLDWIDE CORP                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          8 | NC      | $140.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     830000 | PA      | $865435.26    | 0.12%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                     | CUSIP: 29273V100<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EC               | CORP              | US        |       8015 | NS      | $95138.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Lendmark Funding Trust                                             | Lendmark Funding Trust 2022-1                                                                                          | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     301000 | PA      | $290847.72    | 0.04%             | 2032-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                            | E.ON SE                                                                                                                | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |      75000 | PA      | $70167.96     | 0.01%             | 2027-09-29      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | 1Y RTP 2.470000 03-APR-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   46501384 | NC      | $1181211.30   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                  | Hellenic Republic Government Bond                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     200000 | PA      | $168456.04    | 0.02%             | 2032-06-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315711 | PA      | $300643.84    | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156047 | PA      | $128218.29    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $434.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                               | Booking Holdings Inc                                                                                                   | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107951.62    | 0.02%             | 2026-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                      | SCC Power PLC                                                                                                          | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |     221319 | PA      | $6639.57      | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     140000 | PA      | $136176.25    | 0.02%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H040616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    1206000 | PA      | $1140993.51   | 0.16%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | XPO LOGISTICS INC                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -5 | NC      | $-2350.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EHWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67447 | PA      | $69620.61     | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | SWP: OIS 11.650000 02-JAN-2025                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |    1825606 | OU      | $-9083.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                | Erste Group Bank AG                                                                                                    | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     800000 | PA      | $678629.01    | 0.10%             | 2032-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                               | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $98949.35     | 0.01%             | 2027-02-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WKK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4556 | PA      | $4259.58      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2506 | PA      | $2354.17      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 2Y RTR 1.400000 15-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -49553356 | NC      | $-8.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-BOBL FUTURE MAR23                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -243 | NC      | $949591.01    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CAL EDISON                                                | Southern California Edison Co                                                                                          | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1854000 | PA      | $1958934.47   | 0.28%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                             | Credit Agricole SA/London                                                                                              | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $99230.67     | 0.01%             | 2026-04-14      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $1575.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: OIS 4.410000 20-DEC-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    9430000 | OU      | $-8332.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5136 | PA      | $4962.15      | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                     | Lowe's Cos Inc                                                                                                         | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     150000 | PA      | $124284.29    | 0.02%             | 2031-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |          1 | NC      | $-834.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                   | BAT Capital Corp                                                                                                       | CUSIP: 05526DBU8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      44000 | PA      | $28791.69     | 0.00%             | 2050-09-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                                 | GRACIE POINT INTERNATIONAL FUNDING 2022-3                                                                              | CUSIP: 38411DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     228000 | PA      | $228186.30    | 0.03%             | 2024-11-01      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED EUR / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |          1 | NC      | $24217.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $978731.95    | 0.14%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     845000 | PA      | $793895.50    | 0.11%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                                            | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                       | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      22000 | PA      | $19854.36     | 0.00%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331738 | PA      | $294471.06    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1316000 | PA      | $1284156.79   | 0.18%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                | Gilead Sciences Inc                                                                                                    | CUSIP: 375558BT9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     490000 | PA      | $313274.09    | 0.04%             | 2050-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     484000 | OU      | $6327.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10YR FUT OPTN FEB23C 116.5                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -37 | NC      | $-1734.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $1575.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100997 | PA      | $90569.52     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.380000 08-APR-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2064327 | OU      | $189100.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T Inc                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RGE6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     200000 | PA      | $222838.03    | 0.03%             | 2026-12-04      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTR 3.090000 24-OCT-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -42956064 | OU      | $-200448.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                             | BP Capital Markets America Inc                                                                                         | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      46000 | PA      | $30322.12     | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     175000 | PA      | $171325.00    | 0.02%             | 2024-01-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                            | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   25500000 | PA      | $1209429.41   | 0.17%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     430000 | PA      | $393097.83    | 0.06%             | 2027-02-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131894 | PA      | $128312.92    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -347 | NC      | $-7287.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |          1 | NC      | $6728.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 3Y RTP 3.360000 15-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -25881544 | OU      | $-124515.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria                                                | Republic of Austria Government Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     222000 | PA      | $174856.78    | 0.02%             | 2047-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $158.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.972500 28-MAY-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     667603 | OU      | $189617.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7937 | PA      | $7776.70      | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | 10Y RTP 3.270000 23-MAR-2023                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -17658409 | NC      | $-593671.65   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| SONDER SECURED NOTES                                               | SONDER SECURED NOTES                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     786575 | PA      | $708940.14    | 0.10%             | 2027-01-19      | Floating      | 10.00%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L3E49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41924 | PA      | $35870.23     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TVC DSCR 21 1 CERT                                                 | TVC DSCR 21 1 CERT                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314192 | PA      | $307059.65    | 0.04%             | 2051-02-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| DICK'S SPORTING GOODS                                              | Dick's Sporting Goods Inc                                                                                              | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |      44000 | PA      | $28365.79     | 0.00%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                | Abbott Laboratories                                                                                                    | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |        464 | NS      | $50942.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $218375.94    | 0.03%             | 2026-04-28      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                       | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $112450.01    | 0.02%             | 2026-02-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                 | Ford Motor Co                                                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      55000 | PA      | $41246.79     | 0.01%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV NV                                             | Volkswagen Financial Services NV                                                                                       | CUSIP: 000000000<br>LEI: 529900ZTQC8D1TW6BL41 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $231454.19    | 0.03%             | 2024-02-10      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/CDS: (CMBX.NA.9.A)                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |      93667 | OU      | $-4895.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                             | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40591.47     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-397.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $101251.26    | 0.01%             | 2027-12-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                 | VICI Properties LP                                                                                                     | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      91000 | PA      | $80495.87     | 0.01%             | 2052-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                   | CIFC Funding 2018-I Ltd                                                                                                | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $393804.76    | 0.06%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 10Y RTR 2.670000 15-FEB-2023                                                                                           | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |   -8597936 | OU      | $-3733.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 3.200000 28-NOV-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11066040 | OU      | $-340037.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46158 | PA      | $43318.66     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.730000 15-OCT-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    1890000 | OU      | $24724.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | ICE 3MTH SONIA FU SEP23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         31 | NC      | $14076.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Colombia                                               | Colombia Government International Bond                                                                                 | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     286000 | PA      | $246549.88    | 0.04%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25958 | PA      | $23233.90     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | Dual Binary Option: Payout at expiration if the S&P 500 Index is below or at 3687.14 and USOSFR10 is below or at 3.357 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               |  | US        |     151128 | NC      | $14384.67     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Deutsche Bank AG                                                   | USD C MXN P @21.00000 EO                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -4241301 | OU      | $-19132.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9NX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25944 | PA      | $25103.03     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                              | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      80000 | PA      | $51408.54     | 0.01%             | 2037-04-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 312942DD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9309 | PA      | $9238.90      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eagle Mountain & Saginaw Independent School District               | EAGLE MOUNTAIN & SAGINAW TX INDEP SCH DIST                                                                             | CUSIP: 269696RH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     295000 | PA      | $277851.65    | 0.04%             | 2052-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     155000 | PA      | $124264.70    | 0.02%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 2Y RTP 5.260000 07-NOV-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -17604088 | OU      | $-35542.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INRETAIL CONSUMER                                                  | InRetail Consumer                                                                                                      | CUSIP: 45790TAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     201000 | PA      | $171603.75    | 0.02%             | 2028-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                  | Hellenic Republic Government Bond                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      92000 | PA      | $92131.28     | 0.01%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                                  | Generate CLO 2 Ltd                                                                                                     | CUSIP: 98625TAJ4<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $592607.58    | 0.08%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SONDER WARRANTS                                                    | SONDER WARRANTS                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      10965 | NS      | $109.65       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SASOL Financing USA LLC                                            | Sasol Financing USA LLC                                                                                                | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     278000 | PA      | $271050.00    | 0.04%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Trimaran Advisors CAVU 2019-1                                      | Trimaran Cavu 2019-1 Ltd                                                                                               | CUSIP: 89624CAE2<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243519.20    | 0.03%             | 2032-07-20      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6404800 | PA      | $5421754.85   | 0.77%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     795184 | PA      | $671009.46    | 0.10%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CZ        |          1 | NC      | $13630.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1595.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-101982.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED USD / SOLD HKD                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $153.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commerzbank AG                                                     | Commerzbank AG                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | EC               | CORP              | DE        |       2322 | NS      | $21709.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | DYNATRACE INC                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          7 | NC      | $105.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087YQ1<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     280000 | PA      | $224421.86    | 0.03%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32815 | PA      | $32175.64     | 0.00%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Inc                                                 | Domino's Pizza Inc                                                                                                     | CUSIP: 25754A201<br>LEI: 5299004V0Y8MI5D9FF45 | Long             | EC               | CORP              | US        |        391 | NS      | $135442.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     200000 | PA      | $164036.66    | 0.02%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     105000 | PA      | $99802.50     | 0.01%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                   | OneMain Financial Issuance Trust 2019-2                                                                                | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $89238.29     | 0.01%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Jack Ohio Finance LLC                                              | Jack Ohio Finance LLC Term Loan                                                                                        | CUSIP: 46647KAG2<br>LEI: 5493002ERZW63JFJI167 | Long             | LON              | CORP              | US        |      80384 | PA      | $78574.93     | 0.01%             | 2028-10-04      | Floating      | 9.13%                 | No            |                  3 | On Loan: No      |
| Barclays PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $108337.19    | 0.02%             | 2027-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                         | AbbVie Inc                                                                                                             | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     287000 | PA      | $258723.04    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                              | Norfolk Southern Corp                                                                                                  | CUSIP: 655844CE6<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     300000 | PA      | $257164.10    | 0.04%             | 2029-11-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                             | Philip Morris International Inc                                                                                        | CUSIP: 718172CM9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     125000 | PA      | $76529.38     | 0.01%             | 2039-08-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38233 | PA      | $35785.16     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                    | Republic Finance Issuance Trust 2021-A                                                                                 | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $654564.08    | 0.09%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $134.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3643266 | PA      | $3196489.59   | 0.46%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P REGIONAL BANKING ETF                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        158 | NC      | $9006.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     361000 | PA      | $285345.59    | 0.04%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119762 | PA      | $111063.34    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.557000 12-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23992905 | OU      | $1713596.81   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27575 | PA      | $26473.49     | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | EOG RESOURCES INC                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         21 | NC      | $6195.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMER AIRLINE 19-1AA PTT                                            | American Airlines 2019-1 Class AA Pass Through Trust                                                                   | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      73476 | PA      | $60805.81     | 0.01%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     800000 | PA      | $563449.78    | 0.08%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | GBP P USD C @1.165000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -558000 | OU      | $-2045.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                  | 245 Park Avenue Trust 2017-245P                                                                                        | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $179728.83    | 0.03%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138EPMW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79242 | PA      | $80242.95     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $318.63       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-723.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                               | BX Commercial Mortgage Trust 2019-XL                                                                                   | CUSIP: 056054AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $817897.46    | 0.12%             | 2036-10-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                             | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      45000 | PA      | $27950.21     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 5Y RTR 2.800000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |  -17141335 | OU      | $-67820.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.880000 02-NOV-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11628850 | OU      | $-673185.28   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                   | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     100000 | PA      | $131439.64    | 0.02%             | 2032-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                            | Veolia Environnement SA                                                                                                | CUSIP: 000000000<br>LEI: 969500LENY69X51OOT31 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $92059.08     | 0.01%             | 2026-06-01      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.420000 10-JAN-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   16315210 | OU      | $-1660508.62  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                             | General Motors Financial Co Inc                                                                                        | CUSIP: 37045XDA1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     151000 | PA      | $131996.84    | 0.02%             | 2027-08-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                  | NatWest Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $110938.82    | 0.02%             | 2026-09-19      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | SHORT EURO-BTP FU MAR23                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -39 | NC      | $74278.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74734 | PA      | $64188.24     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1079.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1868 | PA      | $1739.53      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | ICE 3MTH SONIA FU DEC24                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          8 | NC      | $5309.42      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27161 | PA      | $25397.66     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | INVESCO QQQ TRUST SERIES 1                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         94 | NC      | $188.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED KRW / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $4371.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    6000000 | PA      | $6740863.96   | 0.96%             | 2026-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD SGD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3982.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     838000 | OU      | $2390.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |      73000 | OU      | $208.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9216 | PA      | $8726.36      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1043000 | PA      | $889264.20    | 0.13%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     343000 | PA      | $302103.94    | 0.04%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-1 B PTT                                            | American Airlines 2016-1 Class B Pass Through Trust                                                                    | CUSIP: 02376YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       4873 | PA      | $4747.90      | 0.00%             | 2024-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: IFS 3.046700 15-NOV-2027                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     900000 | OU      | $-5546.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615000 | PA      | $575974.31    | 0.08%             | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1105.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                               | Freeport-McMoRan Inc                                                                                                   | CUSIP: 35671D857<br>LEI: 549300IRDTHJQ1PVET45 | Long             | EC               | CORP              | US        |       2101 | NS      | $79838.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Avenue Trust                                               | MAD Mortgage Trust 2017-330M                                                                                           | CUSIP: 55282MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $114180.40    | 0.02%             | 2034-08-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                                     | ServiceNow Inc                                                                                                         | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |        106 | NS      | $41156.62     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2128300 | PA      | $1894573.84   | 0.27%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | USD C JPY P @137.0000 EO                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    1002000 | OU      | $4988.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                           | Cooperatieve Rabobank UA                                                                                               | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $102434.34    | 0.01%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.569000 27-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8086390 | OU      | $575346.65    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                           | Santander UK Group Holdings PLC                                                                                        | CUSIP: 000000000<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $112505.86    | 0.02%             | 2026-01-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2589.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2020-420K                                                                          | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $1031561.00   | 0.15%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED JPY / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |          1 | NC      | $92378.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                    | CSAIL 2018-CX12 Commercial Mortgage Trust                                                                              | CUSIP: 12595XAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $623206.35    | 0.09%             | 2051-08-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD CNH                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-2626.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | EXXON MOBIL CORP                                                                                                       | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         12 | NC      | $384.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Davis-Standard, LLC                                                | Davis-Standard, LLC Term Loan                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     210900 | PA      | $200443.58    | 0.03%             | 2028-12-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                                | Eaton Vance CLO 2018-1 Ltd                                                                                             | CUSIP: 27831BAC7<br>LEI: 549300R0C8KS2AMEHL81 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240450.75    | 0.03%             | 2030-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24416 | PA      | $20171.98     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140LXMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16736 | PA      | $14279.87     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $631.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: EUR 2.220000 12-SEP-2024                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1448000 | OU      | $22174.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.545000 15-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    1890000 | OU      | $-25013.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                        | PUERTO RICO CMWLTH                                                                                                     | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |     165945 | PA      | $72636.76     | 0.01%             | 2043-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -80000 | PA      | $-74923.49    | -0.01%            | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8968 | PA      | $8386.05      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply, LLC                                           | Talen Energy Supply, LLC 2022 DIP Term Loan                                                                            | CUSIP: 000000000<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     282000 | PA      | $283587.66    | 0.04%             | 2023-11-10      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      90000 | PA      | $56426.34     | 0.01%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179QR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24727 | PA      | $25148.55     | 0.00%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113945 | PA      | $104565.51    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2017-4, Ltd.                                              | Voya Clo 2017-4 Ltd                                                                                                    | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $395033.60    | 0.06%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126431 | PA      | $103855.86    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                           | Telefonica Emisiones SA                                                                                                | CUSIP: 000000000<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $98168.78     | 0.01%             | 2027-01-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                              | BP Capital Markets BV                                                                                                  | CUSIP: 000000000<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     210000 | PA      | $141710.39    | 0.02%             | 2041-09-21      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     325000 | PA      | $247590.38    | 0.04%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $560539.59    | 0.08%             | 2027-04-13      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29877 | PA      | $28001.25     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        972 | PA      | $909.23       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                            | Talen Energy Supply LLC                                                                                                | CUSIP: 87422VAF5<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     267000 | PA      | $276345.00    | 0.04%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                            | Canadian Government Real Return Bond                                                                                   | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     272664 | PA      | $244477.15    | 0.03%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4270.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $4032.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: PLN 5.990000 15-MAR-2028                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    1111000 | OU      | $1125.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-799.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5702 | PA      | $5481.86      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27770 | PA      | $27160.49     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12633 | PA      | $12049.43     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $11145.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Red & Black Auto Germany UG                                        | Red & Black Auto Germany 8 UG                                                                                          | CUSIP: 000000000<br>LEI: 391200E3OPA9K4R22Z70 | Long             | ABS-O            | CORP              | DE        |     100000 | PA      | $104813.49    | 0.01%             | 2030-09-15      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 2Y RTR 3.260000 07-NOV-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -17604088 | OU      | $-105152.91   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | GBP P USD C @1.210000 EO                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     586000 | OU      | $7134.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MED Trust                                                          | Med Trust 2021-MDLN                                                                                                    | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     639000 | PA      | $583932.77    | 0.08%             | 2038-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                   | Crown Castle Inc                                                                                                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     189000 | PA      | $175550.26    | 0.03%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MCM 2021 VFN1                                                      | MCM 2021 VFN1                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464738 | PA      | $308442.89    | 0.04%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FHWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1224 | PA      | $1091.57      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD/MXN Down-and-out barrier option; Barrier price USD 19.10000                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     866000 | OU      | $2335.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-245.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RED SUN PROPERTIES GRP                                             | Redsun Properties Group Ltd                                                                                            | CUSIP: 000000000<br>LEI: 549300TYWIIKAOK07L47 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $18500.00     | 0.00%             | 2023-04-16      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| Sarcos Technology and Robotics Corp                                | Sarcos Technology and Robotics Corp                                                                                    | CUSIP: 80359A114<br>LEI: N/A                  | N/A              | DE               |  | US        |      28519 | NS      | $1072.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL GRID NA INC                                               | National Grid North America Inc                                                                                        | CUSIP: 000000000<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96404.25     | 0.01%             | 2026-01-20      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                           | Brazil Notas do Tesouro Nacional Serie F                                                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   26000000 | PA      | $4296143.28   | 0.61%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                               | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     145000 | PA      | $159854.73    | 0.02%             | 2029-05-23      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 17327CAN3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     737000 | PA      | $683027.21    | 0.10%             | 2026-01-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12959 | PA      | $11385.19     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4722 | PA      | $4500.27      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | JAN23 XLF US P @ 31                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |     -40600 | NC      | $-2832.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.540000 28-MAY-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1390840 | OU      | $235517.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                                            | EIG Pearl Holdings Sarl                                                                                                | CUSIP: 28249NAB7<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |     632000 | PA      | $483796.00    | 0.07%             | 2046-11-30      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $395.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD INR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1462.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED IDR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $10499.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3131XGBJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6966 | PA      | $6672.33      | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                              | Wells Fargo & Co                                                                                                       | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     589000 | PA      | $559275.01    | 0.08%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: IFS 2.676250 15-NOV-2032                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     890000 | OU      | $2288.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     496000 | PA      | $334768.35    | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: EUR 2.442000 14-JUL-2032                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     772000 | OU      | $-23480.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RRAM                                                               | RR 3 Ltd                                                                                                               | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $395531.92    | 0.06%             | 2030-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| KLABIN AUSTRIA GMBH                                                | Klabin Austria GmbH                                                                                                    | CUSIP: 49836AAC8<br>LEI: 984500578YEA8DD41B09 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $161000.00    | 0.02%             | 2031-01-12      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-97853.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P JPY C @123.2500 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   14520000 | OU      | $232044.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 3.754500 15-DEC-2025                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11532000 | OU      | $-112843.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33847 | PA      | $32363.70     | 0.00%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                                            | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                       | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     148000 | PA      | $140503.20    | 0.02%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                            | Transcontinental Gas Pipe Line Co LLC                                                                                  | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       9000 | PA      | $7480.06      | 0.00%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Lululemon Athletica Inc                                            | Lululemon Athletica Inc                                                                                                | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | US        |        416 | NS      | $133278.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AMGEN INC                                                          | Amgen Inc                                                                                                              | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      45000 | PA      | $28720.62     | 0.00%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                          | Kroger Co/The                                                                                                          | CUSIP: 501044DN8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |      88000 | PA      | $68311.72     | 0.01%             | 2050-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.532000 21-DEC-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12520000 | OU      | $-3904.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SERVICENOW INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          1 | NC      | $20.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |    1167860 | OU      | $74931.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36035 | PA      | $34780.57     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                             | Netherlands Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     311000 | PA      | $336172.31    | 0.05%             | 2047-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                | DBGS 2018-BIOD Mortgage Trust                                                                                          | CUSIP: 23306GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91376 | PA      | $87928.74     | 0.01%             | 2035-05-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30923 | PA      | $29493.74     | 0.00%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                       | Olympic Tower 2017-OT Mortgage Trust                                                                                   | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $109773.83    | 0.02%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349249 | PA      | $299432.34    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18644 | PA      | $17432.53     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-9682.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 5Y RTP 4.000000 08-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |  -18054449 | OU      | $-171696.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PBF2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     178000 | PA      | $167738.73    | 0.02%             | 2025-10-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (PEMEX)                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     175000 | OU      | $-9680.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1149000 | PA      | $919690.03    | 0.13%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                         | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     462000 | PA      | $423769.80    | 0.06%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $96631.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                       | Comcast Corp                                                                                                           | CUSIP: 20030NCR0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3415000 | PA      | $3362944.68   | 0.48%             | 2024-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     287000 | OU      | $3752.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-OAT FUTURE MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         87 | NC      | $-866483.79   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| McDonald's Corp                                                    | McDonald's Corp                                                                                                        | CUSIP: 000000000<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105636.24    | 0.02%             | 2023-11-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 4.855000 1-MAR-2024                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   24394973 | OU      | $-86382.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                                               | Banco de Sabadell SA                                                                                                   | CUSIP: 000000000<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $97610.01     | 0.01%             | 2025-07-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | 10Y RTP 3.450000 18-APR-2023                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -5850000 | NC      | $-158397.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                         | FedEx Corp                                                                                                             | CUSIP: 31428XCB0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     490000 | PA      | $415594.40    | 0.06%             | 2029-05-04      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL MUSIC GROUP NV                                           | Universal Music Group NV                                                                                               | CUSIP: 000000000<br>LEI: 724500GJBUL3D9TW9Y18 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $411248.71    | 0.06%             | 2027-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11513 | PA      | $10997.45     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1826000 | PA      | $2177057.60   | 0.31%             | 2023-07-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                               | BAT International Finance PLC                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     730000 | PA      | $692289.06    | 0.10%             | 2027-03-13      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                      | BHG Securitization Trust 2022-C                                                                                        | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     186042 | PA      | $184507.83    | 0.03%             | 2035-10-17      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606573 | PA      | $536309.85    | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                             | Motorola Solutions Inc                                                                                                 | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      59000 | PA      | $53122.57     | 0.01%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                 | Sweden Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     960000 | PA      | $86517.35     | 0.01%             | 2026-11-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $191902.01    | 0.03%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86012 | PA      | $73749.21     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED BRL / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $-729.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TVC DSCR 21 1 A                                                    | TVC DSCR 21 1 A                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1256767 | PA      | $1210643.85   | 0.17%             | 2051-02-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.552500 20-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7927079 | OU      | $566606.49    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        972 | PA      | $934.51       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56825 | PA      | $48600.74     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES IBOXX HIGH YIELD CORPO                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -422 | NC      | $-1266.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31489 | PA      | $30261.36     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                     | Morgan Stanley Capital I Trust 2019-L2                                                                                 | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589000 | PA      | $543571.78    | 0.08%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $527.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD KRW                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-11267.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                              | Micron Technology Inc                                                                                                  | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |      44000 | PA      | $27331.59     | 0.00%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H040616<br>LEI: 254900HROIFWPRGM1V77 | Short            | ABS-MBS          | USGA              | US        |     -28000 | PA      | $-26490.73    | -0.00%            | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     287000 | OU      | $3752.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                              | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      90000 | PA      | $56872.57     | 0.01%             | 2028-05-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Crowdstrike Holdings Inc                                           | Crowdstrike Holdings Inc                                                                                               | CUSIP: 22788C105<br>LEI: 549300YBY08K9KM4HX32 | Long             | EC               | CORP              | US        |        345 | NS      | $36325.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13856 | PA      | $12957.39     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 6174468Y8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      86000 | PA      | $52949.92     | 0.01%             | 2052-01-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD C JPY P @145.0000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    4120000 | OU      | $148.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                             | Brazilian Government International Bond                                                                                | CUSIP: 105756CE8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    3900000 | PA      | $3276000.00   | 0.47%             | 2031-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.660000 04-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5469310 | OU      | $1843589.28   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132QTHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4584 | PA      | $4508.17      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 B PTT                                            | United Airlines 2016-2 Class B Pass Through Trust                                                                      | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       3431 | PA      | $3023.71      | 0.00%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10962 | PA      | $10884.37     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1835 | PA      | $1646.46      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 36, Ltd.                              | Octagon Investment Partners 36 Ltd                                                                                     | CUSIP: 67591UAC1<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $738774.60    | 0.11%             | 2031-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                     | Amazon.com Inc                                                                                                         | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     564000 | PA      | $355438.91    | 0.05%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                               | Colombian TES                                                                                                          | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1336000000 | PA      | $180632.13    | 0.03%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5081 | PA      | $4554.92      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335ARP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      18720 | PA      | $19347.51     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384253 | PA      | $316316.53    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5353 | PA      | $5121.26      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: IFS 2.415000 15-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     755000 | OU      | $-19815.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $1102.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     852554 | PA      | $742527.71    | 0.11%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-373.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROMIGAS/GASES PACIFICO                                            | Promigas SA ESP / Gases del Pacifico SAC                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     200000 | PA      | $162750.00    | 0.02%             | 2029-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156124 | PA      | $149704.94    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                       | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $104929.74    | 0.01%             | 2024-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-504.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: CNY 2.455000 21-DEC-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12520000 | OU      | $-1211.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                        | Goldman Home Improvement Trust 2022-GRN2 Issuer Trust                                                                  | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     180227 | PA      | $179996.24    | 0.03%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                | Global Payments Inc                                                                                                    | CUSIP: 37940XAC6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      35000 | PA      | $24902.91     | 0.00%             | 2049-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Maverick Gaming LLC                                                | Maverick Gaming LLC Term Loan B                                                                                        | CUSIP: 57770JAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     122760 | PA      | $98208.00     | 0.01%             | 2026-09-03      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279949 | PA      | $216284.28    | 0.03%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Oi SA                                                              | Oi SA                                                                                                                  | CUSIP: 000000000<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     137000 | PA      | $22930.38     | 0.00%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     465000 | PA      | $486281.69    | 0.07%             | 2024-01-25      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                             | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                 | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      44000 | PA      | $27329.50     | 0.00%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q83T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69795 | PA      | $68360.55     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110350 | PA      | $90670.24     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                       | Ecopetrol SA                                                                                                           | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     349000 | PA      | $331724.50    | 0.05%             | 2025-01-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A7UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8252 | PA      | $7452.55      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Allegheny County Airport Authority                                 | ALLEGHENY CNTY PA ARPT AUTH ARPT REVENUE                                                                               | CUSIP: 01728LFL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $826430.00    | 0.12%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                             | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     400000 | PA      | $244000.00    | 0.03%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD IDR                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-4369.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51533 | PA      | $46143.05     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED NOK / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |          1 | NC      | $-10494.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                    | Republic Finance Issuance Trust 2021-A                                                                                 | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     136000 | PA      | $118837.45    | 0.02%             | 2031-12-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                   | CSC Holdings LLC                                                                                                       | CUSIP: 126307AH0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      45000 | PA      | $41895.68     | 0.01%             | 2024-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L73Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28292 | PA      | $24184.80     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $24657.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                        | Equinix Inc                                                                                                            | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     142000 | PA      | $114095.77    | 0.02%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | SWP: CLP 1.420000 01-APR-2023                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | 1315531000 | OU      | $77194.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                            | Bristol-Myers Squibb Co                                                                                                | CUSIP: 110122DS4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     117000 | PA      | $73285.75     | 0.01%             | 2050-11-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PPG INDUSTRIES INC                                                 | PPG Industries Inc                                                                                                     | CUSIP: 693506BK2<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |     825000 | PA      | $794508.49    | 0.11%             | 2027-03-13      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53681 | PA      | $50331.82     | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                                           | United Airlines 2016-2 Class AA Pass Through Trust                                                                     | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5886 | PA      | $5004.22      | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                            | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $127140.27    | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Mr Cooper Group Inc                                                | Mr Cooper Group Inc                                                                                                    | CUSIP: 62482R107<br>LEI: 549300KD8C6DPXYC2M26 | Long             | EC               | CORP              | US        |       2113 | NS      | $84794.69     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LINDE PLC                                                          | Linde PLC                                                                                                              | CUSIP: 000000000<br>LEI: 8945002PAZHZLBGKGF02 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $118714.56    | 0.02%             | 2051-09-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp                                                  | Devon Energy Corp                                                                                                      | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |       1342 | NS      | $82546.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BXP Trust                                                          | BXP Trust 2017-CC                                                                                                      | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $165788.50    | 0.02%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  3 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      51000 | PA      | $41929.01     | 0.01%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                                              | National Grid Electricity Transmission PLC                                                                             | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |    1462000 | PA      | $1460605.59   | 0.21%             | 2025-01-20      | Fixed         | 0.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140GRX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31925 | PA      | $30565.59     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2084.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140GNNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40679 | PA      | $38838.11     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132JNVH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3232 | PA      | $3140.76      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED EUR / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-1748.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                           | Banco Mercantil del Norte SA/Grand Cayman                                                                              | CUSIP: 05973KAB3<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $164975.00    | 0.02%             | 2032-01-24      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11576 | PA      | $10630.85     | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380369 | PA      | $349019.80    | 0.05%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45998 | PA      | $38222.06     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     162000 | PA      | $125014.53    | 0.02%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/CDS: (CMBX.NA.9.A)                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |      88515 | OU      | $-4626.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                               | Keurig Dr Pepper Inc                                                                                                   | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      36000 | PA      | $27032.49     | 0.00%             | 2050-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                   | CVC Cordatus Loan Fund IV DAC                                                                                          | CUSIP: 000000000<br>LEI: 2138005AFEIY5AMT4165 | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $99129.93     | 0.01%             | 2034-02-22      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $109647.92    | 0.02%             | 2026-05-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: OIS 4.560000 30-MAY-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    5880000 | OU      | $-10235.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SALESFORCE INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          4 | NC      | $6.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GACI FIRST INVESTMENT                                              | Gaci First Investment Co                                                                                               | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1110000 | PA      | $1110155.40   | 0.16%             | 2027-10-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     161000 | PA      | $167112.51    | 0.02%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P 500 ETF TRUST                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -14 | NC      | $-30611.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN INTL GROUP                                                | American International Group Inc                                                                                       | CUSIP: 000000000<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192954.94    | 0.03%             | 2027-06-21      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     517000 | PA      | $487467.22    | 0.07%             | 2025-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $1425.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 2YR NOTE (CBT) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1891 | NC      | $271191.04    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                            | Bristol-Myers Squibb Co                                                                                                | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     126000 | PA      | $98009.70     | 0.01%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                    | SWAP/CDSWAP/ICE: (ITRAXX.EUR.38.V1)                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |     381000 | OU      | $-1908.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern Trust Co.                                                 | PURCHASED USD / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: 6PTKHDJ8HDUF78PFWH30 | N/A              | DFE              |  | US        |          1 | NC      | $-1208.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: KRW 3.835000 15-MAR-2024                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 4858590000 | OU      | $-4008.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                     | Microsoft Corp                                                                                                         | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     127000 | PA      | $89852.59     | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62664 | PA      | $59970.92     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                         | Apidos CLO XII                                                                                                         | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492393.75    | 0.07%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $848.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399185 | PA      | $352658.29    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                | COMM 2016-DC2 Mortgage Trust                                                                                           | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $89303.07     | 0.01%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| SELP FINANCE SARL                                                  | SELP Finance Sarl                                                                                                      | CUSIP: 000000000<br>LEI: 549300Y4VYEJE1MH6D45 | Long             | DBT              |  | LU        |     590000 | PA      | $474489.88    | 0.07%             | 2029-05-27      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.626000 23-AUG-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1027655 | OU      | $353451.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ASTM SPA                                                           | ASTM SpA                                                                                                               | CUSIP: 000000000<br>LEI: 8156003F2286CFA55E20 | Long             | DBT              | CORP              | IT        |    1290000 | PA      | $1181066.37   | 0.17%             | 2026-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                           | BX Trust 2021-LBA                                                                                                      | CUSIP: 05609BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469000 | PA      | $406551.01    | 0.06%             | 2036-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 10Y RTR 2.900000 30-OCT-2023                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   10739016 | OU      | $202225.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4951 | PA      | $4760.66      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119947 | PA      | $111986.88    | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED USD / SOLD TWD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $753.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                | COMM 2019-GC44 Mortgage Trust                                                                                          | CUSIP: 12655TAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $878648.40    | 0.13%             | 2057-08-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| GOL EQUITY FINANCE SA                                              | GOL Equity Finance SA                                                                                                  | CUSIP: 36256KAA8<br>LEI: 222100H9BH197YU7RY14 | Long             | DBT              | CORP              | LU        |     282000 | PA      | $134373.00    | 0.02%             | 2024-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 5YR NOTE (CBT) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -15 | NC      | $13728.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $334.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413134 | PA      | $355264.60    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $-3268.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $252934.80    | 0.04%             | 2030-01-19      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                       | Newmont Corp                                                                                                           | CUSIP: 651639AZ9<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     154000 | PA      | $122601.17    | 0.02%             | 2032-07-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4344200 | PA      | $205837.59    | 0.03%             | 2024-09-12      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-6003.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                             | Digital Dutch Finco BV                                                                                                 | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |     200000 | PA      | $191447.90    | 0.03%             | 2025-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.682000 19-FEB-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12034300 | OU      | $1301183.84   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     285000 | OU      | $3726.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRF GmbH                                                           | BRF GmbH                                                                                                               | CUSIP: 05583BAA7<br>LEI: 5299002S6DY5RA2IOQ11 | Long             | DBT              | CORP              | AT        |     306000 | PA      | $276604.88    | 0.04%             | 2026-09-29      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                            | Eni SpA                                                                                                                | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     260000 | PA      | $214061.85    | 0.03%             | 2030-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED GBP / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |          1 | NC      | $-183159.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     557000 | PA      | $502151.55    | 0.07%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140KA6L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46919 | PA      | $40142.99     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10613 | PA      | $10527.36     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENNEIA SA                                                         | Genneia SA                                                                                                             | CUSIP: 372319AB9<br>LEI: 529900YZ70LX0XWS9P67 | Long             | DBT              | CORP              | AR        |      65882 | PA      | $63876.72     | 0.01%             | 2027-09-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Datadog Inc                                                        | Datadog Inc                                                                                                            | CUSIP: 23804L103<br>LEI: 549300F6JNO0KRPO1K63 | Long             | EC               | CORP              | US        |        976 | NS      | $71736.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Gracie Point International Funding                                 | GRACIE POINT INTERNATIONAL FUNDING 2022-2                                                                              | CUSIP: 38411JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     286000 | PA      | $286042.01    | 0.04%             | 2024-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      44000 | PA      | $29051.98     | 0.00%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trust                                    | LendingPoint Pass-Through Trust Series 2022-ST2                                                                        | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      67770 | PA      | $64751.81     | 0.01%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1000000 | PA      | $1164413.59   | 0.17%             | 2052-07-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                     | Salesforce Inc                                                                                                         | CUSIP: 79466LAJ3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     226000 | PA      | $180182.05    | 0.03%             | 2031-07-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159334 | PA      | $131163.05    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1440.60      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.565000 27-AUG-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8168070 | OU      | $581784.44    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Louisiana Public Facilities Authority                              | LOUISIANA PUB FACS AUTH REVENUE                                                                                        | CUSIP: 546399KR6<br>LEI: 549300RQIPT5S4P4M065 | Long             | DBT              | MUN               | US        |     155000 | PA      | $108713.44    | 0.02%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                    | SWAP/CDSWAP/ICE: (ITRAXX.XO.38.V1)                                                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |    1186447 | OU      | $-15146.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                           | International Flavors & Fragrances Inc                                                                                 | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      39000 | PA      | $26398.68     | 0.00%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                                          | Shell PLC                                                                                                              | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |       4312 | NS      | $122276.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      30000 | PA      | $39447.97     | 0.01%             | 2038-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                  | Hellenic Republic Government Bond                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     344000 | PA      | $211966.16    | 0.03%             | 2052-01-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | FSWP: IFS 3.000000 15-NOV-2027                                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |     890000 | OU      | $-3314.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     770000 | PA      | $717345.81    | 0.10%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| LLPL Capital Pte Ltd                                               | LLPL Capital Pte Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 254900VXZ8FXTUQNON22 | Long             | DBT              | CORP              | SG        |     170640 | PA      | $146750.40    | 0.02%             | 2039-02-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4301 | PA      | $4119.96      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.444000 11-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  100000000 | OU      | $5495129.39   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                        | Oracle Corp                                                                                                            | CUSIP: 000000000<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     200000 | PA      | $211124.75    | 0.03%             | 2025-07-10      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                           | Intercontinental Exchange Inc                                                                                          | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      44000 | PA      | $27638.64     | 0.00%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $2542.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 2Y RTP 2.700000 15-FEB-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -49553356 | NC      | $-1591300.48  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                            | Public Service Electric and Gas Co                                                                                     | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     232000 | PA      | $202797.13    | 0.03%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | EUR C USD P @1.060000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    3360000 | OU      | $50670.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                            | Loanpal Solar Loan 2020-2 Ltd                                                                                          | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88571 | PA      | $73396.24     | 0.01%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | EUR P USD C @0.970000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    9198630 | OU      | $708.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137795 | PA      | $122976.19    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                         | Intel Corp                                                                                                             | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     148000 | PA      | $129835.40    | 0.02%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087D35<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     210000 | PA      | $140084.27    | 0.02%             | 2048-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.130000 08-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   78484037 | OU      | $-3934529.06  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| ALM Loan Funding                                                   | ALM 2020 Ltd                                                                                                           | CUSIP: 00166FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242967.63    | 0.03%             | 2029-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     165000 | PA      | $176703.42    | 0.03%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                             | Motorola Solutions Inc                                                                                                 | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     221000 | PA      | $176698.76    | 0.03%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -298000 | PA      | $-249674.91   | -0.04%            | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2836.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                           | Telefonica Emisiones SA                                                                                                | CUSIP: 000000000<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $240880.89    | 0.03%             | 2026-02-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                | COMM 2014-CCRE21 Mortgage Trust                                                                                        | CUSIP: 12592RBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329235 | PA      | $316864.73    | 0.05%             | 2047-12-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL                                              | TotalEnergies Capital International SA                                                                                 | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $105657.65    | 0.02%             | 2023-07-12      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     769000 | PA      | $805761.77    | 0.12%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67119 | PA      | $54684.32     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: PLN 6.990000 30-SEP-2027                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    1259000 | OU      | $-8601.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     200000 | PA      | $210927.79    | 0.03%             | 2026-09-22      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                          | Apple Inc                                                                                                              | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      78000 | PA      | $51439.23     | 0.01%             | 2051-02-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED KRW / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $17283.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                            | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   13000000 | PA      | $602917.40    | 0.09%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $6320.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | ICE 3MTH SONIA FU DEC23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          8 | NC      | $10296.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-113.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD PLN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-2298.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED PLN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PL        |          1 | NC      | $13963.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CF Industries Holdings Inc                                         | CF Industries Holdings Inc                                                                                             | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |        933 | NS      | $79491.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 7.675000 30-JAN-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   29564000 | OU      | $-100661.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180978 | PA      | $148868.02    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT                                           | United Airlines 2015-1 Class AA Pass Through Trust                                                                     | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        686 | PA      | $609.77       | 0.00%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTR 2.750000 14-NOV-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -32856848 | OU      | $-119776.03   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: OIS 3.341500 07-DEC-2025                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     830000 | OU      | $5482.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1610.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.397750 08-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   92780000 | OU      | $5174365.88   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                       | GS Mortgage Securities Trust 2015-GC34                                                                                 | CUSIP: 36250VAJ1<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $989927.29    | 0.14%             | 2048-10-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Valcour Packaging LLC                                              | Valcour Packaging LLC 2021 1st Lien Term Loan                                                                          | CUSIP: 91889CAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      59550 | PA      | $48831.00     | 0.01%             | 2028-10-04      | Floating      | 7.98%                 | No            |                  3 | On Loan: No      |
| LIQUID TELECOM FINANCE                                             | Liquid Telecommunications Financing Plc                                                                                | CUSIP: 536333AB3<br>LEI: 635400MXAVJRJJCWVI87 | Long             | DBT              | CORP              | GB        |     264000 | PA      | $189057.00    | 0.03%             | 2026-09-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED HUF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |          1 | NC      | $18377.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | 10Y RTP 3.410000 23-JAN-2023                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1680000 | OU      | $-6566.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LBM Acquisition LLC                                                | LBM Acquisition LLC Term Loan B                                                                                        | CUSIP: 50179JAB4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |     267041 | PA      | $230907.45    | 0.03%             | 2027-12-17      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | E-MINI RUSS 2000 MAR23                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -19 | NC      | $60138.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-555.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 31418DEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189963 | PA      | $185543.79    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11034238 | PA      | $10799814.77  | 1.54%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                             | Park Avenue Institutional Advisers CLO Ltd 2017-1                                                                      | CUSIP: 70018FAE9<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $213826.68    | 0.03%             | 2034-02-14      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                  | General Motors Co                                                                                                      | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     529000 | PA      | $504823.49    | 0.07%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                               | Mariner CLO 2016-3 LLC                                                                                                 | CUSIP: 56845AAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238861.18    | 0.03%             | 2029-07-23      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7927712 | PA      | $6448878.66   | 0.92%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                | PURCHASED NOK / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | NO        |          1 | NC      | $-3844.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VACA MORADA                                                        | Vaca Morada Revolver                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | MX        |     666001 | PA      | $664336.00    | 0.09%             | 2024-03-25      | Floating      | 5.29%                 | No            |                  3 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |          1 | NC      | $-2184.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335BKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20716 | PA      | $19463.63     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1299075.55   | 0.19%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                                  | Genius Sports Ltd                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GG        |       5890 | NS      | $5301.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 2Y RTP 4.950000 30-OCT-2023                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -42956063 | OU      | $-122725.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1025.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      61000 | PA      | $37092.13     | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                           | Anheuser-Busch InBev Worldwide Inc                                                                                     | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      25000 | PA      | $21723.79     | 0.00%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | INTUIT INC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -1 | NC      | $-770.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3614.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $378604.28    | 0.05%             | 2032-03-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTP 4.750000 14-NOV-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -32856848 | OU      | $-119957.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3116700 | PA      | $2771461.02   | 0.40%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                              | Venezuela Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | CORP              | VE        |       3000 | PA      | $9000.00      | 0.00%             | 2020-04-15      | Fixed         | 1.00%                 | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-118.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                                | American International Group Inc                                                                                       | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     122000 | PA      | $103194.02    | 0.01%             | 2050-06-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A7JB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3499 | PA      | $3160.10      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                 | Raytheon Technologies Corp                                                                                             | CUSIP: 75513EAB7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     500000 | PA      | $462319.55    | 0.07%             | 2030-05-18      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                             | Philip Morris International Inc                                                                                        | CUSIP: 718172CK3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     260000 | PA      | $242739.07    | 0.03%             | 2026-08-03      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trust                                    | LendingPoint Pass-Through Trust Series 2022-ST1                                                                        | CUSIP: 52607NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59164 | PA      | $55783.30     | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                           | CSX Corp                                                                                                               | CUSIP: 126408HU0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     313000 | PA      | $293435.82    | 0.04%             | 2032-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 1Y RTP 4.500000 07-MAR-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -86999000 | OU      | $-405338.78   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 30Y RTR 2.850000 14-NOV-2023                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3285685 | OU      | $162701.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5188 | PA      | $4941.09      | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED KRW / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $4371.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1300000 | PA      | $1535544.06   | 0.22%             | 2024-01-17      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36498 | PA      | $35056.74     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RRAM                                                               | RR 3 Ltd                                                                                                               | CUSIP: 74988LAC8<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |    1125000 | PA      | $1094652.56   | 0.16%             | 2030-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48599 | PA      | $39916.52     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XPO Inc                                                            | XPO Inc                                                                                                                | CUSIP: 983793100<br>LEI: 54930096DB9LCLPN7H13 | Long             | EC               | CORP              | US        |        372 | NS      | $12383.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                             | Mondelez International Inc                                                                                             | CUSIP: 609207AW5<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      44000 | PA      | $27336.23     | 0.00%             | 2050-09-04      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3473.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ALPHABET INC                                                                                                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         20 | NC      | $30.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Otis Worldwide Corp                                                | Otis Worldwide Corp                                                                                                    | CUSIP: 68902V107<br>LEI: 549300ZLBKR8VSU25153 | Long             | EC               | CORP              | US        |        436 | NS      | $34143.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VODAFONE GROUP PLC                                                 | Vodafone Group PLC                                                                                                     | CUSIP: 92857WBU3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      65000 | PA      | $49567.33     | 0.01%             | 2050-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                             | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $147287.50    | 0.02%             | 2032-05-29      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| KLA Corp                                                           | KLA Corp                                                                                                               | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |        204 | NS      | $76914.12     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Glencore PLC                                                       | Glencore PLC                                                                                                           | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |       4738 | NS      | $31596.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Co                                                  | General Motors Co                                                                                                      | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     116000 | PA      | $101095.68    | 0.01%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                    | Danske Bank A/S                                                                                                        | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     300000 | PA      | $292037.46    | 0.04%             | 2027-02-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | OVINTIV INC                                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         12 | NC      | $300.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Northrop Grumman Corp                                              | Northrop Grumman Corp                                                                                                  | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |        217 | NS      | $118397.37    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     509000 | OU      | $1451.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MCM TR 2021 VFN1                                                   | MCM TR 2021 VFN1                                                                                                       | CUSIP: 55293CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1120522 | PA      | $1080498.07   | 0.15%             | 2059-01-01      | Variable      | 1.00%                 | No            |                  3 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                             | NXP BV / NXP Funding LLC                                                                                               | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     216000 | PA      | $214083.00    | 0.03%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6826.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                        | Viatris Inc                                                                                                            | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      44000 | PA      | $27110.07     | 0.00%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD COP                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-8077.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                      | SCC Power PLC                                                                                                          | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |     419145 | PA      | $142825.60    | 0.02%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     135000 | PA      | $85978.80     | 0.01%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.200000 22-DEC-2050                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7691201 | OU      | $-3226166.62  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| McKesson Corp                                                      | McKesson Corp                                                                                                          | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |        273 | NS      | $102407.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RWE AG                                                             | RWE AG                                                                                                                 | CUSIP: 000000000<br>LEI: 529900GB7KCA94ACC940 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $208198.14    | 0.03%             | 2025-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107221 | PA      | $95059.11     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                   | Altria Group Inc                                                                                                       | CUSIP: 02209SAY9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96149.91     | 0.01%             | 2027-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $-383.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      99000 | PA      | $57420.00     | 0.01%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-685.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bally's Corporation                                                | Bally's Corporation 2021 Term Loan B                                                                                   | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     321570 | PA      | $296728.72    | 0.04%             | 2028-10-02      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80990 | PA      | $72768.64     | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.810000 23-NOV-2030                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5480659 | OU      | $1162968.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     278000 | PA      | $273853.05    | 0.04%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                             | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     156000 | PA      | $169281.66    | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ERGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24584 | PA      | $22020.05     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     787000 | PA      | $707492.96    | 0.10%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2508000 | PA      | $2251490.56   | 0.32%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                         | Humana Inc                                                                                                             | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |         74 | NS      | $37902.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284269 | PA      | $235154.23    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BG ENERGY CAPITAL PLC                                              | BG Energy Capital PLC                                                                                                  | CUSIP: 000000000<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $242951.10    | 0.03%             | 2025-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.660000 25-SEP-2030                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1243000 | OU      | $-265183.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      80000 | PA      | $49528.89     | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                             | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                 | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    1134000 | PA      | $1050721.88   | 0.15%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                              | Cellnex Finance Co SA                                                                                                  | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $591363.40    | 0.08%             | 2026-04-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2019-PRM                                                                           | CUSIP: 29429JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $985967.90    | 0.14%             | 2036-05-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15158 | PA      | $14062.37     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SRS Distribution Inc.                                              | SRS Distribution Inc. 2021 Term Loan B                                                                                 | CUSIP: 78466YAN8<br>LEI: 549300ZQ3XP75BCYM468 | Long             | LON              | CORP              | US        |     229259 | PA      | $218738.11    | 0.03%             | 2028-06-02      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF 2020-K104 Mortgage Trust                                                                                         | CUSIP: 302984AS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     750000 | PA      | $643176.45    | 0.09%             | 2052-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-120422.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15833 | PA      | $15066.79     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Axtel SAB de CV                                                    | Axtel SAB de CV                                                                                                        | CUSIP: 05462GAJ3<br>LEI: 549300BVRDR8XTSXAD13 | Long             | DBT              | CORP              | MX        |     239000 | PA      | $194904.50    | 0.03%             | 2024-11-14      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED CNH / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $18.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-5075.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 10Y RTR 2.400000 14-DEC-2023                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   -2349000 | OU      | $-25173.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ENERGY SELECT SECTOR SPDR FUND                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         23 | NC      | $782.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 5Y RTR 2.500000 08-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: PGBWEZU4QUV2UVGWJC76 | N/A              | DIR              |  | US        |   -9027224 | OU      | $-23191.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State of New Hampshire                                             | NEW HAMPSHIRE ST                                                                                                       | CUSIP: 6446826F8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $1132230.00   | 0.16%             | 2028-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                   | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $112253.01    | 0.02%             | 2024-12-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| City of Charlotte NC Airport Revenue                               | CHARLOTTE NC ARPT REVENUE                                                                                              | CUSIP: 161036RV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     235000 | PA      | $172645.10    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                     | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |          1 | NC      | $-2803.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.590000 14-OCT-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   16740210 | OU      | $-2904967.48  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ISHARES CHINA LARGE-CAP ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -275 | NC      | $-4125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KraneShares CSI China Internet ETF                                 | KraneShares CSI China Internet ETF                                                                                     | CUSIP: 500767306<br>LEI: 549300URDNVSGEWBN526 | Long             | EC               | RF                | US        |       7347 | NS      | $221879.40    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199283 | PA      | $177762.36    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2420 | PA      | $2310.89      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132XCSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102899 | PA      | $101732.50    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.444000 22-MAR-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   52000000 | OU      | $2859871.71   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     616000 | PA      | $549346.34    | 0.08%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        893 | PA      | $837.69       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Overseas Bank Ltd                                           | United Overseas Bank Ltd                                                                                               | CUSIP: 000000000<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | DBT              | CORP              | SG        |     200000 | PA      | $193787.50    | 0.03%             | 2023-10-19      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.470000 14-JAN-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5754793 | OU      | $-574181.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6271 | PA      | $5864.53      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1007000 | PA      | $963852.87    | 0.14%             | 2025-01-24      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                             | Banque Federative du Credit Mutuel SA                                                                                  | CUSIP: 000000000<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $96755.15     | 0.01%             | 2026-06-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                                    | KOREA 10YR BND FU MAR23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          5 | NC      | $-6789.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ovintiv Inc                                                        | Ovintiv Inc                                                                                                            | CUSIP: 69047Q102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        605 | NS      | $30679.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QQE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20794 | PA      | $19077.92     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12286 | PA      | $10981.44     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                                | Canadian Government Bond                                                                                               | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     140000 | PA      | $106000.89    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BK PHOENIX AZ                                     | WESTERN ALLIANCE BK PHOENIX AZ                                                                                         | CUSIP: 95763PEH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2260000 | PA      | $2258507.59   | 0.32%             | 2024-12-30      | Variable      | 9.14%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $1643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                             | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                            | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     200000 | PA      | $169889.03    | 0.02%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312650 | PA      | $257372.31    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP PLC                                                             | BP PLC                                                                                                                 | CUSIP: 055622104<br>LEI: 213800LH1BZH3DI6G760 | Long             | EC               | CORP              | GB        |       1636 | NS      | $57145.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                           | Burlington Northern Santa Fe LLC                                                                                       | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     581000 | PA      | $516084.35    | 0.07%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                              | Wells Fargo & Co                                                                                                       | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     135000 | PA      | $134562.28    | 0.02%             | 2026-04-27      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD CNH                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-70372.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                       | Ecopetrol SA                                                                                                           | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      70000 | PA      | $69440.00     | 0.01%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                        | PUERTO RICO CMWLTH                                                                                                     | CUSIP: 74514L4F1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |     779885 | PA      | $252271.76    | 0.04%             | 2051-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ODBRCHT OFFSHRE DRLL FIN                                           | Odebrecht Offshore Drilling Finance Ltd                                                                                | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |        102 | PA      | $26.86        | 0.00%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | MARATHON OIL CORP                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -39 | NC      | $-1540.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59616 | PA      | $51149.16     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD SGD                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6084.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | Dual Binary Option: Payout at expiration if the S&P 500 Index is below or at 3687.14 and USOSFR10 is below or at 3.342 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               |  | US        |     151128 | NC      | $16560.61     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1472000 | PA      | $1420941.93   | 0.20%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| INFORMA PLC                                                        | Informa PLC                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $109136.28    | 0.02%             | 2026-07-05      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     641000 | PA      | $599855.81    | 0.09%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                         | Fiserv Inc                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      33000 | PA      | $26772.69     | 0.00%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAPTION MAR23 0.8 CALL                                                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  123604533 | NC      | $16.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | SWAP/CDSWAP/SCDS: (MEX)                                                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     317000 | OU      | $4144.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 5.885000 22-OCT-2030                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  100000000 | OU      | $822257.83    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $2519.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (TURKEY)                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     580000 | OU      | $92295.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                      | BHG Securitization Trust 2021-A                                                                                        | CUSIP: 08861YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $83765.05     | 0.01%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 31335BEU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30577 | PA      | $30090.51     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ROCKWELL AUTOMATION INC                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          4 | NC      | $2820.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |          1 | NC      | $-8755.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CZK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CZ        |          1 | NC      | $17283.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-6291.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                             | General Motors Financial Co Inc                                                                                        | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2739000 | PA      | $2728174.16   | 0.39%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | OVINTIV INC                                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -12 | NC      | $-840.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Gracie Point International Funding                                 | GRACIE POINT INTERNATIONAL FUNDING 2022-2                                                                              | CUSIP: 38411JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     154000 | PA      | $154022.55    | 0.02%             | 2024-07-01      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                   | Paramount Global                                                                                                       | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     196000 | PA      | $160420.00    | 0.02%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14885 | PA      | $13918.68     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140MNP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132650 | PA      | $122156.65    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                       | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $194290.86    | 0.03%             | 2027-02-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8563 | PA      | $7667.55      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROOF ACQUISITION CORP                                             | PROOF ACQUISITION CORP                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       4080 | NS      | $4610.40      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | 2Y RTP 4.800000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -42311948 | OU      | $-110772.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GJN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     150000 | PA      | $105427.90    | 0.02%             | 2052-03-13      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ADOBE INC                                                                                                              | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          1 | NC      | $3.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.551000 20-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15854159 | OU      | $1133674.20   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED AUD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |          1 | NC      | $-43841.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                           | Lloyds Banking Group PLC                                                                                               | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $229381.36    | 0.03%             | 2024-10-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.520000 08-JAN-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2119537 | OU      | $769111.54    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED JPY / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $485092.06    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | SWP: OIS 13.965000 02-JAN-2024                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3725000 | OU      | $3496.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV NV                                             | Volkswagen Financial Services NV                                                                                       | CUSIP: 000000000<br>LEI: 529900ZTQC8D1TW6BL41 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $115864.57    | 0.02%             | 2025-10-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11412 | PA      | $10670.54     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L7FZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30674 | PA      | $26219.84     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401846 | PA      | $328244.25    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338324 | PA      | $277732.65    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 2Y RTR 3.300000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -42311948 | OU      | $-77771.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3331311 | PA      | $3051203.53   | 0.44%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                                         | Upstart Pass-Through Trust Series 2020-ST5                                                                             | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          0 | PA      | $0.04         | 0.00%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.874000 13-JUL-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9304210 | OU      | $-1051661.71  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                          | BlackRock Liquidity Funds: T-Fund, Institutional Shares                                                                | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |    6558852 | NS      | $6558852.42   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.390000 07-JAN-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   40270358 | OU      | $-4138977.66  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13036 | PA      | $12898.12     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                             | NextEra Energy Capital Holdings Inc                                                                                    | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3292000 | PA      | $2810559.45   | 0.40%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| State of Georgia                                                   | GEORGIA ST                                                                                                             | CUSIP: 373385KP7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     145000 | PA      | $149094.80    | 0.02%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                          | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16                                                            | CUSIP: 61763MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $363378.00    | 0.05%             | 2047-06-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                   | Crown Castle Inc                                                                                                       | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      10000 | PA      | $9095.56      | 0.00%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ALLIANZ FINANCE II B.V.                                            | Allianz Finance II BV                                                                                                  | CUSIP: 000000000<br>LEI: 529900C9NVPTCPDI1D65 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $100005.03    | 0.01%             | 2025-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $101519.29    | 0.01%             | 2024-12-04      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153441 | PA      | $126431.71    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                 | GBP C USD P @1.280000 EO                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -558000 | OU      | $-343.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD/BRL One-touch barrier option; Barrier price USD 4.65000                                                            | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |      86000 | OU      | $4043.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                                                     | AGL CLO 3 LTD                                                                                                          | CUSIP: 00119MAA7<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245473.73    | 0.04%             | 2033-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Alcoa Corp                                                         | Alcoa Corp                                                                                                             | CUSIP: 013872106<br>LEI: 549300T12EZ1F6PWWU29 | Long             | EC               | CORP              | US        |        600 | NS      | $27282.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTL INC                                             | Philip Morris International Inc                                                                                        | CUSIP: 000000000<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     165000 | PA      | $147839.37    | 0.02%             | 2033-06-03      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $211007.00    | 0.03%             | 2023-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                   | MGM Resorts International                                                                                              | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      22000 | PA      | $20464.60     | 0.00%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                        | SWP: GBP 3.940000 01-SEP-2024                                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     880000 | OU      | $-4621.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | OTIS WORLDWIDE CORP                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -8 | NC      | $-80.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.630000 26-MAY-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   55869000 | OU      | $6550698.68   | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-710.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                           | OHA Credit Funding 5 Ltd                                                                                               | CUSIP: 67113GAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $287867.52    | 0.04%             | 2033-04-18      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     295000 | PA      | $240101.15    | 0.03%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46501 | PA      | $43683.02     | 0.01%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                         | Fiserv Inc                                                                                                             | CUSIP: 337738AY4<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     470000 | PA      | $416123.32    | 0.06%             | 2030-07-01      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $1425.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $3625.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV AG                                             | Volkswagen Financial Services AG                                                                                       | CUSIP: 000000000<br>LEI: 529900USFSZYPS075O24 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $177477.10    | 0.03%             | 2028-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                   | Freddie Mac Multifamily Structured Pass Through Certificates                                                           | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14714690 | PA      | $559306.85    | 0.08%             | 2029-05-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                            | HCA Inc                                                                                                                | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     111000 | PA      | $95734.86     | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                             | Williams Cos Inc/The                                                                                                   | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     441000 | PA      | $410528.57    | 0.06%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 10Y RTP 4.550000 24-OCT-2023                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   10739016 | OU      | $117236.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Indiana Finance Authority                                          | INDIANA ST FIN AUTH HOSP REVENUE                                                                                       | CUSIP: 45471ANY4<br>LEI: 549300PS0PAS7NDSSI20 | Long             | DBT              | MUN               | US        |     345000 | PA      | $340001.30    | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | KLA CORP                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -2 | NC      | $-430.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK NA                                                        | 2Y RTP 4.700000 14-JUN-2023                                                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | LU        |    -657306 | OU      | $-4769.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8100000 | PA      | $7793959.56   | 1.11%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                             | XHR LP                                                                                                                 | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              |  | US        |      34000 | PA      | $27850.29     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $7223.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                   | CIFC Funding 2018-II Ltd                                                                                               | CUSIP: 17180WAC9<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243420.08    | 0.03%             | 2031-04-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | 1Y RTP 1.000000 02-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   27029964 | OU      | $744472.63    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAT                                           | Siemens Financieringsmaatschappij NV                                                                                   | CUSIP: 000000000<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $96548.12     | 0.01%             | 2026-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                        | SWAP/CDSWAP/SCDS: (INDON)                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     969000 | OU      | $-424.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                              | Level 3 Financing Inc                                                                                                  | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      39000 | PA      | $30720.30     | 0.00%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | KLA CORP                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          2 | NC      | $1240.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     288000 | PA      | $275904.06    | 0.04%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2185.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                | Citigroup Commercial Mortgage Trust 2020-420K                                                                          | CUSIP: 17328QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360000 | PA      | $264200.65    | 0.04%             | 2042-11-10      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                              | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     220000 | PA      | $156310.26    | 0.02%             | 2027-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                     | Commerzbank AG                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     900000 | PA      | $778242.04    | 0.11%             | 2031-12-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD SEK                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $769.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DNF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87213 | PA      | $79473.67     | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                | Suzano Austria GmbH                                                                                                    | CUSIP: 05674XAA9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $200537.50    | 0.03%             | 2026-07-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | RESETTABLE JAN23 SPX C @ 4050                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |        326 | NC      | $7688.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2460.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135928 | PA      | $136072.12    | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANGKOK BANK PCL/HK                                                | Bangkok Bank PCL/Hong Kong                                                                                             | CUSIP: 000000000<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |     200000 | PA      | $166725.00    | 0.02%             | 2034-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AMADEUS IT GROUP SA                                                | Amadeus IT Group SA                                                                                                    | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $307746.74    | 0.04%             | 2027-05-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                 | Union Pacific Corp                                                                                                     | CUSIP: 907818GD4<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     468000 | PA      | $449587.21    | 0.06%             | 2063-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                                | Avianca Midco 2 PLC                                                                                                    | CUSIP: 05368PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     560496 | PA      | $409162.08    | 0.06%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                        | Equinix Inc                                                                                                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     147000 | PA      | $127951.93    | 0.02%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49651 | PA      | $45176.41     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                            | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     157000 | PA      | $137674.55    | 0.02%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                             | Anglo American Capital PLC                                                                                             | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1243000 | PA      | $1171048.47   | 0.17%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chenango Park CLO, Ltd.                                            | Chenango Park CLO Ltd                                                                                                  | CUSIP: 16409TAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1018000 | PA      | $983082.70    | 0.14%             | 2030-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 1.560000 07-MAR-2027                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   26572761 | OU      | $-2426999.01  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                                 | Angolan Government International Bond                                                                                  | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     271000 | PA      | $234415.00    | 0.03%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED USD / SOLD TWD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $949.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO-BUXL 30Y BND MAR23                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -6 | NC      | $111193.37    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $22370.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                               | Volkswagen Bank GmbH                                                                                                   | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $199636.26    | 0.03%             | 2026-07-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   10000000 | PA      | $1495213.06   | 0.21%             | 2030-11-19      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      89000 | PA      | $59570.45     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.575000 01-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4957074 | OU      | $1748063.70   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1241000 | PA      | $971155.79    | 0.14%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                                      | JDE Peet's NV                                                                                                          | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     430000 | PA      | $385003.11    | 0.05%             | 2028-02-09      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107414 | PA      | $88504.30     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427875 | PA      | $365358.00    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US BOND FUTR OPTN FEB23P 126                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -3 | NC      | $-6703.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-373.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.920000 04-NOV-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11607518 | OU      | $-632892.34   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                            | HCA Inc                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     135000 | PA      | $86611.60     | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     176000 | PA      | $163699.33    | 0.02%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     392000 | PA      | $345485.54    | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $792.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                    | Republic Finance Issuance Trust 2021-A                                                                                 | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $537536.16    | 0.08%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                              | Prologis Euro Finance LLC                                                                                              | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |     125000 | PA      | $76341.78     | 0.01%             | 2049-09-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHANEL CERES PLC                                                   | Chanel Ceres PLC                                                                                                       | CUSIP: 000000000<br>LEI: 549300FLG0WWSVNA4480 | Long             | DBT              | CORP              | GB        |     170000 | PA      | $163611.72    | 0.02%             | 2026-07-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| State of Georgia                                                   | GEORGIA ST                                                                                                             | CUSIP: 373385KQ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     145000 | PA      | $148641.97    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                              | Prologis Euro Finance LLC                                                                                              | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |     200000 | PA      | $157414.31    | 0.02%             | 2031-09-10      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   12080000 | PA      | $1726069.09   | 0.25%             | 2030-05-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                        | Arbor Multifamily Mortgage Securities Trust 2020-MF1                                                                   | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14929721 | PA      | $757014.50    | 0.11%             | 2053-05-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     143000 | PA      | $130472.67    | 0.02%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                                             | Digicel Group Holdings Ltd                                                                                             | CUSIP: 25381YAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     143862 | PA      | $36756.74     | 0.01%             | 2025-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Kronos Acquisition Holdings Inc.                                   | Kronos Acquisition Holdings Inc. 2021 1st Lien Term Loan                                                               | CUSIP: 50106JAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      72270 | PA      | $69559.88     | 0.01%             | 2026-12-22      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                | Erste Group Bank AG                                                                                                    | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     100000 | PA      | $92497.11     | 0.01%             | 2031-09-08      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140L73E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52357 | PA      | $44754.87     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                               | Bank of America Corp                                                                                                   | CUSIP: 06051GHR3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1536000 | PA      | $1495228.32   | 0.21%             | 2025-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                           | AT&T Inc                                                                                                               | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     325000 | PA      | $306018.95    | 0.04%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 5.805000 17-OCT-2030                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   60000000 | OU      | $508686.22    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        789 | PA      | $738.21       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $2076.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED USD / SOLD CZK                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-5027.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21537 | PA      | $20677.03     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                    | Benefit Street Partners CLO VIII Ltd                                                                                   | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492985.45    | 0.07%             | 2031-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -233000 | PA      | $-207412.35   | -0.03%            | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50081 | PA      | $46938.78     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                              | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |  105600000 | PA      | $15782810.87  | 2.25%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244685 | PA      | $201269.09    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 2Y RTR 2.950000 30-OCT-2023                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -42956063 | OU      | $-178768.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $1385.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                        | Oracle Corp                                                                                                            | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      45000 | PA      | $29899.55     | 0.00%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CN        |          1 | NC      | $784.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30210 | PA      | $27165.93     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      78000 | PA      | $55563.55     | 0.01%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $2864.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6834 | PA      | $6563.13      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                          | Nelnet Student Loan Trust 2021-D                                                                                       | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $77970.17     | 0.01%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QPYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95520 | PA      | $87913.06     | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                             | Philip Morris International Inc                                                                                        | CUSIP: 718172CG2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     300000 | PA      | $202203.87    | 0.03%             | 2037-11-06      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                       | TICP CLO XV Ltd                                                                                                        | CUSIP: 87250RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1725467.10   | 0.25%             | 2033-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                               | Booking Holdings Inc                                                                                                   | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |         22 | NS      | $44336.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EAST JAPAN RAILWAY CO                                              | East Japan Railway Co                                                                                                  | CUSIP: 000000000<br>LEI: 353800SENYJ2DSM6PS44 | Long             | DBT              | CORP              | JP        |     360000 | PA      | $319796.36    | 0.05%             | 2033-04-13      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | USD P MXN C @19.50000 EO                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    4241301 | OU      | $55756.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.620000 19-NOV-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22175114 | OU      | $-3795362.64  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SERVICENOW INC                                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -1 | NC      | $-6205.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                                            | Dryden 49 Senior Loan Fund                                                                                             | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |     745697 | PA      | $737371.81    | 0.11%             | 2030-07-18      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                          | BXP Trust 2017-CC                                                                                                      | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $86147.35     | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                       | Olympic Tower 2017-OT Mortgage Trust                                                                                   | CUSIP: 68162MAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $98083.58     | 0.01%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD C JPY P @150.0000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -4120000 | OU      | $-20.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1250 | PA      | $1189.42      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS INTL FUND II                                              | Prologis International Funding II SA                                                                                   | CUSIP: 000000000<br>LEI: 213800JNRWW2C9DWI388 | Long             | DBT              | CORP              | LU        |     440000 | PA      | $400087.18    | 0.06%             | 2030-11-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                | LCM 26 Ltd                                                                                                             | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $592426.50    | 0.08%             | 2031-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| VERSA NETWORKS INC                                                 | VERSA NETWORKS INC                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      20741 | NS      | $53511.78     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.510000 13-JUL-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15788963 | OU      | $1131704.68   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                      | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                        | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1124063.04   | 0.16%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                     | Morgan Stanley                                                                                                         | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     460000 | PA      | $359978.18    | 0.05%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 3.418000 05-OCT-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4850543 | OU      | $-60578.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |          1 | NC      | $3852.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| American Auto Auction Group, LLC                                   | American Auto Auction Group, LLC 2021 2nd Lien Term Loan                                                               | CUSIP: 02403MAP5<br>LEI: 5493002VI1KML1L8HW19 | Long             | LON              | CORP              | US        |     225000 | PA      | $168750.00    | 0.02%             | 2029-01-02      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                       | Broadcom Inc                                                                                                           | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     328000 | PA      | $258338.97    | 0.04%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                               | Bank of America Corp                                                                                                   | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197304.39    | 0.03%             | 2027-05-04      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                           | Florida Power & Light Co                                                                                               | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1309000 | PA      | $877873.17    | 0.13%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2282 | PA      | $2125.13      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215565 | PA      | $177385.04    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                   | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                                                      | CUSIP: 14315LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $969755.00    | 0.14%             | 2031-07-27      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                                             | Chesapeake Energy Corp                                                                                                 | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       2645 | NS      | $249608.65    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp                                                           | KLA Corp                                                                                                               | CUSIP: 482480AE0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     125000 | PA      | $124620.84    | 0.02%             | 2024-11-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ALIGN TECHNOLOGY INC                                                                                                   | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          2 | NC      | $345.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235704 | PA      | $193807.27    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                     | Morgan Stanley Capital I Trust 2018-MP                                                                                 | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $871329.20    | 0.12%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Vaco Holdings, LLC                                                 | Vaco Holdings, LLC 2022 Term Loan                                                                                      | CUSIP: 000000000<br>LEI: 54930076HTNXBP03T379 | Long             | LON              | CORP              | US        |     160380 | PA      | $154097.92    | 0.02%             | 2029-01-21      | Variable      | 9.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $933925.92    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      60000 | PA      | $54564.51     | 0.01%             | 2037-09-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                 | Credit Agricole SA                                                                                                     | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $99764.18     | 0.01%             | 2026-04-22      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138YKYR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25163 | PA      | $23539.01     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 B PTT                                            | American Airlines 2016-2 Class B Pass Through Trust                                                                    | CUSIP: 02376GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      46000 | PA      | $43945.46     | 0.01%             | 2024-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                  | LEG Immobilien SE                                                                                                      | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $88555.72     | 0.01%             | 2027-11-28      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      58000 | PA      | $48440.92     | 0.01%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | SWAP/CDSWAP/SCDS: (COLOM)                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     371970 | OU      | $26958.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 10.170000 14-SEP-2023                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   36299000 | OU      | $-11471.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3566.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 7.610000 28-JAN-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   50000000 | OU      | $-180950.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                     | S&P Global Inc                                                                                                         | CUSIP: 78409VBE3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      19000 | PA      | $14668.70     | 0.00%             | 2062-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 4.660000 15-NOV-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1780000 | OU      | $5489.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                             | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $104265.54    | 0.01%             | 2030-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                               | 10Y RTP 4.400000 30-OCT-2023                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   10739016 | OU      | $140612.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                   | Duke Energy Corp                                                                                                       | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      35000 | PA      | $27621.09     | 0.00%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | USD C MXN P @20.00000 EO                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    -680000 | OU      | $-4085.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19673 | PA      | $18722.99     | 0.00%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                                     | Eli Lilly & Co                                                                                                         | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |        329 | NS      | $120361.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bunge Ltd                                                          | Bunge Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 5493007M0RIN8HY3MM77 | Long             | EC               | CORP              | BM        |       1295 | NS      | $129202.15    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                     | JPN 10Y BOND(OSE) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -31 | NC      | $589451.55    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $5333.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED IDR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $1928.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                        | Aker BP ASA                                                                                                            | CUSIP: 000000000<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     580000 | PA      | $502096.26    | 0.07%             | 2029-05-12      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| SABENA TECHNICS SAS                                                | SABENA TECHNICS SAS                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     342000 | PA      | $366093.73    | 0.05%             | 2029-09-30      | Variable      | 1.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40014 | PA      | $38663.11     | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties LLC                                        | Concord Music Royalties LLC                                                                                            | CUSIP: 20633KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     339000 | PA      | $331015.53    | 0.05%             | 2073-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     296772 | PA      | $276735.86    | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.300000 19-NOV-2050                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5221800 | OU      | $2109220.49   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                  | PURCHASED TWD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |          1 | NC      | $-297.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P JPY C @126.7000 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    9530000 | OU      | $248523.34    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                   | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2536450 | PA      | $1858449.27   | 0.27%             | 2050-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WKK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4907 | PA      | $4587.63      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $620.97       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 1.680000 05-FEB-2051                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2857139 | OU      | $951843.94    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240321 | PA      | $197465.67    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| District of Columbia Water & Sewer Authority                       | DIST OF COLUMBIA WTR & SWR AUTH PUBLIC UTILITY REVENUE                                                                 | CUSIP: 254845SK7<br>LEI: 549300OT2FIJQJ5PSH71 | Long             | DBT              | MUN               | US        |     495000 | PA      | $567752.13    | 0.08%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                   | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     218000 | PA      | $197467.62    | 0.03%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                                     | Halliburton Co                                                                                                         | CUSIP: 406216101<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | EC               | CORP              | US        |       8523 | NS      | $335380.05    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                              | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                         | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     999035 | PA      | $82769.12     | 0.01%             | 2054-04-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                  | SWAP/CDSWAP/SCDS: (BRAZIL)                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     161000 | OU      | $10330.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                               | Telefonica Europe BV                                                                                                   | CUSIP: 000000000<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $611707.93    | 0.09%             | 2024-12-14      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | ENERGY SELECT SECTOR SPDR FUND                                                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -23 | NC      | $-1150.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SASOL FINANCING USA LLC                                            | Sasol Financing USA LLC                                                                                                | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     400000 | PA      | $353450.00    | 0.05%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248921 | PA      | $222021.24    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Northern Trust Co.                                                 | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: 6PTKHDJ8HDUF78PFWH30 | N/A              | DFE              |  | US        |          1 | NC      | $-5918.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                  | EURO STOXX BANK MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -85 | NC      | $-14424.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares 0-5 Year TIPS Bond ETF                                     | iShares 0-5 Year TIPS Bond ETF                                                                                         | CUSIP: 46429B747<br>LEI: 549300GIWSEGOQLZR212 | Long             | EC               | RF                | US        |       7050 | NS      | $683568.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $113490.19    | 0.02%             | 2026-01-23      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae                                                                                                             | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2623800 | PA      | $2198312.16   | 0.31%             | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| YANGO JUSTICE INTL                                                 | Yango Justice International Ltd                                                                                        | CUSIP: 000000000<br>LEI: 3003007ELD2HAYCXPT77 | Long             | DBT              | CORP              | HK        |     200000 | PA      | $3000.00      | 0.00%             | 2024-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-7.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                            | HCA Inc                                                                                                                | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      32000 | PA      | $27254.74     | 0.00%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                        | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $990382.01    | 0.14%             | 2030-11-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | FSWP: USD 2.000000 17-FEB-2025                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   13939574 | OU      | $628476.26    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $334.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| University of California                                           | UNIV OF CALIFORNIA CA REVENUES                                                                                         | CUSIP: 91412HHJ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $962258.00    | 0.14%             | 2050-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2526.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                           | Thermo Fisher Scientific Inc                                                                                           | CUSIP: 883556CK6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     247000 | PA      | $209184.65    | 0.03%             | 2028-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-22970.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $188932.33    | 0.03%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FRESNILLO PLC                                                      | Fresnillo PLC                                                                                                          | CUSIP: 000000000<br>LEI: 549300JXWH1UV5J0XV81 | Long             | DBT              | CORP              | GB        |     225000 | PA      | $176737.50    | 0.03%             | 2050-10-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                             | Full House Resorts Inc                                                                                                 | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |      67000 | PA      | $59315.77     | 0.01%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                         | JPMDB Commercial Mortgage Securities Trust 2017-C7                                                                     | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113000 | PA      | $1022486.83   | 0.15%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $11115.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |          1 | NC      | $438.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506471 | PA      | $412805.05    | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                | Moody's Corp                                                                                                           | CUSIP: 615369AY1<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     131000 | PA      | $99742.46     | 0.01%             | 2052-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                                 | Whitebox Clo I Ltd                                                                                                     | CUSIP: 96467FAQ3<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $464754.00    | 0.07%             | 2032-07-24      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP HOLDG                                           | Cloud Software Group Holdings Inc                                                                                      | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     457000 | PA      | $384922.52    | 0.05%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATENTO LUXCO 1 SA                                                  | Atento Luxco 1 SA                                                                                                      | CUSIP: 000000000<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |      53000 | PA      | $28331.81     | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LOUIS DREYFUS FINANCE BV                                           | Louis Dreyfus Co Finance BV                                                                                            | CUSIP: 000000000<br>LEI: 5493001HHX62PQCEEH95 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $203690.46    | 0.03%             | 2025-11-27      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                     | KKR Industrial Portfolio Trust 2021-KDIP                                                                               | CUSIP: 48254CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     682500 | PA      | $629268.82    | 0.09%             | 2037-12-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | HUMANA INC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -1 | NC      | $-10.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2631 | PA      | $2489.36      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12883 | PA      | $11959.19     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-230104.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $3722.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                 | Sweden Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     250000 | PA      | $27966.14     | 0.00%             | 2039-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                        | Equinix Inc                                                                                                            | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     468000 | PA      | $415791.42    | 0.06%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $209560.25    | 0.03%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                          | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F012411<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -166000 | PA      | $-143695.50   | -0.02%            | 2038-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                     | BANK 2021-BNK35                                                                                                        | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27000 | PA      | $21722.82     | 0.00%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                   | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     500000 | PA      | $493926.80    | 0.07%             | 2028-05-24      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                      | Citigroup Inc                                                                                                          | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1553000 | PA      | $1328267.78   | 0.19%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-109569.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1040000 | PA      | $766681.34    | 0.11%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                        | 10Y RTR 3.050000 24-OCT-2023                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   10739016 | OU      | $243490.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                 | Steel Dynamics Inc                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |      76000 | PA      | $49272.96     | 0.01%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Apex Tool Group, LLC                                               | Apex Tool Group, LLC 2022 Term Loan                                                                                    | CUSIP: 03759DAK4<br>LEI: 549300LWC59TPOM4ZR02 | Long             | LON              | CORP              | US        |     281378 | PA      | $240181.43    | 0.03%             | 2029-02-08      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                      | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1076.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-220.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2191 | PA      | $2049.22      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                                           | United Airlines 2019-2 Class AA Pass Through Trust                                                                     | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      67224 | PA      | $54241.30     | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | 5Y RTR 2.800000 30-MAY-2023                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -17141335 | OU      | $-67820.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.870000 08-APR-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22427103 | OU      | $-2458229.41  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Ghana                                                  | Ghana Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     381000 | PA      | $137160.00    | 0.02%             | 2029-05-16      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                               | YPF SA                                                                                                                 | CUSIP: 000000000<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      14494 | PA      | $9471.83      | 0.00%             | 2033-09-30      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                                           | Anheuser-Busch InBev SA/NV                                                                                             | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     100000 | PA      | $118700.28    | 0.02%             | 2025-09-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10164929 | PA      | $9884714.40   | 1.41%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                       | Barclays PLC                                                                                                           | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $152316.68    | 0.02%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: OIS 2.600000 26-MAY-2032                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2476817 | OU      | $189247.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                   | ICE 3MTH SONIA FU JUN23                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         88 | NC      | $-6115.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Henley CLO                                                         | Henley CLO IV DAC                                                                                                      | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $98086.12     | 0.01%             | 2034-04-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                   | TRESTLES CLO 2017-1 Ltd                                                                                                | CUSIP: 89531FAL1<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244594.58    | 0.03%             | 2032-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-965.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                                            | Broadcom Corp / Broadcom Cayman Finance Ltd                                                                            | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     813000 | PA      | $799064.11    | 0.11%             | 2024-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                   | OneMain Financial Issuance Trust 2022-2                                                                                | CUSIP: 68268VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     380000 | PA      | $368526.77    | 0.05%             | 2034-10-14      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                             | Verizon Communications Inc                                                                                             | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     245000 | PA      | $190080.41    | 0.03%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                             | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2865336 | PA      | $2670208.82   | 0.38%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                              | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     191000 | PA      | $175720.00    | 0.03%             | 2024-11-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $4609.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                    | CVS Health Corp                                                                                                        | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     161000 | PA      | $126882.67    | 0.02%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                            | Dryden 37 Senior Loan Fund                                                                                             | CUSIP: 26249MAN7<br>LEI: 254900I0IPNA482LDS44 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $740149.88    | 0.11%             | 2031-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD P JPY C @121.3100 EO                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |  -14520000 | OU      | $-180207.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                            | Astrazeneca Finance LLC                                                                                                | CUSIP: 04636NAB9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |     146000 | PA      | $121443.00    | 0.02%             | 2031-05-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                    | CVS Health Corp                                                                                                        | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     318000 | PA      | $253100.85    | 0.04%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-434.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Element Solutions Inc                                              | Element Solutions Inc                                                                                                  | CUSIP: 28618M106<br>LEI: 549300FLGN6P5CU20J91 | Long             | EC               | CORP              | US        |       6664 | NS      | $121218.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 5.520000 11-FEB-2031                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  120000000 | OU      | $1141607.86   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                      | BHG Securitization Trust 2022-A                                                                                        | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $166063.34    | 0.02%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| TICP CLO LTD                                                       | TICP CLO XII Ltd                                                                                                       | CUSIP: 87250FAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     325000 | PA      | $310890.32    | 0.04%             | 2034-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | 3 MONTH SOFR FUT JUN24                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -7 | NC      | $771.49       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                         | JPMDB Commercial Mortgage Securities Trust 2017-C5                                                                     | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1121181.12   | 0.16%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15883 | PA      | $15595.85     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                             | US 10Y NOTE W1 OP JAN23P 112                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -681 | NC      | $-234093.75   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Mercedes-Benz Group AG                                             | Mercedes-Benz Group AG                                                                                                 | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |       2630 | NS      | $171988.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                             | Mosaic Solar Loan Trust 2022-3                                                                                         | CUSIP: 61946KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $99722.04     | 0.01%             | 2053-06-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Schaeffler AG                                                      | Schaeffler AG                                                                                                          | CUSIP: 000000000<br>LEI: 549300Q7E782X7GC1P43 | Long             | DBT              | CORP              | DE        |      10000 | PA      | $10432.86     | 0.00%             | 2024-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3112.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-997.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                             | SPDR S+P 500 ETF TRUST                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        122 | NC      | $2623.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED PLN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $2996.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                               | Colombian TES                                                                                                          | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  767000000 | PA      | $111743.02    | 0.02%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                     | Eli Lilly & Co                                                                                                         | CUSIP: 000000000<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     240000 | PA      | $131586.16    | 0.02%             | 2061-09-14      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                   | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | N/A              | DFE              |  | US        |          1 | NC      | $-367.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae I Pool                                                                                                      | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19058 | PA      | $18841.78     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183000 | PA      | $174492.74    | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                            | DraftKings Holdings Inc                                                                                                | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |     174000 | PA      | $107619.00    | 0.02%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4377 | PA      | $4092.96      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                      | CITIBANK N.A.                                                                                                          | CUSIP: 17305T6C1<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | STIV             | CORP              | US        |     463000 | PA      | $459684.34    | 0.07%             | 2023-08-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55851 | PA      | $54815.03     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-17895.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46293 | PA      | $41406.21     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Pool                                                                                                       | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99810 | PA      | $84132.12     | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                           | Engie SA                                                                                                               | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $91037.45     | 0.01%             | 2032-03-30      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                        | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $3949.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                             | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-7969.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: USD 0.700000 22-FEB-2026                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3288877 | OU      | $354138.07    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                        | SWP: MXN 4.680000 27-FEB-2024                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   24394973 | OU      | $-89137.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                                               | Banco de Sabadell SA                                                                                                   | CUSIP: 000000000<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |    1100000 | PA      | $1094339.78   | 0.16%             | 2025-11-07      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                      | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1595.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                           | Ginnie Mae II Pool                                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2407 | PA      | $2243.38      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1754 | PA      | $1683.98      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                           | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $606.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                              | Japan Government Thirty Year Bond                                                                                      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2274950000 | PA      | $13074548.82  | 1.87%             | 2049-09-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                | American Tower Corp                                                                                                    | CUSIP: 03027XAS9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     200000 | PA      | $198023.93    | 0.03%             | 2026-05-22      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26828 | PA      | $27410.30     | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                    | Venture 39 CLO Ltd                                                                                                     | CUSIP: 92332TAB8<br>LEI: 549300VI1BOFEK7C6D74 | Long             | ABS-CBDO         | CORP              | KY        |     335000 | PA      | $324785.15    | 0.05%             | 2033-04-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                               | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-461224.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                 | Denmark Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     500000 | PA      | $70050.67     | 0.01%             | 2025-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                        | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2849 | PA      | $2671.08      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                 | USD/JPY One-touch barrier option; Barrier price USD 105.00000                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     170000 | OU      | $1196.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FCA BANK SPA IRELAND                                               | FCA Bank SpA/Ireland                                                                                                   | CUSIP: 000000000<br>LEI: 549300V1VN70Q7PQ7234 | Long             | DBT              | CORP              | IT        |     639000 | PA      | $681728.51    | 0.10%             | 2023-02-28      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2716 | PA      | $2430.18      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                             | Philip Morris International Inc                                                                                        | CUSIP: 718172BV0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $71184.89     | 0.01%             | 2036-05-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                              | Toronto-Dominion Bank/The                                                                                              | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $109681.03    | 0.02%             | 2027-04-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                         | Fannie Mae Pool                                                                                                        | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6951 | PA      | $6448.56      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-10

**Name of Applicant:** BlackRock Strategic Global Bond Fund, Inc.

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer