# EDGAR Filing Document

**Accession Number:** 0000914209
**File Stem:** 0000869392-23-000361
**Filing Date:** 2023-2
**Character Count:** 1273116
**Document Hash:** 9944dc5efe743be3899ce6c5cad70c29
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000361.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000869392-23-000361

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM ASSET ALLOCATION FUNDS
- **CENTRAL INDEX KEY:** 0000914209
- **IRS NUMBER:** 046746612
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07121
- **FILM NUMBER:** 23666284

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6177601000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM LIFE STAGES ASSET ALLOCATION TRUST
- **DATE OF NAME CHANGE:** 19931027

## Series and Classes Contracts Data

### Putnam Dynamic Asset Allocation Growth Fund (Series ID: S000000780)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000002319 | Class A shares | PAEAX           |
| C000002320 | Class B shares | PAEBX           |
| C000002321 | Class C shares | PAECX           |
| C000002323 | Class R shares | PASRX           |
| C000002324 | Class Y shares | PAGYX           |
| C000117949 | Class R5       |  |
| C000117950 | Class R6       |  |
| C000174663 | Class P Shares |  |

## Nport-Ex

------

---

| |
|:---|
| **Putnam Dynamic Asset Allocation Growth Fund** |
| **The fund's portfolio** |
| **12/31/22 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| **COMMON STOCKS (76.1%)***<sup>(a)</sup>*** | **COMMON STOCKS (76.1%)***<sup>(a)</sup>*** | **COMMON STOCKS (76.1%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| **Banking (5.0%)** | **Banking (5.0%)** | **Banking (5.0%)** |
| Abu Dhabi Islamic Bank PJSC (United Arab Emirates) | 301479 | $747828 |
| Alinma Bank (Saudi Arabia) | 319028 | 2763268 |
| Amalgamated Financial Corp. | 9949 | 229225 |
| Ameris Bancorp | 2852 | 134443 |
| Associated Banc-Corp. | 4202 | 97024 |
| Atlantic Union Bankshares Corp. | 6439 | 226266 |
| BancFirst Corp. | 1038 | 91531 |
| Banco Bilbao Vizcaya Argentaria SA (Spain) | 483299 | 2914734 |
| Banco Latinoamericano de Comercio Exterior SA (Panama) | 3924 | 63569 |
| Bank Central Asia Tbk PT (Indonesia) | 4025400 | 2210835 |
| Bank Leumi Le-Israel BM (Israel) | 239547 | 1997418 |
| Bank Mandiri Persero Tbk PT (Indonesia) | 3431500 | 2187740 |
| Bank of America Corp. | 246077 | 8150070 |
| Bank of Ireland Group PLC (Ireland) | 347300 | 3308727 |
| Banner Corp. | 4269 | 269801 |
| Barclays PLC (United Kingdom) | 492110 | 943093 |
| BCB Bancorp, Inc. | 2903 | 52225 |
| BNP Paribas SA (France) | 26941 | 1535676 |
| Brookline Bancorp, Inc. | 7263 | 102771 |
| Cathay General Bancorp | 13833 | 564248 |
| Central Pacific Financial Corp. | 5164 | 104726 |
| Citigroup, Inc. | 289738 | 13104850 |
| CNB Financial Corp./PA | 2161 | 51410 |
| Comerica, Inc. | 10500 | 701925 |
| ConnectOne Bancorp, Inc. | 4235 | 102529 |
| Customers Bancorp, Inc.***<sup>(NON)</sup>*** | 11911 | 337558 |
| DBS Group Holdings, Ltd. (Singapore) | 262800 | 6655351 |
| DNB Bank ASA (Norway) | 122299 | 2427429 |
| Eagle Bancorp, Inc. | 3169 | 139658 |
| East West Bancorp, Inc. | 11000 | 724900 |
| Enterprise Financial Services Corp. | 1120 | 54835 |
| Farmers National Banc Corp. | 3271 | 46187 |
| Fifth Third Bancorp | 22100 | 725101 |
| First BanCorp/Puerto Rico (Puerto Rico) | 39371 | 500799 |
| First Bancshares, Inc. (The) | 3432 | 109858 |
| First Commonwealth Financial Corp. | 8229 | 114959 |
| First Financial Corp./IN | 2769 | 127596 |
| First Foundation, Inc. | 7012 | 100482 |
| Fulton Financial Corp. | 22362 | 376352 |
| Great Southern Bancorp, Inc. | 1728 | 102799 |
| Grupo Financiero Banorte SAB de CV Class O (Mexico) | 377067 | 2713667 |
| Hana Financial Group, Inc. (South Korea) | 79601 | 2647072 |
| Hancock Whitney Corp. | 13362 | 646587 |
| Hanmi Financial Corp. | 6869 | 170008 |
| Hilltop Holdings, Inc. | 4234 | 127062 |
| HomeStreet, Inc. | 4124 | 113740 |
| Hope Bancorp, Inc. | 28413 | 363971 |
| Horizon Bancorp, Inc./IN | 6766 | 102031 |
| ICICI Bank, Ltd. (India) | 496049 | 5341536 |
| Independent Bank Corp./MI | 3008 | 71951 |
| International Bancshares Corp. | 2956 | 135267 |
| Israel Discount Bank, Ltd. Class A (Israel) | 148068 | 778441 |
| JPMorgan Chase & Co. | 140618 | 18856874 |
| KeyCorp | 38529 | 671175 |
| Lloyds Banking Group PLC (United Kingdom) | 5098119 | 2798787 |
| Midland States Bancorp, Inc. | 3053 | 81271 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | 809600 | 5484109 |
| Mizrahi Tefahot Bank, Ltd. (Israel) | 24023 | 778419 |
| National Australia Bank, Ltd. (Australia) | 158894 | 3251981 |
| National Bank Holdings Corp. Class A | 3200 | 134624 |
| NBT Bancorp, Inc. | 5389 | 233990 |
| New York Community Bancorp, Inc. | 59206 | 509172 |
| Nordea Bank ABP (Finland) | 196313 | 2101059 |
| OceanFirst Financial Corp. | 4531 | 96284 |
| OFG Bancorp (Puerto Rico) | 7437 | 204964 |
| Pathward Financial, Inc. | 9014 | 388053 |
| Peapack-Gladstone Financial Corp. | 2275 | 84676 |
| Peoples Bancorp, Inc./OH | 3610 | 101983 |
| PNC Financial Services Group, Inc. (The) | 29795 | 4705822 |
| Preferred Bank/Los Angeles CA | 1887 | 140808 |
| QCR Holdings, Inc. | 1983 | 98436 |
| S&T Bancorp, Inc. | 3848 | 131525 |
| South Plains Financial, Inc. | 1861 | 51233 |
| SouthState Corp. | 3697 | 282303 |
| State Street Corp. | 24098 | 1869282 |
| UBS Group AG (Switzerland) | 81075 | 1508566 |
| UMB Financial Corp. | 7125 | 595080 |
| Umpqua Holdings Corp. | 41400 | 738990 |
| Washington Federal, Inc. | 7989 | 268031 |
| Wells Fargo & Co. | 133717 | 5521175 |
| WesBanco, Inc. | 7399 | 273615 |
| Wintrust Financial Corp. | 9143 | 772766 |
|  |  | **121146182** |
| **Basic materials (3.4%)** | **Basic materials (3.4%)** | **Basic materials (3.4%)** |
| AdvanSix, Inc. | 8320 | 316326 |
| Alcoa Corp. | 19834 | 901852 |
| American Vanguard Corp. | 5334 | 115801 |
| American Woodmark Corp.***<sup>(NON)</sup>*** | 1998 | 97622 |
| Anglo American PLC (London Exchange) (United Kingdom) | 119183 | 4663353 |
| Anglo American PLC (Johannesburg Exchange) (United Kingdom) | 24844 | 969912 |
| Arcosa, Inc. | 1622 | 88139 |
| Atkore, Inc.***<sup>(NON)</sup>*** | 6805 | 771823 |
| BHP Group, Ltd. (ASE Exchange) (Australia) | 138960 | 4317097 |
| BHP Group, Ltd. (London Exchange) (Australia) | 11278 | 350408 |
| BlueScope Steel, Ltd. (Australia) | 106393 | 1219851 |
| Boise Cascade Co. | 8249 | 566459 |
| Builders FirstSource, Inc.***<sup>(NON)</sup>*** | 12300 | 798024 |
| CF Industries Holdings, Inc. | 49624 | 4227965 |
| Clearwater Paper Corp.***<sup>(NON)</sup>*** | 4243 | 160428 |
| Codexis, Inc.***<sup>(NON)</sup>*** | 44239 | 206154 |
| Compagnie de Saint-Gobain (France) | 54866 | 2681083 |
| Constellium SE (France)***<sup>(NON)</sup>*** | 43948 | 519905 |
| Corteva, Inc. | 166884 | 9809442 |
| CRH PLC (Ireland) | 185465 | 7347629 |
| Dow, Inc. | 16188 | 815713 |
| Eastman Chemical Co. | 28499 | 2320959 |
| Eiffage SA (France) | 13000 | 1279144 |
| Freeport-McMoRan, Inc. (Indonesia) | 162066 | 6158508 |
| Glencore PLC (United Kingdom) | 462894 | 3091317 |
| Gujarat Fluorochemicals, Ltd. (India) | 9558 | 359398 |
| Hansol Chemical Co., Ltd. (South Korea) | 3946 | 578871 |
| Innospec, Inc. | 3577 | 367930 |
| Intrepid Potash, Inc.***<sup>(NON)</sup>*** | 3154 | 91056 |
| LightWave Logic, Inc.***<sup>(NON)</sup>*** | 30276 | 130490 |
| Linde PLC | 8207 | 2683433 |
| Minerals Technologies, Inc. | 3912 | 237537 |
| Misumi Group, Inc. (Japan) | 9100 | 199626 |
| Mueller Industries, Inc. | 8896 | 524864 |
| Nitto Denko Corp. (Japan) | 22100 | 1288212 |
| NV5 Global, Inc.***<sup>(NON)</sup>*** | 1049 | 138804 |
| OCI NV (Netherlands) | 25245 | 903125 |
| Olin Corp. | 15184 | 803841 |
| Orion Engineered Carbons SA (Luxembourg) | 6994 | 124563 |
| PotlatchDeltic Corp.***<sup>(R)</sup>*** | 12092 | 531927 |
| PPG Industries, Inc. | 27361 | 3440372 |
| Reliance Steel & Aluminum Co. | 3600 | 728784 |
| Rio Tinto PLC (United Kingdom) | 29690 | 2081118 |
| Sealed Air Corp. | 15392 | 767753 |
| Sensient Technologies Corp. | 1442 | 105151 |
| Sherwin-Williams Co. (The) | 18467 | 4382773 |
| Shin-Etsu Chemical Co., Ltd. (Japan) | 24000 | 2967083 |
| Simpson Manufacturing Co., Inc. | 2192 | 194343 |
| South32, Ltd. (Australia) | 213514 | 581484 |
| Standex International Corp. | 1751 | 179320 |
| Stepan Co. | 1031 | 109760 |
| Sterling Construction Co., Inc.***<sup>(NON)</sup>*** | 5753 | 188698 |
| TopBuild Corp.***<sup>(NON)</sup>*** | 5400 | 845046 |
| Tronox Holdings PLC Class A | 37731 | 517292 |
| Tutor Perini Corp.***<sup>(NON)</sup>*** | 8091 | 61087 |
| UFP Industries, Inc. | 8676 | 687573 |
| Vale Indonesia Tbk PT (Indonesia)***<sup>(NON)</sup>*** | 1034500 | 471813 |
| WestRock Co. | 21022 | 739134 |
| Weyerhaeuser Co.***<sup>(R)</sup>*** | 56146 | 1740526 |
|  |  | **83547701** |
| **Biotechnology (1.1%)** | **Biotechnology (1.1%)** | **Biotechnology (1.1%)** |
| 2seventy bio, Inc.***<sup>(NON)</sup>*** | 6006 | 56276 |
| ACADIA Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 7470 | 118922 |
| Agenus, Inc.***<sup>(NON)</sup>*** | 94389 | 226534 |
| Amgen, Inc. | 2825 | 741958 |
| Arcellx, Inc.***<sup>(NON)</sup>*** | 5317 | 164721 |
| BioCryst Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 11417 | 131067 |
| Biohaven, Ltd.***<sup>(NON)</sup>*** | 6689 | 92843 |
| BridgeBio Pharma, Inc.***<sup>(NON)</sup>*** | 9601 | 73160 |
| CinCor Pharma, Inc.***<sup>(NON)</sup>*** | 9950 | 122286 |
| Crinetics Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 6446 | 117962 |
| Dyne Therapeutics, Inc.***<sup>(NON)</sup>*** | 10639 | 123306 |
| Exelixis, Inc.***<sup>(NON)</sup>*** | 46100 | 739444 |
| FibroGen, Inc.***<sup>(NON)</sup>*** | 32011 | 512816 |
| Geron Corp.***<sup>(NON)</sup>*** | 66950 | 162019 |
| IGM Biosciences, Inc.***<sup>(NON)</sup>*** | 4264 | 72531 |
| Illumina, Inc.***<sup>(NON)</sup>*** | 3409 | 689300 |
| ImmunityBio, Inc.***<sup>(NON)</sup>*** | 47959 | 243152 |
| ImmunoGen, Inc.***<sup>(NON)</sup>*** | 57240 | 283910 |
| Incyte Corp.***<sup>(NON)</sup>*** | 9491 | 762317 |
| Intercept Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 9575 | 118443 |
| IVERIC bio, Inc.***<sup>(NON)</sup>*** | 6403 | 137088 |
| Karuna Therapeutics, Inc.***<sup>(NON)</sup>*** | 3543 | 696200 |
| Karyopharm Therapeutics, Inc.***<sup>(NON)</sup>*** | 66661 | 226647 |
| Keros Therapeutics, Inc.***<sup>(NON)</sup>*** | 2334 | 112079 |
| Kiniksa Pharmaceuticals, Ltd. Class A***<sup>(NON)</sup>*** | 6614 | 99078 |
| NGM Biopharmaceuticals, Inc.***<sup>(NON)</sup>*** | 8364 | 41987 |
| Prothena Corp. PLC (Ireland)***<sup>(NON)</sup>*** | 4133 | 249013 |
| PTC Therapeutics, Inc.***<sup>(NON)</sup>*** | 16729 | 638546 |
| RAPT Therapeutics, Inc.***<sup>(NON)</sup>*** | 6163 | 122027 |
| Regeneron Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 10741 | 7749524 |
| Swedish Orphan Biovitrum AB (Sweden)***<sup>(NON)</sup>*** | 9159 | 189327 |
| Theravance Biopharma, Inc. (Cayman Islands)***<sup>(NON)</sup>*** | 28521 | 320006 |
| TransMedics Group, Inc.***<sup>(NON)</sup>*** | 10181 | 628371 |
| Vanda Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 10623 | 78504 |
| Vertex Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 31600 | 9125448 |
| Vir Biotechnology, Inc.***<sup>(NON)</sup>*** | 21602 | 546747 |
| Xencor, Inc.***<sup>(NON)</sup>*** | 6571 | 171109 |
|  |  | **26684668** |
| **Capital goods (4.1%)** | **Capital goods (4.1%)** | **Capital goods (4.1%)** |
| Aerojet Rocketdyne Holdings, Inc.***<sup>(NON)</sup>*** | 13728 | 767807 |
| Albany International Corp. Class A | 1511 | 148969 |
| Allison Transmission Holdings, Inc. | 27500 | 1144000 |
| American Axle & Manufacturing Holdings, Inc.***<sup>(NON)</sup>*** | 52865 | 413404 |
| ASSA ABLOY AB Class B (Sweden) | 27655 | 592862 |
| BAE Systems PLC (United Kingdom) | 268769 | 2781386 |
| Ball Corp. | 40250 | 2058385 |
| Barnes Group, Inc. | 3084 | 125981 |
| Belden, Inc. | 1857 | 133518 |
| Carrier Global Corp. | 20755 | 856144 |
| Casella Waste Systems, Inc. Class A***<sup>(NON)</sup>*** | 1509 | 119679 |
| Caterpillar, Inc. | 3900 | 934284 |
| CTS Corp. | 3520 | 138758 |
| Cummins, Inc. | 2963 | 717905 |
| Dassault Aviation SA (France) | 2957 | 500753 |
| Deere & Co. | 8553 | 3667184 |
| Eaton Corp. PLC | 4485 | 703921 |
| Emerson Electric Co. | 8600 | 826116 |
| Encore Wire Corp. | 2154 | 296304 |
| ESCO Technologies, Inc. | 1839 | 160986 |
| Fortive Corp. | 73641 | 4731434 |
| Franklin Electric Co., Inc. | 1392 | 111012 |
| GEA Group AG (Germany) | 22319 | 912650 |
| General Dynamics Corp. | 36900 | 9155259 |
| Gentherm, Inc.***<sup>(NON)</sup>*** | 1669 | 108969 |
| GrafTech International, Ltd. | 82394 | 392195 |
| HEICO Corp. | 5001 | 768354 |
| Heritage-Crystal Clean, Inc.***<sup>(NON)</sup>*** | 4202 | 136481 |
| Hillenbrand, Inc. | 12710 | 542336 |
| Honeywell International, Inc. | 23598 | 5057052 |
| Ingersoll Rand, Inc. | 66725 | 3486381 |
| ITT, Inc. | 9179 | 744417 |
| Johnson Controls International PLC | 119130 | 7624320 |
| Kaman Corp. | 5237 | 116785 |
| KEI Industries, Ltd. (India) | 43166 | 764236 |
| Legrand SA (France) | 29824 | 2388635 |
| LKQ Corp. | 13700 | 731717 |
| Lockheed Martin Corp. | 18400 | 8951416 |
| Mitsubishi Heavy Industries, Ltd. (Japan) | 51700 | 2061855 |
| Moog, Inc. Class A | 4640 | 407206 |
| MRC Global, Inc.***<sup>(NON)</sup>*** | 17557 | 203310 |
| MYR Group, Inc.***<sup>(NON)</sup>*** | 1306 | 120243 |
| National Presto Industries, Inc. | 1328 | 90915 |
| Nordson Corp. | 3300 | 784476 |
| Northrop Grumman Corp. | 12887 | 7031276 |
| O-I Glass, Inc.***<sup>(NON)</sup>*** | 31652 | 524474 |
| Otis Worldwide Corp. | 10000 | 783100 |
| Parker Hannifin Corp. | 2437 | 709167 |
| Prysmian SpA (Italy) | 26020 | 965388 |
| Raytheon Technologies Corp. | 65619 | 6622270 |
| Republic Services, Inc. | 13500 | 1741365 |
| Rheinmetall AG (Germany) | 12330 | 2455607 |
| Ryerson Holding Corp. | 10041 | 303841 |
| Shyft Group, Inc. (The) | 5383 | 133821 |
| Spirax-Sarco Engineering PLC (United Kingdom) | 9243 | 1186155 |
| Sturm Ruger & Co., Inc. | 1916 | 96988 |
| Terex Corp. | 14406 | 615424 |
| Tetra Tech, Inc. | 5457 | 792302 |
| Textron, Inc. | 19500 | 1380600 |
| Titan International, Inc.***<sup>(NON)</sup>*** | 11545 | 176869 |
| Titan Machinery, Inc.***<sup>(NON)</sup>*** | 5137 | 204093 |
| TransDigm Group, Inc. | 3887 | 2447450 |
| Waste Connections, Inc. | 17966 | 2381573 |
| Waste Management, Inc. | 4500 | 705960 |
| Watts Water Technologies, Inc. Class A | 824 | 120494 |
| Zurn Water Solutions Corp. | 20716 | 438143 |
|  |  | **99296360** |
| **Communication services (2.1%)** | **Communication services (2.1%)** | **Communication services (2.1%)** |
| Altice USA, Inc. Class A***<sup>(NON)</sup>*** | 162700 | 748420 |
| American Tower Corp.***<sup>(R)</sup>*** | 81541 | 17275277 |
| AT&T, Inc. | 296277 | 5454460 |
| Cambium Networks Corp.***<sup>(NON)</sup>*** | 5233 | 113399 |
| Charter Communications, Inc. Class A***<sup>(NON)</sup>*** | 8975 | 3043423 |
| Comcast Corp. Class A | 110546 | 3865794 |
| Crown Castle, Inc.***<sup>(R)</sup>*** | 5800 | 786712 |
| EchoStar Corp. Class A***<sup>(NON)</sup>*** | 14130 | 235688 |
| KDDI Corp. (Japan) | 89500 | 2715552 |
| Liberty Latin America, Ltd. Class C (Chile)***<sup>(NON)</sup>*** | 54184 | 411798 |
| Preformed Line Products Co. | 571 | 47559 |
| Samsung SDI Co., Ltd. (South Korea) | 3592 | 1678823 |
| SBA Communications Corp.***<sup>(R)</sup>*** | 2600 | 728806 |
| T-Mobile US, Inc.***<sup>(NON)</sup>*** | 39938 | 5591320 |
| Telstra Group, Ltd. (Australia) | 867052 | 2355427 |
| Verizon Communications, Inc. | 167215 | 6588271 |
|  |  | **51640729** |
| **Communications equipment (0.1%)** | **Communications equipment (0.1%)** | **Communications equipment (0.1%)** |
| arista Networks, Inc.***<sup>(NON)</sup>*** | 5900 | 715965 |
| Telefonaktiebolaget LM Ericsson Class B (Sweden) | 398777 | 2327347 |
| Viavi Solutions, Inc.***<sup>(NON)</sup>*** | 10057 | 105699 |
|  |  | **3149011** |
| **Computers (4.7%)** | **Computers (4.7%)** | **Computers (4.7%)** |
| A10 Networks, Inc. | 30572 | 508412 |
| Adeia, Inc. | 29123 | 276086 |
| Agilysys, Inc.***<sup>(NON)</sup>*** | 3180 | 251665 |
| Apple, Inc. | 573651 | 74534474 |
| Avid Technology, Inc.***<sup>(NON)</sup>*** | 17348 | 461283 |
| Calix, Inc.***<sup>(NON)</sup>*** | 5871 | 401753 |
| Cisco Systems, Inc./Delaware | 166300 | 7922532 |
| CommVault Systems, Inc.***<sup>(NON)</sup>*** | 9433 | 592770 |
| Dropbox, Inc. Class A***<sup>(NON)</sup>*** | 34567 | 773609 |
| Enfusion, Inc. Class A***<sup>(NON)</sup>*** | 10994 | 106312 |
| Extreme Networks, Inc.***<sup>(NON)</sup>*** | 34160 | 625470 |
| Fortinet, Inc.***<sup>(NON)</sup>*** | 14620 | 714772 |
| Fujitsu, Ltd. (Japan) | 19900 | 2670973 |
| MongoDB, Inc.***<sup>(NON)</sup>*** | 5028 | 989712 |
| MSCI, Inc. | 7293 | 3392485 |
| NetApp, Inc. | 11300 | 678678 |
| NetScout Systems, Inc.***<sup>(NON)</sup>*** | 4200 | 136542 |
| OneSpan, Inc.***<sup>(NON)</sup>*** | 7672 | 85850 |
| Pure Storage, Inc. Class A***<sup>(NON)</sup>*** | 118786 | 3178713 |
| Qualys, Inc.***<sup>(NON)</sup>*** | 4900 | 549927 |
| RingCentral, Inc. Class A***<sup>(NON)</sup>*** | 22100 | 782340 |
| ServiceNow, Inc.***<sup>(NON)</sup>*** | 2100 | 815367 |
| Smartsheet, Inc. Class A***<sup>(NON)</sup>*** | 27349 | 1076457 |
| Snowflake, Inc. Class A***<sup>(NON)</sup>*** | 6051 | 868561 |
| Sprout Social, Inc. Class A***<sup>(NON)</sup>*** | 9355 | 528183 |
| SS&C Technologies Holdings, Inc. | 15057 | 783867 |
| Sumo Logic, Inc.***<sup>(NON)</sup>*** | 34543 | 279798 |
| Super Micro Computer, Inc.***<sup>(NON)</sup>*** | 8398 | 689476 |
| Synopsys, Inc.***<sup>(NON)</sup>*** | 31900 | 10185351 |
| UserTesting, Inc.***<sup>(NON)</sup>*** | 41691 | 313099 |
| Vimeo, Inc.***<sup>(NON)</sup>*** | 23681 | 81226 |
| Zscaler, Inc.***<sup>(NON)</sup>*** | 5400 | 604260 |
|  |  | **115860003** |
| **Conglomerates (0.7%)** | **Conglomerates (0.7%)** | **Conglomerates (0.7%)** |
| 3M Co. | 6112 | 732951 |
| AMETEK, Inc. | 36150 | 5050878 |
| General Electric Co. | 10100 | 846279 |
| Marubeni Corp. (Japan) | 223800 | 2583488 |
| Mitsubishi Corp. (Japan) | 134500 | 4389390 |
| Mitsui & Co., Ltd. (Japan) | 90900 | 2668681 |
| SPX Technologies, Inc.***<sup>(NON)</sup>*** | 4537 | 297854 |
|  |  | **16569521** |
| **Consumer cyclicals (10.1%)** | **Consumer cyclicals (10.1%)** | **Consumer cyclicals (10.1%)** |
| ADT, Inc. | 41800 | 379126 |
| Amazon.com, Inc.***<sup>(NON)</sup>*** | 321470 | 27003480 |
| Aristocrat Leisure, Ltd. (Australia) | 103575 | 2152241 |
| Arrowhead Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 14540 | 589742 |
| Automatic Data Processing, Inc. | 3500 | 836010 |
| Autonation, Inc.***<sup>(NON)</sup>*** | 6500 | 697450 |
| AutoZone, Inc.***<sup>(NON)</sup>*** | 2600 | 6412068 |
| Bandai Namco Holdings, Inc. (Japan) | 38000 | 2407284 |
| Beazer Homes USA, Inc.***<sup>(NON)</sup>*** | 11499 | 146727 |
| BJ's Wholesale Club Holdings, Inc.***<sup>(NON)</sup>*** | 54548 | 3608896 |
| Bluegreen Vacations Holding Corp. | 2714 | 67741 |
| BlueLinx Holdings, Inc.***<sup>(NON)</sup>*** | 2985 | 212263 |
| Booking Holdings, Inc.***<sup>(NON)</sup>*** | 7198 | 14505985 |
| Booz Allen Hamilton Holding Corp. | 19500 | 2038140 |
| Boyd Gaming Corp. | 14500 | 790685 |
| Buckle, Inc. (The) | 3332 | 151106 |
| BYD Co,. Ltd. Class H (China) | 71000 | 1751930 |
| Caleres, Inc. | 16671 | 371430 |
| Capri Holdings, Ltd.***<sup>(NON)</sup>*** | 14500 | 831140 |
| Casey'S General Stores, Inc. | 1500 | 336525 |
| Centre Testing International Group Co., Ltd. Class A (China) | 309569 | 993050 |
| Cintas Corp. | 5176 | 2337585 |
| Clear Channel Outdoor Holdings, Inc.***<sup>(NON)</sup>*** | 118634 | 124566 |
| CoStar Group, Inc.***<sup>(NON)</sup>*** | 37130 | 2869406 |
| CRA International, Inc. | 1173 | 143610 |
| Crocs, Inc.***<sup>(NON)</sup>*** | 1892 | 205150 |
| Dillard's, Inc. Class A | 1588 | 513242 |
| Dolby Laboratories, Inc. Class A | 10900 | 768886 |
| Dollar General Corp. | 3075 | 757219 |
| Dr. Ing. h.c. F. Porsche AG (Preference) (Germany)***<sup>(NON)</sup>*** | 1039 | 105381 |
| Expedia Group, Inc.***<sup>(NON)</sup>*** | 47464 | 4157846 |
| Experian PLC (United Kingdom) | 106171 | 3610639 |
| FactSet Research Systems, Inc. | 1989 | 798007 |
| Flutter Entertainment PLC (Ireland)***<sup>(NON)</sup>*** | 13704 | 1870465 |
| Foot Locker, Inc. | 3274 | 123724 |
| Ford Motor Co. | 56614 | 658421 |
| Forrester Research, Inc.***<sup>(NON)</sup>*** | 1432 | 51208 |
| Franklin Covey Co.***<sup>(NON)</sup>*** | 2217 | 103689 |
| Gartner, Inc.***<sup>(NON)</sup>*** | 18785 | 6314390 |
| General Motors Co. | 230256 | 7745812 |
| Genuine Parts Co. | 12100 | 2099471 |
| GMS, Inc.***<sup>(NON)</sup>*** | 7648 | 380870 |
| Golden Entertainment, Inc.***<sup>(NON)</sup>*** | 5165 | 193171 |
| Goodyear Tire & Rubber Co. (The)***<sup>(NON)</sup>*** | 9411 | 95522 |
| Group 1 Automotive, Inc. | 700 | 126259 |
| Hackett Group, Inc. (The) | 6463 | 131651 |
| Hermes International (France) | 1916 | 2963668 |
| Hilton Worldwide Holdings, Inc. | 23618 | 2984370 |
| Home Depot, Inc. (The) | 8720 | 2754299 |
| iHeartMedia, Inc. Class A***<sup>(NON)</sup>*** | 13480 | 82632 |
| Indian Hotels Co., Ltd. (India) | 244837 | 943035 |
| Industria de Diseno Textil SA (Spain) | 99751 | 2653443 |
| InterContinental Hotels Group PLC (United Kingdom) | 34339 | 1969431 |
| International Game Technology PLC | 25628 | 581243 |
| Jardine Matheson Holdings, Ltd. (Hong Kong) | 12000 | 610800 |
| JD Sports Fashion PLC (United Kingdom) | 2195733 | 3348691 |
| Kontoor Brands, Inc. | 2929 | 117131 |
| La Francaise des Jeux SAEM (France) | 9774 | 393184 |
| Laureate Education, Inc. | 42522 | 409062 |
| Lennar Corp. Class A | 8900 | 805450 |
| Li Ning Co., Ltd. (China) | 209500 | 1818425 |
| Light & Wonder, Inc.***<sup>(NON)</sup>*** | 9193 | 538710 |
| Live Nation Entertainment, Inc.***<sup>(NON)</sup>*** | 36214 | 2525564 |
| LiveRamp Holdings, Inc.***<sup>(NON)</sup>*** | 15435 | 361796 |
| Lowe's Cos., Inc. | 3996 | 796163 |
| Lululemon Athletica, Inc. (Canada)***<sup>(NON)</sup>*** | 13205 | 4230618 |
| LVMH Moet Hennessy Louis Vuitton SA (France) | 11660 | 8486132 |
| M/I Homes, Inc.***<sup>(NON)</sup>*** | 1031 | 47612 |
| Macy's, Inc. | 38400 | 792960 |
| MarineMax, Inc.***<sup>(NON)</sup>*** | 3313 | 103432 |
| Marriott International, Inc./MD Class A | 5300 | 789117 |
| Masonite International Corp.***<sup>(NON)</sup>*** | 1809 | 145823 |
| Mastercard, Inc. Class A | 24868 | 8647349 |
| MasterCraft Boat Holdings, Inc.***<sup>(NON)</sup>*** | 4575 | 118355 |
| Medifast, Inc. | 910 | 104969 |
| Modine Manufacturing Co.***<sup>(NON)</sup>*** | 18514 | 367688 |
| Moncler SpA (Italy) | 20855 | 1105049 |
| Movado Group, Inc. | 3085 | 99491 |
| Murphy USA, Inc. | 459 | 128309 |
| NeoGames SA (Israel)***<sup>(NON)</sup>*** | 4313 | 52575 |
| Network International Holdings PLC (United Arab Emirates)***<sup>(NON)</sup>*** | 436460 | 1572422 |
| New York Times Co. (The) Class A | 20688 | 671532 |
| Nexstar Media Group, Inc. Class A | 4039 | 706946 |
| Nike, Inc. Class B | 44028 | 5151716 |
| Nintendo Co., Ltd. (Japan) | 71100 | 2996992 |
| NVR, Inc.***<sup>(NON)</sup>*** | 185 | 853327 |
| O'Reilly Automotive, Inc.***<sup>(NON)</sup>*** | 9146 | 7719499 |
| Owens Corning | 8700 | 742110 |
| Oxford Industries, Inc. | 1398 | 130266 |
| Pan Pacific International Holdings Corp. (Japan) | 83000 | 1551349 |
| Pandora A/S (Denmark) | 16338 | 1147950 |
| PayPal Holdings, Inc.***<sup>(NON)</sup>*** | 9600 | 683712 |
| Penske Automotive Group, Inc. | 6000 | 689580 |
| PGT Innovations, Inc.***<sup>(NON)</sup>*** | 5184 | 93105 |
| Pitney Bowes, Inc. | 66456 | 252533 |
| Porsche Automobil Holding SE (Preference) (Germany) | 8063 | 442254 |
| PROG Holdings, Inc.***<sup>(NON)</sup>*** | 6203 | 104769 |
| Publicis Groupe SA (France) | 15088 | 959689 |
| PulteGroup, Inc. | 87789 | 3997033 |
| RE/MAX Holdings, Inc. Class A | 5385 | 100376 |
| Red Rock Resorts, Inc. Class A | 13874 | 555099 |
| Scholastic Corp. | 2926 | 115460 |
| Shenzhou International Group Holdings, Ltd. (China) | 139000 | 1563549 |
| Signet Jewelers, Ltd. | 9635 | 655180 |
| Skyline Champion Corp.***<sup>(NON)</sup>*** | 10405 | 535962 |
| Sony Group Corp. (Japan) | 31500 | 2408584 |
| SP Plus Corp.***<sup>(NON)</sup>*** | 3196 | 110965 |
| Stellantis NV (Italy) | 184575 | 2621863 |
| Steven Madden, Ltd. | 3345 | 106906 |
| StoneCo., Ltd. Class A (Brazil)***<sup>(NON)</sup>*** | 10969 | 103547 |
| Tapestry, Inc. | 20500 | 780640 |
| Target Corp. | 19162 | 2855904 |
| TechnoPro Holdings, Inc. (Japan) | 46200 | 1240895 |
| Tesla, Inc.***<sup>(NON)</sup>*** | 68953 | 8493631 |
| Thomson Reuters Corp. (Canada) | 22020 | 2511971 |
| Toast, Inc. Class A***<sup>(NON)</sup>*** | 44000 | 793320 |
| Toll Brothers, Inc. | 24078 | 1201974 |
| Toyota Motor Corp. (Japan) | 8100 | 111866 |
| Trade Desk, Inc. (The) Class A***<sup>(NON)</sup>*** | 15500 | 694865 |
| TRI Pointe Homes, Inc.***<sup>(NON)</sup>*** | 26592 | 494345 |
| United Rentals, Inc.***<sup>(NON)</sup>*** | 10058 | 3574814 |
| Universal Music Group NV (Netherlands) | 298612 | 7195301 |
| Vista Outdoor, Inc.***<sup>(NON)</sup>*** | 13995 | 341058 |
| Visteon Corp.***<sup>(NON)</sup>*** | 4738 | 619873 |
| Volkswagen AG (Preference) (Germany) | 19223 | 2395604 |
| WalMart de Mexico (Walmex) SAB de CV (Mexico) | 654223 | 2312518 |
| Walmart, Inc. | 84875 | 12034426 |
| Walt Disney Co. (The)***<sup>(NON)</sup>*** | 8135 | 706769 |
| Warner Bros Discovery, Inc.***<sup>(NON)</sup>*** | 71357 | 676464 |
| Wolters Kluwer NV (Netherlands) | 29731 | 3111264 |
| Worldline SA/France (France)***<sup>(NON)</sup>*** | 60135 | 2351490 |
| Wyndham Hotels & Resorts, Inc. | 10700 | 763017 |
|  |  | **249052069** |
| **Consumer finance (0.9%)** | **Consumer finance (0.9%)** | **Consumer finance (0.9%)** |
| American Express Co. | 5054 | 746729 |
| Capital One Financial Corp. | 55799 | 5187075 |
| Discover Financial Services | 49863 | 4878097 |
| Encore Capital Group, Inc.***<sup>(NON)</sup>*** | 3320 | 159161 |
| Enova International, Inc.***<sup>(NON)</sup>*** | 3364 | 129077 |
| International Money Express, Inc.***<sup>(NON)</sup>*** | 11862 | 289077 |
| Mr. Cooper Group, Inc.***<sup>(NON)</sup>*** | 13849 | 555760 |
| Navient Corp. | 36997 | 608601 |
| PennyMac Financial Services, Inc. | 9661 | 547392 |
| SLM Corp. | 49813 | 826896 |
| Synchrony Financial | 22322 | 733501 |
| Visa, Inc. Class A | 37175 | 7723478 |
|  |  | **22384844** |
| **Consumer staples (6.9%)** | **Consumer staples (6.9%)** | **Consumer staples (6.9%)** |
| ACCO Brands Corp. | 19712 | 110190 |
| Airbnb, Inc. Class A***<sup>(NON)</sup>*** | 33699 | 2881265 |
| Albertsons Cos., Inc. Class A | 38100 | 790194 |
| Asahi Group Holdings, Ltd. (Japan) | 87000 | 2730517 |
| Bloomin' Brands, Inc. | 6596 | 132712 |
| Brink's Co. (The) | 7649 | 410828 |
| British American Tobacco PLC (United Kingdom) | 7204 | 285795 |
| Cargurus, Inc.***<sup>(NON)</sup>*** | 21407 | 299912 |
| Carlsberg A/S Class B (Denmark) | 2356 | 313102 |
| Cars.com, Inc.***<sup>(NON)</sup>*** | 13419 | 184780 |
| China Mengniu Dairy Co., Ltd. (China) | 350000 | 1587352 |
| Chipotle Mexican Grill, Inc.***<sup>(NON)</sup>*** | 2095 | 2906792 |
| CK Hutchison Holdings, Ltd. (Hong Kong) | 819000 | 4915815 |
| Coca-Cola Co. (The) | 264437 | 16820838 |
| Coca-Cola Consolidated, Inc. | 1349 | 691174 |
| Coca-Cola Europacific Partners PLC (Spain) | 71140 | 3935465 |
| Coca-Cola HBC AG (Italy) | 51719 | 1233632 |
| Coles Group, Ltd. (Australia) | 134101 | 1526581 |
| Colgate-Palmolive Co. | 9958 | 784591 |
| CoreCivic, Inc.***<sup>(NON)</sup>*** | 25836 | 298664 |
| Costco Wholesale Corp. | 15700 | 7167051 |
| Dave & Buster's Entertainment, Inc.***<sup>(NON)</sup>*** | 5240 | 185706 |
| Diageo PLC (United Kingdom) | 122019 | 5384293 |
| Dino Polska SA (Poland)***<sup>(NON)</sup>*** | 11693 | 1001605 |
| DoorDash, Inc. Class A***<sup>(NON)</sup>*** | 15600 | 761592 |
| Estee Lauder Cos., Inc. (The) Class A | 8952 | 2221081 |
| First Watch Restaurant Group, Inc.***<sup>(NON)</sup>*** | 13170 | 178190 |
| G-III Apparel Group, Ltd.***<sup>(NON)</sup>*** | 5619 | 77036 |
| Heidrick & Struggles International, Inc. | 6780 | 189637 |
| Herc Holdings, Inc. | 965 | 126965 |
| Hershey Co. (The) | 22138 | 5126497 |
| Hostess Brands, Inc.***<sup>(NON)</sup>*** | 25078 | 562750 |
| Hudson Technologies, Inc.***<sup>(NON)</sup>*** | 9924 | 100431 |
| Imperial Brands PLC (United Kingdom) | 102162 | 2557866 |
| Ingles Markets, Inc. Class A | 2690 | 259477 |
| ITOCHU Corp. (Japan) | 122500 | 3869895 |
| Itron, Inc.***<sup>(NON)</sup>*** | 10902 | 552186 |
| JD.com, Inc. Class A (China) | 68070 | 1920327 |
| JD.com, Inc. ADR (China) | 13125 | 736706 |
| Jeronimo Martins SGPS SA (Portugal) | 78918 | 1704761 |
| John B. Sanfilippo & Son, Inc. | 1468 | 119378 |
| Kesko Oyj Class B (Finland) | 28395 | 626753 |
| Keurig Dr Pepper, Inc. | 114624 | 4087492 |
| Kforce, Inc. | 3664 | 200897 |
| Koninklijke Ahold Delhaize NV (Netherlands) | 91794 | 2637321 |
| Korn Ferry | 10232 | 517944 |
| Kraft Heinz Co. (The) | 19400 | 789774 |
| L'Oreal SA (France) | 9849 | 3517097 |
| ManpowerGroup, Inc. | 8700 | 723927 |
| McDonald's Corp. | 2515 | 662778 |
| McDonald's Holdings Co. (Japan), Ltd. (Japan) | 26200 | 997173 |
| MercadoLibre, Inc. (Brazil)***<sup>(NON)</sup>*** | 1264 | 1069647 |
| Mondelez International, Inc. Class A | 11300 | 753145 |
| Nestle SA (Switzerland) | 59271 | 6867782 |
| Netflix, Inc.***<sup>(NON)</sup>*** | 9058 | 2671023 |
| PepsiCo, Inc. | 32600 | 5889516 |
| Perdoceo Education Corp.***<sup>(NON)</sup>*** | 25409 | 353185 |
| Philip Morris International, Inc. | 117616 | 11903915 |
| Pinduoduo, Inc. ADR (China)***<sup>(NON)</sup>*** | 15101 | 1231487 |
| Primo Water Corp. | 26525 | 412199 |
| Procter & Gamble Co. (The) | 126746 | 19209624 |
| Recruit Holdings Co., Ltd. (Japan) | 95100 | 3026765 |
| Resideo Technologies, Inc.***<sup>(NON)</sup>*** | 6770 | 111367 |
| Resources Connection, Inc. | 6111 | 112320 |
| Sally Beauty Holdings, Inc.***<sup>(NON)</sup>*** | 34353 | 430100 |
| ScanSource, Inc.***<sup>(NON)</sup>*** | 1954 | 57096 |
| Shoprite Holdings, Ltd. (South Africa) | 89944 | 1196342 |
| Simply Good Foods Co. (The)***<sup>(NON)</sup>*** | 10669 | 405742 |
| Sodexo SA (France) | 8511 | 815216 |
| Sumber Alfaria Trijaya Tbk PT (Indonesia) | 4601100 | 783229 |
| Sysco Corp. | 9145 | 699135 |
| TriNet Group, Inc.***<sup>(NON)</sup>*** | 7453 | 505313 |
| Tyson Foods, Inc. Class A | 11085 | 690041 |
| Uber Technologies, Inc.***<sup>(NON)</sup>*** | 301951 | 7467248 |
| Udemy, Inc.***<sup>(NON)</sup>*** | 9955 | 105025 |
| Ulta Beauty, Inc.***<sup>(NON)</sup>*** | 1700 | 797419 |
| Unilever PLC (United Kingdom) | 63206 | 3195587 |
| United Natural Foods, Inc.***<sup>(NON)</sup>*** | 12363 | 478572 |
| US Foods Holding Corp.***<sup>(NON)</sup>*** | 10700 | 364014 |
| USANA Health Sciences, Inc.***<sup>(NON)</sup>*** | 2030 | 107996 |
| Vacasa, Inc. Class A***<sup>(NON)</sup>*** | 67955 | 85623 |
| Vector Group, Ltd. | 27947 | 331451 |
| Veritiv Corp. | 3693 | 449475 |
| Wendy's Co. (The) | 17100 | 386973 |
| WH Group, Ltd. (Hong Kong) | 1295500 | 753521 |
| Yakult Honsha Co., Ltd. (Japan) | 31100 | 2028467 |
|  |  | **168150345** |
| **Electronics (3.1%)** | **Electronics (3.1%)** | **Electronics (3.1%)** |
| Advanced Micro Devices, Inc.***<sup>(NON)</sup>*** | 26526 | 1718089 |
| Agilent Technologies, Inc. | 6289 | 941149 |
| Alpha & Omega Semiconductor, Ltd.***<sup>(NON)</sup>*** | 7838 | 223932 |
| Ambarella, Inc.***<sup>(NON)</sup>*** | 1784 | 146698 |
| ASPEED Technology, Inc. (Taiwan) | 7700 | 422134 |
| Broadcom, Inc. | 11430 | 6390856 |
| CEVA, Inc.***<sup>(NON)</sup>*** | 4660 | 119203 |
| Dixon Technologies (India), Ltd. (India) | 10713 | 505620 |
| Enovix Corp.***<sup>(NON)</sup>*** | 7753 | 96447 |
| Hamamatsu Photonics KK (Japan) | 14500 | 698263 |
| Hirose Electric Co., Ltd. (Japan) | 1400 | 177080 |
| Hoya Corp. (Japan) | 40700 | 3940060 |
| Keysight Technologies, Inc.***<sup>(NON)</sup>*** | 4500 | 769815 |
| Lattice Semiconductor Corp.***<sup>(NON)</sup>*** | 32071 | 2080766 |
| LEENO Industrial, Inc. (South Korea) | 6965 | 856510 |
| Minebea Mitsumi, Inc. (Japan) | 135000 | 2027469 |
| Murata Manufacturing Co., Ltd. (Japan) | 27900 | 1400527 |
| NVIDIA Corp. | 117096 | 17112410 |
| NXP Semiconductors NV | 10063 | 1590256 |
| Qualcomm, Inc. | 115750 | 12725555 |
| Rambus, Inc.***<sup>(NON)</sup>*** | 18445 | 660700 |
| Samsung Electronics Co., Ltd. (South Korea) | 100658 | 4402046 |
| Shenzhen Inovance Technology Co., Ltd. Class A (China) | 79650 | 796305 |
| Sinbon Electronics Co., Ltd. (Taiwan) | 137000 | 1225781 |
| STMicroelectronics NV (France) | 71106 | 2511427 |
| Synaptics, Inc.***<sup>(NON)</sup>*** | 2565 | 244085 |
| TDK Corp. (Japan) | 66500 | 2196567 |
| Techtronic Industries Co., Ltd. (TTI) (Hong Kong) | 46000 | 513308 |
| Texas Instruments, Inc. | 11431 | 1888630 |
| Thales SA (France) | 37002 | 4725326 |
| Trimble Inc.***<sup>(NON)</sup>*** | 6500 | 328640 |
| TTM Technologies, Inc.***<sup>(NON)</sup>*** | 3144 | 47412 |
| Vishay Intertechnology, Inc. | 6125 | 132116 |
| Vontier Corp. | 66820 | 1291631 |
|  |  | **74906813** |
| **Energy (3.8%)** | **Energy (3.8%)** | **Energy (3.8%)** |
| Alpha Metallurgical Resources, Inc. | 3754 | 549548 |
| APA Corp. | 17007 | 793887 |
| Arch Resources, Inc. | 2472 | 352977 |
| BP PLC (United Kingdom) | 701988 | 4030327 |
| California Resources Corp. | 12668 | 551185 |
| Cheniere Energy, Inc. | 34000 | 5098640 |
| Chevron Corp. | 5349 | 960092 |
| Chord Energy Corp. | 4249 | 581306 |
| Comstock Resources, Inc. | 5932 | 81328 |
| ConocoPhillips | 59317 | 6999406 |
| Delek US Holdings, Inc. | 18348 | 495396 |
| Denbury, Inc.***<sup>(NON)</sup>*** | 5521 | 480437 |
| Enphase Energy, Inc.***<sup>(NON)</sup>*** | 3000 | 794880 |
| EOG Resources, Inc. | 11831 | 1532351 |
| Equinor ASA (Norway) | 77737 | 2791511 |
| Exxon Mobil Corp. | 182537 | 20133831 |
| Fluence Energy, Inc.***<sup>(NON)</sup>*** | 10852 | 186112 |
| Golar LNG, Ltd. (Norway)***<sup>(NON)</sup>*** | 22959 | 523236 |
| Marathon Oil Corp. | 189206 | 5121806 |
| Marathon Petroleum Corp. | 60186 | 7005049 |
| NexTier Oilfield Solutions, Inc.***<sup>(NON)</sup>*** | 16305 | 150658 |
| NOW, Inc.***<sup>(NON)</sup>*** | 38499 | 488937 |
| Occidental Petroleum Corp. | 11550 | 727535 |
| OMV AG (Austria) | 13560 | 698186 |
| PBF Energy, Inc. Class A | 15331 | 625198 |
| PetroChina Co., Ltd. Class H (China) | 2452000 | 1121478 |
| PTT Exploration & Production PCL (Thailand) | 107600 | 548330 |
| Range Resources Corp. | 27900 | 698058 |
| Reliance Industries, Ltd. (India) | 100188 | 3084720 |
| Repsol SA (Spain) | 80656 | 1282122 |
| Shell PLC (London Exchange) (United Kingdom) | 229826 | 6462749 |
| Shell PLC (Euronext Amsterdam Exchange) (United Kingdom) | 172201 | 4881124 |
| SM Energy Co. | 15776 | 549478 |
| SunCoke Energy, Inc. | 22476 | 193968 |
| Talos Energy, Inc.***<sup>(NON)</sup>*** | 25500 | 481440 |
| Targa Resources Corp. | 11700 | 859950 |
| Thermon Group Holdings, Inc.***<sup>(NON)</sup>*** | 6677 | 134074 |
| TotalEnergies SE (France) | 47067 | 2954954 |
| US Silica Holdings, Inc.***<sup>(NON)</sup>*** | 21400 | 267500 |
| Valero Energy Corp. | 38899 | 4934727 |
| Warrior Met Coal, Inc. | 17288 | 598856 |
| Weatherford International PLC | 15277 | 777905 |
|  |  | **91585252** |
| **Financial (1.1%)** | **Financial (1.1%)** | **Financial (1.1%)** |
| 3i Group PLC (United Kingdom) | 125559 | 2036324 |
| Ally Financial, Inc. | 28700 | 701715 |
| Apollo Global Management, Inc. | 40559 | 2587259 |
| Ares Management Corp. Class A | 9800 | 670712 |
| BGC Partners, Inc. Class A | 80449 | 303293 |
| Carlyle Group, Inc. (The) | 106223 | 3169694 |
| Deutsche Boerse AG (Germany) | 16596 | 2867300 |
| Eurazeo SE (France) | 4572 | 284347 |
| Intercontinental Exchange, Inc. | 7100 | 728389 |
| Japan Exchange Group, Inc. (Japan) | 154500 | 2233799 |
| KB Financial Group, Inc. (South Korea) | 42853 | 1643630 |
| London Stock Exchange Group PLC (United Kingdom) | 33281 | 2871174 |
| MGIC Investment Corp. | 81251 | 1056263 |
| Partners Group Holding AG (Switzerland) | 5467 | 4829336 |
| Radian Group, Inc. | 6024 | 114878 |
|  |  | **26098113** |
| **Health care services (2.9%)** | **Health care services (2.9%)** | **Health care services (2.9%)** |
| Allscripts Healthcare Solutions, Inc.***<sup>(NON)</sup>*** | 33202 | 585683 |
| AmerisourceBergen Corp. | 4904 | 812642 |
| AMN Healthcare Services, Inc.***<sup>(NON)</sup>*** | 5901 | 606741 |
| Apollo Hospitals Enterprise, Ltd. (India) | 23011 | 1245426 |
| Bio-Rad Laboratories, Inc. Class A***<sup>(NON)</sup>*** | 2068 | 869573 |
| bioMerieux (France) | 5021 | 526293 |
| Cardinal Health, Inc. | 10136 | 779154 |
| Cigna Corp. | 19161 | 6348806 |
| Computer Programs and Systems, Inc.***<sup>(NON)</sup>*** | 3560 | 96903 |
| CVS Health Corp. | 118195 | 11014592 |
| Elevance Health, Inc. | 12138 | 6226430 |
| Fulgent Genetics, Inc.***<sup>(NON)</sup>*** | 9516 | 283386 |
| Ginkgo Bioworks Holdings, Inc.***<sup>(NON)</sup>*** | 426700 | 721123 |
| HCA Healthcare, Inc. | 14643 | 3513734 |
| Humana, Inc. | 10571 | 5414361 |
| ICON PLC (Ireland)***<sup>(NON)</sup>*** | 8359 | 1623736 |
| IQVIA Holdings, Inc.***<sup>(NON)</sup>*** | 13150 | 2694303 |
| Max Healthcare Institute, Ltd. (India)***<sup>(NON)</sup>*** | 232008 | 1232674 |
| McKesson Corp. | 19075 | 7155414 |
| Medibank Private, Ltd. (Australia) | 117182 | 235361 |
| Medpace Holdings, Inc.***<sup>(NON)</sup>*** | 784 | 166529 |
| Molina Healthcare, Inc.***<sup>(NON)</sup>*** | 7100 | 2344562 |
| NextGen Healthcare, Inc.***<sup>(NON)</sup>*** | 15697 | 294790 |
| Option Care Health, Inc.***<sup>(NON)</sup>*** | 20105 | 604959 |
| Sabra Health Care REIT, Inc.***<sup>(R)</sup>*** | 27282 | 339115 |
| Select Medical Holdings Corp. | 4078 | 101257 |
| Teladoc Health, Inc.***<sup>(NON)</sup>*** | 28700 | 678755 |
| UnitedHealth Group, Inc. | 25576 | 13559884 |
|  |  | **70076186** |
| **Insurance (2.6%)** | **Insurance (2.6%)** | **Insurance (2.6%)** |
| AIA Group, Ltd. (Hong Kong) | 200600 | 2230759 |
| Allianz SE (Germany) | 5278 | 1135051 |
| American Equity Investment Life Holding Co. | 3789 | 172854 |
| American Financial Group, Inc. | 5250 | 720720 |
| American International Group, Inc. | 184819 | 11687954 |
| AMERISAFE, Inc. | 2369 | 123117 |
| Argo Group International Holdings, Ltd. (Bermuda) | 5192 | 134213 |
| Assured Guaranty, Ltd. | 53718 | 3344483 |
| Aviva PLC (United Kingdom) | 277745 | 1486833 |
| AXA SA (France) | 229744 | 6407689 |
| Berkshire Hathaway, Inc. Class B***<sup>(NON)</sup>*** | 8070 | 2492823 |
| Brown & Brown, Inc. | 13200 | 752004 |
| Chubb, Ltd. | 4056 | 894754 |
| CNO Financial Group, Inc. | 27878 | 637012 |
| Employers Holdings, Inc. | 3168 | 136636 |
| Enstar Group, Ltd.***<sup>(NON)</sup>*** | 1885 | 435510 |
| Equitable Holdings, Inc. | 123295 | 3538567 |
| Essent Group, Ltd. | 16843 | 654856 |
| Genworth Financial, Inc. Class A***<sup>(NON)</sup>*** | 131896 | 697730 |
| Gjensidige Forsikring ASA (Norway) | 14900 | 292318 |
| Horace Mann Educators Corp. | 10998 | 410995 |
| Jackson Financial, Inc. Class A | 17079 | 594178 |
| Japan Post Holdings Co., Ltd. (Japan) | 327900 | 2772059 |
| Loews Corp. | 13700 | 799121 |
| MetLife, Inc. | 101600 | 7352792 |
| NN Group NV (Netherlands) | 6238 | 254812 |
| Ping An Insurance Group Co. of China, Ltd. Class H (China) | 301000 | 1991769 |
| ProAssurance Corp. | 6025 | 105257 |
| Prudential PLC (United Kingdom) | 319743 | 4358389 |
| Reinsurance Group of America, Inc. | 9146 | 1299555 |
| Safety Insurance Group, Inc. | 1228 | 103471 |
| Sampo Oyj Class A (Finland) | 51777 | 2705832 |
| Stewart Information Services Corp. | 5304 | 226640 |
| United Fire Group, Inc. | 3298 | 90233 |
| Universal Insurance Holdings, Inc. | 5810 | 61528 |
| Unum Group | 19017 | 780268 |
| W.R. Berkley Corp. | 11032 | 800592 |
| Zurich Insurance Group AG (Switzerland) | 2375 | 1136065 |
|  |  | **63819439** |
| **Investment banking/Brokerage (1.4%)** | **Investment banking/Brokerage (1.4%)** | **Investment banking/Brokerage (1.4%)** |
| Affiliated Managers Group, Inc. | 4900 | 776307 |
| Ameriprise Financial, Inc. | 13200 | 4110084 |
| Blackstone, Inc. | 8163 | 605613 |
| Blucora, Inc.***<sup>(NON)</sup>*** | 7638 | 194998 |
| Charles Schwab Corp. (The) | 128856 | 10728551 |
| Deutsche Bank AG (Germany) | 26417 | 299408 |
| Goldman Sachs Group, Inc. (The) | 32673 | 11219254 |
| Industrivarden AB Class A (Sweden) | 17860 | 433884 |
| Investor AB Class B (Sweden) | 158976 | 2872731 |
| L E Lundbergforetagen AB Class B (Sweden) | 4834 | 205732 |
| Piper Sandler Cos. | 677 | 88139 |
| StoneX Group, Inc.***<sup>(NON)</sup>*** | 3216 | 306485 |
| Virtu Financial, Inc. Class A | 44800 | 914368 |
| Virtus Investment Partners, Inc. | 1547 | 296158 |
|  |  | **33051712** |
| **Medical technology (2.1%)** | **Medical technology (2.1%)** | **Medical technology (2.1%)** |
| Abbott Laboratories | 134783 | 14797826 |
| Adaptive Biotechnologies Corp.***<sup>(NON)</sup>*** | 57859 | 442043 |
| AngioDynamics, Inc.***<sup>(NON)</sup>*** | 7963 | 109651 |
| AtriCure, Inc.***<sup>(NON)</sup>*** | 3147 | 139664 |
| Avanos Medical, Inc.***<sup>(NON)</sup>*** | 9109 | 246490 |
| Boston Scientific Corp.***<sup>(NON)</sup>*** | 70702 | 3271382 |
| Castle Biosciences, Inc.***<sup>(NON)</sup>*** | 2229 | 52471 |
| Danaher Corp. | 30596 | 8120791 |
| Edwards Lifesciences Corp.***<sup>(NON)</sup>*** | 9399 | 701259 |
| Glaukos Corp.***<sup>(NON)</sup>*** | 3079 | 134491 |
| Hologic, Inc.***<sup>(NON)</sup>*** | 10500 | 785505 |
| IDEXX Laboratories, Inc.***<sup>(NON)</sup>*** | 3955 | 1613482 |
| Inari Medical, Inc.***<sup>(NON)</sup>*** | 1596 | 101442 |
| Inspire Medical Systems, Inc.***<sup>(NON)</sup>*** | 3636 | 915836 |
| Integer Holdings Corp.***<sup>(NON)</sup>*** | 1387 | 94954 |
| Intuitive Surgical, Inc.***<sup>(NON)</sup>*** | 5729 | 1520190 |
| Lantheus Holdings, Inc.***<sup>(NON)</sup>*** | 9343 | 476119 |
| LivaNova PLC (United Kingdom)***<sup>(NON)</sup>*** | 9828 | 545847 |
| Medtronic PLC | 49000 | 3808280 |
| Mettler-Toledo International, Inc.***<sup>(NON)</sup>*** | 500 | 722725 |
| Olympus Corp. (Japan) | 82300 | 1474928 |
| Orthofix Medical, Inc. (Netherlands)***<sup>(NON)</sup>*** | 6575 | 134985 |
| RadNet, Inc.***<sup>(NON)</sup>*** | 7626 | 143598 |
| Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A (China) | 23200 | 1054491 |
| Sonic Healthcare, Ltd. (Australia) | 75895 | 1548643 |
| Sonova Holding AG (Switzerland) | 5771 | 1368713 |
| STAAR Surgical Co.***<sup>(NON)</sup>*** | 7532 | 365603 |
| Thermo Fisher Scientific, Inc. | 10173 | 5602169 |
| Waters Corp.***<sup>(NON)</sup>*** | 2400 | 822192 |
|  |  | **51115770** |
| **Pharmaceuticals (5.3%)** | **Pharmaceuticals (5.3%)** | **Pharmaceuticals (5.3%)** |
| AbbVie, Inc. | 88263 | 14264183 |
| Alkermes PLC***<sup>(NON)</sup>*** | 23267 | 607967 |
| Amylyx Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 6342 | 234337 |
| Arvinas, Inc.***<sup>(NON)</sup>*** | 2390 | 81762 |
| AstraZeneca PLC (United Kingdom) | 92079 | 12487756 |
| AstraZeneca PLC ADR (United Kingdom) | 78036 | 5290841 |
| Bristol-Myers Squibb Co. | 100043 | 7198094 |
| Catalyst Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 7159 | 133157 |
| Chugai Pharmaceutical Co., Ltd. (Japan) | 75900 | 1947815 |
| Corcept Therapeutics, Inc.***<sup>(NON)</sup>*** | 5286 | 107359 |
| Dexcom, Inc.***<sup>(NON)</sup>*** | 25772 | 2918421 |
| Eli Lilly and Co. | 50611 | 18515528 |
| Enanta Pharmaceuticals, Inc.***<sup>(NON)</sup>*** | 8867 | 412493 |
| Ipsen SA (France) | 4476 | 481529 |
| Johnson & Johnson | 4192 | 740517 |
| Lonza Group AG (Switzerland) | 7570 | 3709476 |
| Merck & Co., Inc. | 179367 | 19900768 |
| Merck KGaA (Germany) | 37438 | 7249656 |
| Novartis AG (Switzerland) | 58849 | 5320054 |
| Novo Nordisk A/S Class B (Denmark) | 44084 | 5952495 |
| Ono Pharmaceutical Co., Ltd. (Japan) | 90900 | 2135360 |
| Pfizer, Inc. | 117426 | 6016908 |
| Roche Holding AG (Switzerland) | 17805 | 5593849 |
| Sanofi (France) | 68287 | 6567105 |
| Sun Pharmaceutical Industries, Ltd. (India) | 81253 | 983522 |
|  |  | **128850952** |
| **Real estate (1.4%)** | **Real estate (1.4%)** | **Real estate (1.4%)** |
| Alexander & Baldwin, Inc.***<sup>(R)</sup>*** | 15537 | 291008 |
| American Assets Trust, Inc.***<sup>(R)</sup>*** | 2048 | 54272 |
| Anywhere Real Estate, Inc.***<sup>(NON)</sup>*** | 32092 | 205068 |
| Apple Hospitality REIT, Inc.***<sup>(R)</sup>*** | 16198 | 255604 |
| Armada Hoffler Properties, Inc.***<sup>(R)</sup>*** | 8666 | 99659 |
| AvalonBay Communities, Inc.***<sup>(R)</sup>*** | 4700 | 759144 |
| BrightSpire Capital, Inc.***<sup>(R)</sup>*** | 15672 | 97637 |
| Brixmor Property Group, Inc.***<sup>(R)</sup>*** | 33251 | 753800 |
| BRT Apartments Corp.***<sup>(R)</sup>*** | 3032 | 59548 |
| Camden Property Trust***<sup>(R)</sup>*** | 6200 | 693656 |
| CBRE Group, Inc. Class A***<sup>(NON)</sup>*** | 10100 | 777296 |
| City Office REIT, Inc. (Canada)***<sup>(R)</sup>*** | 10259 | 85970 |
| CK Asset Holdings, Ltd. (Hong Kong) | 276418 | 1701617 |
| Corporate Office Properties Trust***<sup>(R)</sup>*** | 4611 | 119609 |
| Country Garden Services Holdings Co., Ltd. (China) | 213000 | 530491 |
| CubeSmart***<sup>(R)</sup>*** | 19300 | 776825 |
| Cushman & Wakefield PLC***<sup>(NON)</sup>*** | 30485 | 379843 |
| Equity Lifestyle Properties, Inc.***<sup>(R)</sup>*** | 12187 | 787280 |
| Equity Residential***<sup>(R)</sup>*** | 11500 | 678500 |
| Essential Properties Realty Trust, Inc.***<sup>(R)</sup>*** | 27451 | 644275 |
| Extra Space Storage, Inc.***<sup>(R)</sup>*** | 4696 | 691157 |
| Gaming and Leisure Properties, Inc.***<sup>(R)</sup>*** | 92208 | 4803115 |
| Goodman Group (Australia)***<sup>(R)</sup>*** | 173016 | 2044973 |
| Granite Point Mortgage Trust, Inc.***<sup>(R)</sup>*** | 16983 | 91029 |
| Hersha Hospitality Trust Class A***<sup>(R)</sup>*** | 11763 | 100221 |
| iStar, Inc.***<sup>(R)</sup>*** | 32375 | 247021 |
| Jones Lang LaSalle, Inc.***<sup>(NON)</sup>*** | 4557 | 726249 |
| Kennedy-Wilson Holdings, Inc. | 6675 | 104998 |
| Life Storage, Inc.***<sup>(R)</sup>*** | 22477 | 2213985 |
| Marcus & Millichap, Inc. | 7072 | 243630 |
| MFA Financial, Inc.***<sup>(R)</sup>*** | 10020 | 98697 |
| Mitsubishi Estate Co., Ltd. (Japan) | 185700 | 2421005 |
| Mitsui Fudosan Co., Ltd. (Japan) | 18100 | 333341 |
| National Health Investors, Inc.***<sup>(R)</sup>*** | 2285 | 119323 |
| Nomura Real Estate Holdings, Inc. (Japan) | 31200 | 672783 |
| Outfront Media, Inc.***<sup>(R)</sup>*** | 32207 | 533992 |
| Phoenix Mills, Ltd. (The) (India) | 35374 | 608238 |
| Piedmont Office Realty Trust, Inc. Class A***<sup>(R)</sup>*** | 22673 | 207911 |
| Prologis, Inc.***<sup>(R)</sup>*** | 6857 | 772990 |
| Public Storage***<sup>(R)</sup>*** | 2900 | 812551 |
| Retail Opportunity Investments Corp.***<sup>(R)</sup>*** | 27362 | 411251 |
| RMR Group, Inc. (The) Class A | 3825 | 108056 |
| Safehold, Inc.***<sup>(R)</sup>*** | 2478 | 70920 |
| Sekisui Chemical Co., Ltd. (Japan) | 30200 | 424558 |
| Simon Property Group, Inc.***<sup>(R)</sup>*** | 6446 | 757276 |
| SITE Centers Corp.***<sup>(R)</sup>*** | 8033 | 109731 |
| Spirit Realty Capital, Inc.***<sup>(R)</sup>*** | 18500 | 738705 |
| STAG Industrial, Inc.***<sup>(R)</sup>*** | 21783 | 703809 |
| Sunstone Hotel Investors, Inc.***<sup>(R)</sup>*** | 54106 | 522664 |
| Taylor Morrison Home Corp.***<sup>(NON)</sup>*** | 15384 | 466904 |
| Terreno Realty Corp.***<sup>(R)</sup>*** | 1824 | 103731 |
| TPG RE Finance Trust, Inc.***<sup>(R)</sup>*** | 16825 | 114242 |
| Urban Edge Properties***<sup>(R)</sup>*** | 7040 | 99194 |
| Vicinity, Ltd. (Australia)***<sup>(R)</sup>*** | 635975 | 866007 |
| Vornado Realty Trust***<sup>(R)</sup>*** | 99240 | 2065184 |
|  |  | **35160543** |
| **Semiconductor (0.8%)** | **Semiconductor (0.8%)** | **Semiconductor (0.8%)** |
| Applied Materials, Inc. | 35149 | 3422810 |
| ASM International NV (Netherlands) | 505 | 127387 |
| ASML Holding NV (Netherlands) | 3006 | 1621113 |
| Axcelis Technologies, Inc.***<sup>(NON)</sup>*** | 8149 | 646705 |
| Faraday Technology Corp. (Taiwan) | 214000 | 992175 |
| KLA Corp. | 2783 | 1049274 |
| Lam Research Corp. | 2123 | 892297 |
| MaxLinear, Inc. Class A***<sup>(NON)</sup>*** | 15305 | 519605 |
| Renesas Electronics Corp. (Japan)***<sup>(NON)</sup>*** | 298800 | 2694528 |
| Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 589350 | 8599941 |
|  |  | **20565835** |
| **Software (5.1%)** | **Software (5.1%)** | **Software (5.1%)** |
| Adobe, Inc.***<sup>(NON)</sup>*** | 22466 | 7560483 |
| Amdocs, Ltd. | 19900 | 1808910 |
| American Software, Inc./GA Class A | 6212 | 91192 |
| Appian Corp.***<sup>(NON)</sup>*** | 4118 | 134082 |
| Atlassian Corp. Class A***<sup>(NON)</sup>*** | 21000 | 2702280 |
| Autodesk, Inc.***<sup>(NON)</sup>*** | 4300 | 803541 |
| Cadence Design Systems, Inc.***<sup>(NON)</sup>*** | 88008 | 14137605 |
| Dassault Systemes SE (France) | 46833 | 1679183 |
| Domo, Inc. Class B***<sup>(NON)</sup>*** | 24009 | 341888 |
| Donnelley Financial Solutions, Inc.***<sup>(NON)</sup>*** | 2844 | 109921 |
| Intuit, Inc. | 12643 | 4920908 |
| Manhattan Associates, Inc.***<sup>(NON)</sup>*** | 9200 | 1116880 |
| Microsoft Corp. | 290990 | 69785213 |
| Okta, Inc.***<sup>(NON)</sup>*** | 15800 | 1079614 |
| Oracle Corp. | 81056 | 6625517 |
| PROS Holdings, Inc.***<sup>(NON)</sup>*** | 10042 | 243619 |
| ROBLOX Corp. Class A***<sup>(NON)</sup>*** | 24200 | 688732 |
| Sapiens International Corp. NV (Israel) | 5215 | 96373 |
| Square Enix Holdings Co., Ltd. (Japan) | 34900 | 1630120 |
| Tata Consultancy Services, Ltd. (India) | 80885 | 3184071 |
| TIS, Inc. (Japan) | 52200 | 1384151 |
| Totvs SA (Brazil) | 225655 | 1180471 |
| Wix.com, Ltd. (Israel)***<sup>(NON)</sup>*** | 24600 | 1890018 |
| Workday, Inc. Class A***<sup>(NON)</sup>*** | 5400 | 903582 |
|  |  | **124098354** |
| **Technology (—%)** | **Technology (—%)** | **Technology (—%)** |
| CACI International, Inc. Class A***<sup>(NON)</sup>*** | 2800 | 841652 |
|  |  | **841652** |
| **Technology services (4.1%)** | **Technology services (4.1%)** | **Technology services (4.1%)** |
| Accenture PLC Class A | 55478 | 14803749 |
| Alibaba Group Holding, Ltd. (China)***<sup>(NON)</sup>*** | 169256 | 1870274 |
| Alphabet, Inc. Class A***<sup>(NON)</sup>*** | 297573 | 26254866 |
| Alphabet, Inc. Class C***<sup>(NON)</sup>*** | 151604 | 13451823 |
| Capgemini SE (France) | 14165 | 2364657 |
| Cognizant Technology Solutions Corp. Class A | 11900 | 680561 |
| CSG Systems International, Inc. | 7779 | 444959 |
| DocuSign, Inc.***<sup>(NON)</sup>*** | 16710 | 926068 |
| eBay, Inc. | 165242 | 6852586 |
| Fidelity National Information Services, Inc. | 11858 | 804565 |
| GoDaddy, Inc. Class A***<sup>(NON)</sup>*** | 9800 | 733236 |
| HealthStream, Inc.***<sup>(NON)</sup>*** | 5297 | 131577 |
| Leidos Holdings, Inc. | 21042 | 2213408 |
| Meituan Class B (China)***<sup>(NON)</sup>*** | 99600 | 2229227 |
| Meta Platforms, Inc. Class A***<sup>(NON)</sup>*** | 104857 | 12618491 |
| Palo Alto Networks, Inc.***<sup>(NON)</sup>*** | 39936 | 5572669 |
| Pinterest, Inc. Class A***<sup>(NON)</sup>*** | 32300 | 784244 |
| Roku, Inc.***<sup>(NON)</sup>*** | 7000 | 284900 |
| SCSK Corp. (Japan) | 39900 | 608350 |
| Spotify Technology SA (Sweden)***<sup>(NON)</sup>*** | 10123 | 799211 |
| Tencent Holdings, Ltd. (China) | 116411 | 4981298 |
| Zebra Technologies Corp. Class A***<sup>(NON)</sup>*** | 3005 | 770512 |
|  |  | **100181231** |
| **Transportation (1.4%)** | **Transportation (1.4%)** | **Transportation (1.4%)** |
| A.P. Moeller-Maersck A/S Class B (Denmark) | 774 | 1740352 |
| ArcBest Corp. | 3753 | 262860 |
| Arlo Technologies, Inc.***<sup>(NON)</sup>*** | 28401 | 99688 |
| Canadian National Railway Co. (Canada) | 26335 | 3128302 |
| Copa Holdings SA Class A (Panama)***<sup>(NON)</sup>*** | 13009 | 1081959 |
| Covenant Logistics Group, Inc. | 4085 | 141218 |
| CSX Corp. | 208900 | 6471722 |
| Deutsche Post AG (Germany) | 63045 | 2374175 |
| Dorian LPG, Ltd. | 11524 | 218380 |
| Hub Group, Inc. Class A***<sup>(NON)</sup>*** | 4975 | 395463 |
| International Container Terminal Services, Inc. (Philippines) | 371400 | 1332915 |
| Kongsberg Gruppen ASA (Norway) | 7405 | 314135 |
| Matson, Inc. | 7393 | 462136 |
| Nippon Yusen (Japan) | 55800 | 1322295 |
| Qantas Airways, Ltd. (voting rights) (Australia)***<sup>(NON)</sup>*** | 380330 | 1556276 |
| Safe Bulkers, Inc. (Monaco) | 38964 | 113385 |
| SITC International Holdings Co., Ltd. (Hong Kong) | 65000 | 144566 |
| Southwest Airlines Co.***<sup>(NON)</sup>*** | 111889 | 3767303 |
| Teekay Corp. (Bermuda)***<sup>(NON)</sup>*** | 24036 | 109123 |
| Union Pacific Corp. | 39223 | 8121907 |
| United Parcel Service, Inc. Class B | 4034 | 701271 |
|  |  | **33859431** |
| **Utilities and power (1.9%)** | **Utilities and power (1.9%)** | **Utilities and power (1.9%)** |
| AES Corp. (The) | 29304 | 842783 |
| ALLETE, Inc. | 5615 | 362224 |
| Ameren Corp. | 26716 | 2375587 |
| American Electric Power Co., Inc. | 81724 | 7759694 |
| Avista Corp. | 2640 | 117058 |
| Black Hills Corp. | 1465 | 103048 |
| Chesapeake Utilities Corp. | 2882 | 340595 |
| China Resources Gas Group, Ltd. (China) | 170100 | 638519 |
| Constellation Energy Corp. | 37323 | 3217616 |
| Dominion Energy, Inc. | 12500 | 766500 |
| DTE Energy Co. | 6786 | 797559 |
| Duke Energy Corp. | 7908 | 814445 |
| E.ON SE (Germany) | 269138 | 2689113 |
| Edison International | 12958 | 824388 |
| Enel SpA (Italy) | 182729 | 983879 |
| Eversource Energy | 10100 | 846784 |
| Exelon Corp. | 108997 | 4711940 |
| FirstEnergy Corp. | 20718 | 868913 |
| Fortum OYJ (Finland) | 70636 | 1175015 |
| National Guel Gas co. | 12100 | 765930 |
| New Jersey Resources Corp. | 3735 | 185331 |
| NiSource, Inc. | 27211 | 746126 |
| Northwest Natural Holding Co. | 6445 | 306718 |
| NRG Energy, Inc. | 130487 | 4152097 |
| Otter Tail Corp. | 3140 | 184349 |
| PNM Resources, Inc. | 13246 | 646272 |
| Portland General Electric Co. | 8602 | 421498 |
| PPL Corp. | 12900 | 376938 |
| Public Service Enterprise Group, Inc. | 12700 | 778129 |
| RWE AG (Germany) | 61103 | 2720305 |
| SJW Group | 3258 | 264517 |
| Southern Co. (The) | 10735 | 766586 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 11872 | 13653 |
| Tokyo Gas Co., Ltd. (Japan) | 69100 | 1361045 |
| Unitil Corp. | 2213 | 113660 |
| Vistra Corp. | 32144 | 745741 |
| WEC Energy Group, Inc. | 7500 | 703200 |
| Xcel Energy, Inc. | 10658 | 747232 |
|  |  | **46234987** |
| **Total common stocks (cost $1,554,608,159)** |  | **$1857927703** |

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| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.3%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.3%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.3%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (1.6%)** | **U.S. Government Guaranteed Mortgage Obligations (1.6%)** | **U.S. Government Guaranteed Mortgage Obligations (1.6%)** |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, with due dates from 12/20/48 to 4/20/49 | $316426 | $330892 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, 5/20/49 | 12437 | 12402 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.70%, with due dates from 5/20/67 to 8/20/67 | 110563 | 108401 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.639%, 6/20/67 | 50329 | 49431 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.525%, 3/20/67 | 65890 | 64531 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 7000000 | 6792250 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 5/20/49 | 52593 | 51477 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 1/1/53 | 5000000 | 4733360 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 1/1/53 | 17000000 | 15141501 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 8/20/49 to 4/20/51 | 12501170 | 11235943 |
|  |  | **38520188** |
| **U.S. Government Agency Mortgage Obligations (7.7%)** | **U.S. Government Agency Mortgage Obligations (7.7%)** | **U.S. Government Agency Mortgage Obligations (7.7%)** |
| Federal Home Loan Mortgage Corporation Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 9/1/45 | 153720 | 148807 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 2/1/47 to 1/1/48 | 4583162 | 4106597 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, with due dates from 8/1/50 to 8/1/51 | 2236613 | 1909803 |
| Federal National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, with due dates from 2/1/39 to 4/1/39 | 17985 | 17800 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 1/1/57 | 464998 | 443205 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, with due dates from 6/1/48 to 5/1/49 | 4414115 | 4207839 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 6/1/56 | 1373713 | 1265737 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 4/1/52 to 5/1/52 | 1906156 | 1751414 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 4/1/46 to 11/1/48 | 6464598 | 5819255 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, with due dates from 7/1/50 to 8/1/51 | 20358629 | 17412655 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 1/1/53 | 11000000 | 11170161 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 1/1/53 | 25000000 | 25074230 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 1/1/53 | 56000000 | 55221275 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 11000000 | 10602968 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 1/1/53 | 19000000 | 17279600 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 1/1/53 | 20000000 | 16956250 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 1/1/38 | 16000000 | 14657501 |
|  |  | **188045097** |
| **Total U.S. government and agency mortgage obligations (cost $235,708,430)** | **Total U.S. government and agency mortgage obligations (cost $235,708,430)** | **$226565285** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (—%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (—%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (—%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.25%, 11/15/24***<sup>(i)</sup>*** | $316000 | $304523 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.875%, 2/28/27***<sup>(i)</sup>*** | 91000 | 84008 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 11/15/29***<sup>(i)</sup>*** | 592000 | 518841 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.50%, 2/28/26***<sup>(i)</sup>*** | 321000 | 286762 |
| **Total U.S. treasury obligations (cost $1,194,134)** |  | **$1194134** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (8.6%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (8.6%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (8.6%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (8.6%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| **Basic materials (0.7%)** | **Basic materials (0.7%)** | **Basic materials (0.7%)** | **Basic materials (0.7%)** |
| ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) |  | $465000 | $469268 |
| ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 |  | 35000 | 33470 |
| Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 |  | 80000 | 78203 |
| Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 |  | 440000 | 363073 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 |  | 80000 | 74726 |
| Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 |  | 260000 | 216058 |
| Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 |  | 263000 | 250567 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |  | 235000 | 204539 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 |  | 125000 | 117406 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 |  | 145000 | 117556 |
| BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 |  | 170000 | 157202 |
| Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 |  | 175000 | 161805 |
| Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) |  | 143000 | 135986 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) |  | 355000 | 344933 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) |  | 1137000 | 1121430 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) |  | 170000 | 142202 |
| CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 |  | 814000 | 696398 |
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 |  | 280000 | 271015 |
| Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 |  | 95000 | 82643 |
| Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 |  | 140000 | 123880 |
| Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 |  | 305000 | 292800 |
| Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 |  | 100000 | 96125 |
| Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (France) |  | 250000 | 240818 |
| CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 |  | 150000 | 111400 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) |  | 465000 | 452603 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) |  | 200000 | 189404 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) |  | 190000 | 176965 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) |  | 260000 | 242676 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) |  | 280000 | 252571 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 |  | 210000 | 198182 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 |  | 328000 | 266234 |
| Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 |  | 150000 | 127497 |
| Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29 |  | 150000 | 127804 |
| Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) |  | 305000 | 227960 |
| Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31 |  | 130000 | 100891 |
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 |  | 286000 | 256851 |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |  | 280000 | 226100 |
| Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 |  | 225000 | 193500 |
| Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada)***<sup>(PIK)</sup>*** |  | 150000 | 103500 |
| Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) |  | 205000 | 165224 |
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 |  | 251000 | 236232 |
| International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 |  | 47000 | 31814 |
| International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 |  | 83000 | 65850 |
| Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 170000 | 99337 |
| Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 |  | $235000 | 203004 |
| LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 |  | 365000 | 301531 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 |  | 75000 | 73497 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 |  | 50000 | 48617 |
| Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) |  | 230000 | 217853 |
| Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) |  | 190000 | 158842 |
| Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) |  | 410000 | 357213 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 |  | 200000 | 163278 |
| Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 |  | 580000 | 514208 |
| Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 |  | 155000 | 138959 |
| Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) |  | 67000 | 61212 |
| Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) |  | 330000 | 284281 |
| Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) |  | 129000 | 121170 |
| Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29 |  | 260000 | 197394 |
| PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 |  | 295000 | 222625 |
| SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 |  | 520000 | 446199 |
| SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 |  | 150000 | 120822 |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 |  | 255000 | 239174 |
| Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 |  | 430000 | 408500 |
| Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada) |  | 195000 | 171471 |
| TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 |  | 280000 | 200273 |
| Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) |  | 275000 | 178123 |
| Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 |  | 335000 | 278469 |
| Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 |  | 265000 | 251313 |
| Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 |  | 403000 | 248118 |
| Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 |  | 202000 | 133407 |
| Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 |  | 638000 | 599471 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 |  | 305000 | 343916 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 |  | 106000 | 119103 |
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32***<sup>(R)</sup>*** |  | 30000 | 33162 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 |  | 140000 | 137900 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 |  | 250000 | 221533 |
| WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 |  | 310000 | 250254 |
|  |  |  | **17089590** |
| **Capital goods (0.6%)** | **Capital goods (0.6%)** | **Capital goods (0.6%)** | **Capital goods (0.6%)** |
| Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 |  | 120000 | 98700 |
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 |  | 355000 | 329205 |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 |  | 170000 | 161272 |
| Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 |  | 165000 | 140663 |
| ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Ireland)***<sup>(PIK)</sup>*** |  | 200000 | 139106 |
| Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29 |  | 260000 | 206057 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) |  | 240000 | 207889 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 |  | 180000 | 153949 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 |  | 472000 | 420465 |
| Boeing Co. (The) sr. unsec. notes 1.433%, 2/4/24 |  | 785000 | 752271 |
| Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) |  | 210000 | 203695 |
| Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) |  | 335000 | 325022 |
| Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 |  | 325000 | 326719 |
| Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 |  | 45000 | 46152 |
| Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 |  | 144000 | 144333 |
| Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 |  | 380000 | 311323 |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 |  | 165000 | 169869 |
| GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada) |  | 165000 | 145062 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) |  | 210000 | 183803 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) |  | 50000 | 42750 |
| GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) |  | 225000 | 215169 |
| Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27 |  | 385000 | 405694 |
| Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 |  | 475000 | 369265 |
| Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 |  | 155000 | 128082 |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 |  | 570000 | 484500 |
| Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 |  | 250000 | 207709 |
| Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 |  | 202000 | 196155 |
| L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31 |  | 55000 | 42209 |
| L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 |  | 225000 | 214578 |
| L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 |  | 220000 | 210587 |
| Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 |  | 90000 | 75261 |
| Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 |  | 390000 | 267306 |
| MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 |  | 525000 | 391750 |
| Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 |  | 535000 | 493404 |
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 |  | 146000 | 138753 |
| OT Merger Corp. 144A sr. unsec. notes 7.875%, 10/15/29 |  | 385000 | 204050 |
| Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30 |  | 145000 | 121829 |
| Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40 |  | 65000 | 60648 |
| Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 |  | 445000 | 425913 |
| Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 |  | 380000 | 328586 |
| Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 |  | 600000 | 517500 |
| Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 |  | 260000 | 246409 |
| Staples, Inc. 144A sr. notes 7.50%, 4/15/26 |  | 860000 | 740185 |
| Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 |  | 365000 | 365913 |
| Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 |  | 175000 | 157281 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 |  | 185000 | 179997 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 |  | 305000 | 286410 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 |  | 240000 | 209340 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 |  | 235000 | 206628 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 |  | 895000 | 882640 |
| Vertical Midco GMBH company guaranty sr. notes Ser. REGS, 4.375%, 7/15/27 (Germany) | EUR | 110000 | 104153 |
| Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 |  | $430000 | 365500 |
| Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 |  | 56000 | 48039 |
| Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 |  | 265000 | 242449 |
| Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 |  | 335000 | 295839 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 |  | 350000 | 354541 |
|  |  |  | **14692577** |
| **Communication services (0.8%)** | **Communication services (0.8%)** | **Communication services (0.8%)** | **Communication services (0.8%)** |
| Altice France Holding SA 144A company guaranty sr. sub. notes 10.50%, 5/15/27 (France) |  | 255000 | 194438 |
| Altice France Holding SA 144A company guaranty sr. unsec. notes 6.00%, 2/15/28 (France) |  | 505000 | 298097 |
| Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) |  | 275000 | 209696 |
| Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) |  | 200000 | 156624 |
| Altice France SA 144A company guaranty sr. notes 5.125%, 7/15/29 (France) |  | 200000 | 149949 |
| American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31***<sup>(R)</sup>*** |  | 397000 | 323140 |
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30***<sup>(R)</sup>*** |  | 154000 | 130417 |
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27***<sup>(R)</sup>*** |  | 505000 | 457788 |
| American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27***<sup>(R)</sup>*** |  | 476000 | 440776 |
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 |  | 172000 | 152975 |
| AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 |  | 1018000 | 679254 |
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 |  | 476000 | 365811 |
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 |  | 547000 | 462442 |
| AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 |  | 130000 | 126493 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 |  | 160000 | 127360 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 |  | 399000 | 360804 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 |  | 1200000 | 1034898 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 |  | 180000 | 144381 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 |  | 510000 | 410487 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 |  | 380000 | 342674 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 |  | 220000 | 159709 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 |  | 180000 | 176418 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 |  | 205000 | 124654 |
| Comcast Corp. company guaranty sr. unsec. bonds 2.987%, 11/1/63 |  | 107000 | 64698 |
| Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 |  | 224000 | 162455 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 |  | 130000 | 102583 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 |  | 569000 | 454562 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 |  | 262000 | 238052 |
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 |  | 290000 | 269196 |
| Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28***<sup>(R)</sup>*** |  | 250000 | 232342 |
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27***<sup>(R)</sup>*** |  | 319000 | 296299 |
| Crown Castle, Inc. sr. unsec. sub. notes 1.05%, 7/15/26***<sup>(R)</sup>*** |  | 228000 | 196993 |
| Crown Castle, Inc. sr. unsec. unsub. bonds 3.70%, 6/15/26***<sup>(R)</sup>*** |  | 112000 | 106494 |
| Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) |  | 195000 | 229955 |
| DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 |  | 100000 | 89466 |
| DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 |  | 155000 | 124990 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 |  | 165000 | 153324 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 |  | 235000 | 151601 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 |  | 210000 | 167606 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 |  | 115000 | 96869 |
| Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 |  | 550000 | 255750 |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29***<sup>(R)</sup>*** |  | 142000 | 123600 |
| Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26***<sup>(R)</sup>*** |  | 820000 | 749477 |
| Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 |  | 490000 | 454999 |
| Frontier Communications Corp. 144A notes 6.75%, 5/1/29 |  | 435000 | 359858 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 |  | 325000 | 270563 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 |  | 545000 | 429297 |
| Lumen Technologies, Inc. 144A sr. unsec. unsub. notes 4.50%, 1/15/29 |  | 270000 | 186357 |
| Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) |  | 166000 | 193272 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 |  | 880000 | 913387 |
| Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |  | 250000 | 263077 |
| T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31 |  | 600000 | 471960 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 |  | 108000 | 97828 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 |  | 862000 | 811910 |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 |  | 160000 | 132213 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 |  | 21000 | 21200 |
| TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 |  | 205000 | 223719 |
| Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) |  | 520000 | 399638 |
| Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 |  | 487000 | 339678 |
| Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31 |  | 243000 | 199833 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 |  | 335000 | 307615 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 |  | 1264000 | 1215316 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 |  | 216000 | 187462 |
| VZ Secured Financing BV 144A sr. notes 5.00%, 1/15/32 (Netherlands) |  | 580000 | 464725 |
|  |  |  | **19239504** |
| **Conglomerates (—%)** | **Conglomerates (—%)** | **Conglomerates (—%)** | **Conglomerates (—%)** |
| General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 8.099%, perpetual maturity |  | 134000 | 131647 |
|  |  |  | **131647** |
| **Consumer cyclicals (1.4%)** | **Consumer cyclicals (1.4%)** | **Consumer cyclicals (1.4%)** | **Consumer cyclicals (1.4%)** |
| ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 |  | 390000 | 331678 |
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) |  | 240000 | 221400 |
| Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) |  | 148000 | 125423 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. unsec. notes 6.00%, 6/1/29 |  | 390000 | 283046 |
| Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 |  | 710000 | 667165 |
| Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 |  | 53000 | 43282 |
| AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29 |  | 135000 | 72550 |
| American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 |  | 320000 | 285504 |
| American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 |  | 265000 | 216624 |
| Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 |  | 25000 | 20568 |
| Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 |  | 90000 | 75838 |
| Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 |  | 155000 | 111447 |
| Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity |  | 120000 | 105468 |
| Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity |  | 250000 | 246800 |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 |  | 26000 | 27695 |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 |  | 385000 | 361285 |
| BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27***<sup>(PIK)</sup>*** |  | 110000 | 67970 |
| Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 |  | 360000 | 216000 |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 |  | 665000 | 530620 |
| BMW Finance NV 144A company guaranty sr. unsec. notes 2.85%, 8/14/29 (Netherlands) |  | 321000 | 278945 |
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 |  | 280000 | 270418 |
| Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 |  | 115000 | 107109 |
| Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 |  | 365000 | 317550 |
| Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 |  | 85000 | 69174 |
| Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 |  | 585000 | 572660 |
| Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 |  | 65000 | 59646 |
| Carnival Corp. 144A notes 10.50%, 2/1/26 |  | 180000 | 180857 |
| Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 |  | 385000 | 274905 |
| Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 |  | 215000 | 170731 |
| CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 |  | 355000 | 317725 |
| Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 |  | 360000 | 343350 |
| Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 |  | 45000 | 45442 |
| Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26 |  | 230000 | 191580 |
| Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 |  | 255000 | 189360 |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 |  | 450000 | 389925 |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 |  | 250000 | 182502 |
| D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 |  | 590000 | 507376 |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 |  | 295000 | 34663 |
| Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 |  | 750000 | 695997 |
| Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 |  | 400000 | 69284 |
| Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 |  | 370000 | 317818 |
| Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31 |  | 990000 | 777703 |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 |  | 240000 | 217075 |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 |  | 245000 | 201106 |
| Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 |  | 320000 | 283299 |
| Garda World Security Corp. 144A sr. notes 4.625%, 2/15/27 (Canada) |  | 145000 | 128032 |
| Garda World Security Corp. 144A sr. unsec. notes 6.00%, 6/1/29 (Canada) |  | 220000 | 178761 |
| Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 |  | 245000 | 211182 |
| Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 |  | 60000 | 52723 |
| General Motors Co. sr. unsec. bonds 5.95%, 4/1/49 |  | 132000 | 115040 |
| General Motors Co. sr. unsec. bonds 5.20%, 4/1/45 |  | 60000 | 48766 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 |  | 623000 | 586403 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 |  | 55000 | 53366 |
| General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32 |  | 191000 | 149656 |
| General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 |  | 137000 | 120639 |
| Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 |  | 42000 | 36639 |
| Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 |  | 715000 | 515265 |
| GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) |  | 158000 | 152172 |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 |  | 155000 | 150122 |
| Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 |  | 490000 | 444043 |
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 |  | 195000 | 185606 |
| Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 |  | 337000 | 331163 |
| iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 |  | 453499 | 385668 |
| Interpublic Group of Cos, Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 |  | 32000 | 25258 |
| Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 |  | 698000 | 667841 |
| JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 |  | 95000 | 88858 |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 |  | 115000 | 86557 |
| Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 |  | 290000 | 235988 |
| LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 |  | 175000 | 111362 |
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 |  | 379000 | 365360 |
| Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 |  | 565000 | 448435 |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 |  | 285000 | 269521 |
| Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 |  | 120000 | 117426 |
| Macy's Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32 |  | 140000 | 117674 |
| Macy's Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 5.875%, 3/15/30 |  | 35000 | 30371 |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 |  | 90000 | 83215 |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 |  | 340000 | 275035 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |  | 250000 | 219581 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 |  | 140000 | 128717 |
| McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 |  | 395000 | 331946 |
| McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 |  | 420000 | 347326 |
| MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 |  | 105000 | 83596 |
| Moody's Corp. sr. unsec. notes 2.00%, 8/19/31 |  | 520000 | 410784 |
| NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 |  | 125000 | 107813 |
| NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 |  | 95000 | 72200 |
| Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 |  | 495000 | 466538 |
| NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 |  | 330000 | 288750 |
| News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 |  | 116000 | 105560 |
| News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |  | 255000 | 221184 |
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 |  | 390000 | 374117 |
| Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 |  | 115000 | 102390 |
| Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26 |  | 57000 | 54655 |
| Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 |  | 121000 | 108587 |
| Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 |  | 410000 | 371763 |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 |  | 120000 | 103582 |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 |  | 420000 | 382267 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 |  | 311000 | 345615 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 |  | 80000 | 80284 |
| Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 |  | 70000 | 62188 |
| Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29 |  | 205000 | 155060 |
| Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 |  | 70000 | 71932 |
| Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 |  | 110000 | 92538 |
| S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 |  | 20000 | 17098 |
| S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 |  | 87000 | 66911 |
| S&P Global, Inc. 144A sr. unsec. unsub. notes 2.45%, 3/1/27 |  | 120000 | 109595 |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 |  | 285000 | 283896 |
| Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 |  | 195000 | 164717 |
| Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 |  | 365000 | 350400 |
| Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 |  | 110000 | 104930 |
| Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 |  | 600000 | 486000 |
| Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 |  | 120000 | 90444 |
| Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29 |  | 130000 | 104325 |
| Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31 |  | 280000 | 224423 |
| Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27 |  | 115000 | 102638 |
| Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 |  | 200000 | 188958 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 |  | 1070000 | 834781 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 |  | 225000 | 195818 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 |  | 830000 | 767220 |
| Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 |  | 215000 | 123625 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 |  | 240000 | 207702 |
| Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 |  | 90000 | 67725 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 |  | 165000 | 152251 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 |  | 20000 | 17998 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 |  | 380000 | 309671 |
| Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 |  | 190000 | 152413 |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 |  | 330000 | 286896 |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31 |  | 215000 | 164064 |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 |  | 200000 | 171785 |
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 |  | 215000 | 200698 |
| Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 |  | 905000 | 681194 |
| Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 |  | 310000 | 275125 |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 |  | 145000 | 144291 |
| Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 |  | 410000 | 395572 |
| Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 |  | 120000 | 114684 |
| Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 |  | 360000 | 304312 |
| Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 |  | 395000 | 310075 |
| Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 |  | 194000 | 242420 |
| Walt Disney Co. (The) company guaranty sr. unsec. notes 2.20%, 1/13/28 |  | 78000 | 69404 |
| Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 |  | 937000 | 771868 |
| Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27 |  | 450000 | 405238 |
| White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 |  | 175000 | 151377 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 |  | 290000 | 261717 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 |  | 390000 | 334281 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 |  | 70000 | 69612 |
|  |  |  | **33411835** |
| **Consumer staples (0.5%)** | **Consumer staples (0.5%)** | **Consumer staples (0.5%)** | **Consumer staples (0.5%)** |
| 1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) |  | 160000 | 129570 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) |  | 335000 | 299961 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) |  | 360000 | 322200 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |  | 285000 | 254351 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 |  | 505000 | 469079 |
| Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 |  | 205000 | 209334 |
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48 |  | 357000 | 310216 |
| Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31 |  | 200000 | 154388 |
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 |  | 555000 | 518675 |
| CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 |  | 295000 | 251249 |
| CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 |  | 6109 | 6074 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 |  | 140000 | 113709 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 |  | 190000 | 206418 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 |  | 226000 | 213662 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 |  | 185000 | 178748 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 |  | 129000 | 119658 |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 |  | 105000 | 84693 |
| Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 |  | 280000 | 261170 |
| IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 |  | 120000 | 119700 |
| JDE Peet's NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands) |  | 355000 | 299642 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31 |  | 420000 | 337280 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 |  | 126000 | 117252 |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 |  | 145000 | 139200 |
| Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 |  | 135000 | 126336 |
| Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 |  | 468000 | 447126 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 |  | 165000 | 156338 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 |  | 450000 | 397440 |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 |  | 113000 | 103960 |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 |  | 240000 | 184047 |
| Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |  | 50000 | 40818 |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 |  | 715000 | 637394 |
| Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 |  | 155000 | 99208 |
| Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24 |  | 985000 | 939964 |
| Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 | EUR | 515000 | 510255 |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |  | $435000 | 420030 |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |  | 462000 | 468251 |
| Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 |  | 150000 | 144375 |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |  | 315000 | 305550 |
| Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 |  | 135000 | 131288 |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 |  | 365000 | 343390 |
| PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29 |  | 455000 | 295609 |
| TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 |  | 305000 | 301351 |
| Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 |  | 95000 | 87994 |
| Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 |  | 115000 | 96428 |
| Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |  | 240000 | 220200 |
|  |  |  | **11573581** |
| **Energy (0.9%)** | **Energy (0.9%)** | **Energy (0.9%)** | **Energy (0.9%)** |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 |  | 150000 | 151840 |
| Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 |  | 109000 | 109600 |
| Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 |  | 305000 | 252757 |
| Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 |  | 300000 | 270018 |
| BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 |  | 270000 | 255929 |
| BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 |  | 24000 | 22918 |
| BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) |  | 400000 | 376106 |
| Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 |  | 265000 | 252620 |
| Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 |  | 490000 | 448350 |
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) |  | 87000 | 90375 |
| Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 |  | 440000 | 414585 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 |  | 122000 | 120527 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 |  | 180000 | 153245 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 |  | 117000 | 92981 |
| Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 |  | 250000 | 243483 |
| Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 |  | 265000 | 227821 |
| Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29 |  | 205000 | 185013 |
| Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 |  | 743000 | 680781 |
| Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 |  | 310000 | 309250 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 |  | 195000 | 181518 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 |  | 345000 | 255537 |
| DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 |  | 155000 | 153754 |
| DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 |  | 305000 | 307436 |
| Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 |  | 170000 | 192936 |
| Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 |  | 120000 | 135412 |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 |  | 170000 | 158117 |
| Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 |  | 435000 | 397586 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 |  | 640000 | 612813 |
| Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23 |  | 72000 | 71370 |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 |  | 570000 | 542924 |
| EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 |  | 415000 | 413369 |
| EQT Corp. sr. unsec. notes 7.00%, 2/1/30 |  | 195000 | 202238 |
| EQT Corp. sr. unsec. notes 5.678%, 10/1/25 |  | 205000 | 204004 |
| EQT Corp. sr. unsec. notes 5.00%, 1/15/29 |  | 25000 | 23469 |
| Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) |  | 110000 | 108019 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 |  | 145000 | 132654 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 |  | 210000 | 194186 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |  | 120000 | 102591 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 |  | 295000 | 287355 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |  | 445000 | 405175 |
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 |  | 275000 | 257890 |
| Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 |  | 265000 | 252707 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 |  | 73000 | 73912 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 |  | 100000 | 96869 |
| Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 |  | 190000 | 179056 |
| Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 |  | 155000 | 160174 |
| Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 |  | 60000 | 60551 |
| Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 |  | 800000 | 782877 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 |  | 298000 | 320888 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 |  | 1140000 | 1162800 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 |  | 95000 | 94656 |
| Ovintiv, Inc. company guaranty sr. unsec. bonds 6.50%, 8/15/34 |  | 155000 | 155968 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 |  | 205000 | 218199 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 |  | 70000 | 70402 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. notes 8.125%, 9/15/30 |  | 70000 | 76815 |
| Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 |  | 285000 | 255437 |
| Permian Resources Operating LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 |  | 465000 | 423282 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) |  | 200000 | 198000 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) |  | 159000 | 159626 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) |  | 159000 | 151161 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |  | 1036000 | 813516 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) |  | 545000 | 527288 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) |  | 120000 | 111721 |
| Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |  | 560000 | 512372 |
| Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 |  | 184000 | 172955 |
| Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 |  | 155000 | 155037 |
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 |  | 62000 | 60792 |
| Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) |  | 565000 | 532061 |
| SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 |  | 90000 | 86690 |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 |  | 240000 | 233004 |
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 |  | 65000 | 62320 |
| SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 |  | 280000 | 268797 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 |  | 240000 | 218885 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 |  | 655000 | 607224 |
| Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 |  | 190000 | 176799 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 |  | 205000 | 177581 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 |  | 265000 | 234856 |
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) |  | 342000 | 287280 |
| Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) |  | 128800 | 126224 |
| Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 |  | 227500 | 221385 |
| Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 |  | 215000 | 215538 |
| USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 |  | 405000 | 388512 |
| USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 |  | 115000 | 107525 |
| Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33 |  | 255000 | 208310 |
| Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29 |  | 270000 | 236250 |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 |  | 70000 | 66466 |
|  |  |  | **21701320** |
| **Financials (2.0%)** | **Financials (2.0%)** | **Financials (2.0%)** | **Financials (2.0%)** |
| ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) |  | 200000 | 193962 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) |  | 600000 | 469056 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 4.50%, 9/15/23 (Ireland) |  | 320000 | 317898 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 3.65%, 7/21/27 (Ireland) |  | 600000 | 542394 |
| AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 |  | 210000 | 192981 |
| Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28 |  | 195000 | 158827 |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 |  | 434000 | 405938 |
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 |  | 519000 | 441916 |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 |  | 385000 | 346061 |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 |  | 1022000 | 1055057 |
| Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 |  | 250000 | 234329 |
| Ally Financial, Inc. sr. unsec. notes 2.20%, 11/2/28 |  | 200000 | 155934 |
| AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 |  | 95000 | 80574 |
| ANZ New Zealand Int'l, Ltd./London 144A company guaranty sr. unsec. notes 3.45%, 7/17/27 (United Kingdom) |  | 200000 | 185436 |
| Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 |  | 495000 | 419524 |
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 |  | 217000 | 198870 |
| Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 |  | 285000 | 235191 |
| Athene Global Funding 144A notes 1.985%, 8/19/28 |  | 440000 | 354012 |
| Australia and New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) |  | 200000 | 199282 |
| Banco Santander SA sr. unsec. unsub. FRN 1.722%, 9/14/27 (Spain) |  | 200000 | 170833 |
| Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) |  | 200000 | 187660 |
| Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain) |  | 800000 | 604086 |
| Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) |  | 800000 | 786942 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity |  | 297000 | 286605 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity |  | 35000 | 34522 |
| Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27 |  | 1055000 | 924303 |
| Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 |  | 190000 | 154430 |
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 |  | 1350000 | 1117882 |
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 |  | 1030000 | 1041701 |
| Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 |  | 270000 | 256095 |
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 |  | 375000 | 250456 |
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 |  | 90000 | 80680 |
| Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31 |  | 120000 | 87206 |
| BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) |  | 200000 | 146377 |
| BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) |  | 200000 | 190550 |
| Boston Properties, LP sr. unsec. notes 6.75%, 12/1/27***<sup>(R)</sup>*** |  | 108000 | 111359 |
| BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) |  | 327000 | 314089 |
| Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23***<sup>(R)</sup>*** |  | 190000 | 189563 |
| Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 |  | 926000 | 666045 |
| Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity |  | 416000 | 354640 |
| Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 |  | 1422000 | 1305950 |
| Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 |  | 15000 | 15064 |
| Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 |  | 323000 | 301833 |
| Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 |  | 240000 | 199430 |
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 |  | 270000 | 257420 |
| Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 |  | 160000 | 157155 |
| Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 |  | 340000 | 332696 |
| CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |  | 210000 | 200068 |
| Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 |  | 250000 | 147500 |
| Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) |  | 580000 | 536014 |
| Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) |  | 182000 | 165456 |
| Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 |  | 230000 | 209486 |
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) |  | 290000 | 252300 |
| Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) |  | 285000 | 228441 |
| Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) |  | 585000 | 499644 |
| Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) |  | 400000 | 380072 |
| Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany) |  | 835000 | 748289 |
| Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28***<sup>(R)</sup>*** |  | 212000 | 200710 |
| Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 |  | 100000 | 103000 |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) |  | 468000 | 442302 |
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 |  | 364000 | 355052 |
| Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity |  | 81000 | 76950 |
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 |  | 649000 | 659561 |
| Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 |  | 230000 | 227873 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 |  | 283000 | 254552 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 |  | 195000 | 179400 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 |  | 125000 | 97281 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32***<sup>(R)</sup>*** |  | 175000 | 139892 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 |  | 195000 | 191688 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 |  | 96000 | 94182 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) |  | 70000 | 67151 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) |  | 135000 | 119475 |
| Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 |  | 199000 | 160693 |
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 |  | 751000 | 699645 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 |  | 1285000 | 1223480 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 |  | 114000 | 95135 |
| Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 |  | 122000 | 130177 |
| HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 |  | 465000 | 455230 |
| HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29 |  | 70000 | 61137 |
| Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36 |  | 361000 | 259613 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 |  | 210000 | 201788 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 |  | 390000 | 357084 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 |  | 115000 | 97250 |
| Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 |  | 280000 | 194191 |
| Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 |  | 140000 | 105312 |
| Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27 |  | 104000 | 100477 |
| Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) |  | 520000 | 382048 |
| iStar, Inc. sr. unsec. notes 5.50%, 2/15/26***<sup>(R)</sup>*** |  | 190000 | 189512 |
| iStar, Inc. sr. unsec. notes 4.75%, 10/1/24***<sup>(R)</sup>*** |  | 145000 | 143911 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25***<sup>(R)</sup>*** |  | 780000 | 764341 |
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity |  | 94000 | 91488 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity |  | 563000 | 496144 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 5.606%, 5/15/47 |  | 116000 | 88806 |
| JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity |  | 44000 | 37675 |
| JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 |  | 1485000 | 1158300 |
| JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 |  | 1350000 | 1248017 |
| JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 |  | 78000 | 75366 |
| JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23 |  | 1146000 | 1140612 |
| KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 |  | 160000 | 138852 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29***<sup>(R)</sup>*** |  | 290000 | 234134 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25***<sup>(R)</sup>*** |  | 65000 | 61070 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27***<sup>(R)</sup>*** |  | 415000 | 348612 |
| Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom) |  | 215000 | 205869 |
| Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49 |  | 175000 | 160849 |
| Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 |  | 212000 | 204768 |
| Metropolitan Life Global Funding I 144A notes 1.95%, 1/13/23 |  | 400000 | 399699 |
| Metropolitan Life Global Funding I 144A sr. notes 3.00%, 1/10/23 |  | 155000 | 154947 |
| Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) |  | 255000 | 243964 |
| Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29 |  | 1365000 | 1250005 |
| Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 |  | 470000 | 397745 |
| Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.125%, 1/23/23 |  | 1515000 | 1513609 |
| National Australia Bank, Ltd./New York, NY sr. unsec. notes 2.875%, 4/12/23 (Australia) |  | 250000 | 248800 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 |  | 455000 | 353763 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 |  | 190000 | 154928 |
| Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 |  | 155000 | 125056 |
| New York Life Global Funding 144A notes 1.10%, 5/5/23 |  | 1320000 | 1303966 |
| OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 |  | 110000 | 104597 |
| OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 |  | 120000 | 110500 |
| OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 |  | 325000 | 265818 |
| PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31 |  | 225000 | 178428 |
| PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 |  | 225000 | 202775 |
| PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 |  | 360000 | 319800 |
| PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 |  | 725000 | 669768 |
| Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30***<sup>(R)</sup>*** |  | 113000 | 94142 |
| Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27***<sup>(R)</sup>*** |  | 47000 | 42081 |
| Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 |  | 50000 | 48871 |
| Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 |  | 146000 | 138368 |
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) |  | 285000 | 281193 |
| Santander UK Group Holdings PLC 144A unsec. sub. notes 4.75%, 9/15/25 (United Kingdom) |  | 280000 | 266784 |
| Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25***<sup>(R)</sup>*** |  | 80000 | 76234 |
| Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) |  | 431000 | 349169 |
| Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan) |  | 800000 | 776004 |
| Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) |  | 435000 | 400658 |
| Truist Bank unsec. sub. FRN Ser. BKNT, 2.636%, 9/17/29 |  | 250000 | 233797 |
| Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 |  | 158000 | 142240 |
| Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 |  | 310000 | 304592 |
| UBS Group AG 144A sr. unsec. FRN 4.703%, 8/5/27 (Switzerland) |  | 308000 | 297678 |
| UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) |  | 206000 | 201118 |
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 |  | 630000 | 479412 |
| USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25 |  | 245000 | 236019 |
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28***<sup>(R)</sup>*** |  | 411000 | 389903 |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27***<sup>(R)</sup>*** |  | 154000 | 139792 |
| Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity |  | 172000 | 165980 |
| Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity |  | 104000 | 91028 |
| Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33 |  | 1935000 | 1630040 |
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 4.54%, 8/15/26 |  | 219000 | 214611 |
| Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) |  | 94000 | 88446 |
| Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) |  | 170000 | 112245 |
|  |  |  | **49799312** |
| **Health care (0.7%)** | **Health care (0.7%)** | **Health care (0.7%)** | **Health care (0.7%)** |
| 1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) |  | 25000 | 24344 |
| AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 |  | 270000 | 263145 |
| Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25 |  | 265000 | 13250 |
| Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 |  | 230000 | 197889 |
| Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 |  | 347000 | 320616 |
| Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 |  | 210000 | 144822 |
| Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 |  | 44000 | 34313 |
| Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 |  | 8000 | 4749 |
| Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 |  | 420000 | 267138 |
| Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 |  | 96000 | 90703 |
| Becton Dickinson and Co. sr. unsec. sub. bonds 1.957%, 2/11/31 |  | 500000 | 395398 |
| Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 2/20/23 |  | 1025000 | 1022715 |
| Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24 |  | 501000 | 486339 |
| Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 |  | 220000 | 180345 |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 |  | 275000 | 251305 |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |  | 115000 | 99763 |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |  | 105000 | 92400 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 |  | 115000 | 104698 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 |  | 25000 | 20912 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 |  | 90000 | 77171 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 |  | 165000 | 79200 |
| CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 |  | 195000 | 100223 |
| CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 |  | 530000 | 399640 |
| Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 |  | 243000 | 241396 |
| CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 |  | 736000 | 670447 |
| CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 |  | 124711 | 112080 |
| DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) |  | 155000 | 116187 |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 |  | 255000 | 242635 |
| GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 |  | 110000 | 111287 |
| HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 |  | 76000 | 73247 |
| HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 |  | 118000 | 107721 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 |  | 240000 | 237330 |
| HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 |  | 110000 | 94872 |
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 |  | 250000 | 255258 |
| Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) |  | 570000 | 507956 |
| Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg) |  | 193000 | 128345 |
| Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 |  | 19000 | 18563 |
| Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 |  | 395000 | 324871 |
| Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 |  | 122000 | 116908 |
| Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 |  | 405000 | 298458 |
| Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 |  | 170000 | 137013 |
| Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29 |  | 190000 | 150911 |
| Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 |  | 650000 | 570247 |
| Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 |  | 70000 | 61230 |
| Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 |  | 495000 | 438273 |
| Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 |  | 345000 | 296493 |
| Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 |  | 265000 | 211285 |
| Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 |  | 305000 | 288578 |
| Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) |  | 550000 | 474942 |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 |  | 320000 | 300008 |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 |  | 142000 | 132635 |
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 |  | 150000 | 121936 |
| Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 |  | 335000 | 282146 |
| Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 |  | 60000 | 58515 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 |  | 550000 | 511632 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 |  | 1035000 | 978740 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 |  | 215000 | 186255 |
| Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 |  | 345000 | 328716 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) |  | 260000 | 254822 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) |  | 1065000 | 948433 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42 |  | 245000 | 206662 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 |  | 740000 | 708661 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23 |  | 245000 | 244420 |
| Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 |  | 291000 | 248644 |
| Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 |  | 335000 | 318211 |
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 |  | 157000 | 127411 |
|  |  |  | **16915458** |
| **Technology (0.5%)** | **Technology (0.5%)** | **Technology (0.5%)** | **Technology (0.5%)** |
| Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 |  | 295000 | 166185 |
| Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 |  | 305000 | 280412 |
| Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 |  | 655000 | 603095 |
| Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61 |  | 240000 | 151837 |
| Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 |  | 275000 | 267734 |
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 |  | 262000 | 242126 |
| Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 |  | 314000 | 270787 |
| Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 |  | 755000 | 590487 |
| Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 |  | 195000 | 156488 |
| Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 |  | 65000 | 63213 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 |  | 494000 | 467270 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 |  | 1147000 | 1043472 |
| Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 |  | 80000 | 57463 |
| Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 |  | 190000 | 185843 |
| Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 |  | 455000 | 386909 |
| CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 |  | 105000 | 96903 |
| CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 |  | 84000 | 76440 |
| CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27 |  | 170000 | 131750 |
| Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 |  | 475000 | 400788 |
| Google, LLC sr. unsec. notes 3.375%, 2/25/24 |  | 335000 | 335329 |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 |  | 550000 | 477187 |
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 |  | 221000 | 175618 |
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 |  | 124000 | 115568 |
| Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 |  | 165000 | 164295 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 |  | 799000 | 565293 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.525%, 6/1/50 |  | 60000 | 39483 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 |  | 930000 | 867181 |
| Microsoft Corp. sr. unsec. unsub. notes 3.30%, 2/6/27 |  | 70000 | 67458 |
| NortonLifeLock, Inc. 144A company guaranty sr. unsec. unsub. notes 6.75%, 9/30/27 |  | 145000 | 142100 |
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 |  | 55000 | 39184 |
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 |  | 305000 | 225149 |
| Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 |  | 295000 | 251518 |
| Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 |  | 735000 | 537208 |
| Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 |  | 570000 | 480100 |
| Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 |  | 610000 | 475800 |
| salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 |  | 320000 | 203192 |
| salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 |  | 320000 | 209734 |
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 |  | 430000 | 353735 |
| ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 |  | 315000 | 240980 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 |  | 335000 | 286425 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 |  | 120000 | 95203 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 |  | 355000 | 288402 |
| Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 |  | 100000 | 92041 |
| ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 |  | 860000 | 722729 |
|  |  |  | **13090114** |
| **Transportation (0.1%)** | **Transportation (0.1%)** | **Transportation (0.1%)** | **Transportation (0.1%)** |
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 |  | 235000 | 214780 |
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 |  | 235000 | 225987 |
| Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada) |  | 645000 | 574784 |
| CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 |  | 240000 | 201249 |
| Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 |  | 495000 | 465287 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 |  | 113000 | 103654 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 |  | 145000 | 137597 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 |  | 210000 | 205566 |
| United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 |  | 90000 | 78363 |
| United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 |  | 90000 | 83423 |
| Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 |  | 735000 | 698250 |
|  |  |  | **2988940** |
| **Utilities and power (0.4%)** | **Utilities and power (0.4%)** | **Utilities and power (0.4%)** | **Utilities and power (0.4%)** |
| AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 |  | 188000 | 166942 |
| AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 |  | 230000 | 182970 |
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 |  | 510000 | 487057 |
| American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 |  | 95000 | 77963 |
| Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 |  | 60000 | 49650 |
| Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 |  | 105000 | 78233 |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 |  | 205000 | 183414 |
| Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 |  | 215000 | 188984 |
| Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 |  | 48000 | 45721 |
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 |  | 660000 | 588706 |
| Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 |  | 45000 | 37751 |
| Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 |  | 25000 | 21451 |
| Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 |  | 130000 | 108799 |
| Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 |  | 350000 | 276211 |
| Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 |  | 445000 | 410607 |
| Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39 |  | 80000 | 86200 |
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 |  | 385000 | 356496 |
| Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23 |  | 186000 | 183984 |
| Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) |  | 355000 | 295159 |
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) |  | 210000 | 201896 |
| Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 |  | 625000 | 551054 |
| Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 |  | 84000 | 83404 |
| Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 |  | 79000 | 74398 |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity |  | 1455000 | 1080338 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 |  | 151000 | 128278 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 |  | 755000 | 605822 |
| Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 |  | 330000 | 328768 |
| IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 |  | 140000 | 124372 |
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 |  | 70000 | 67831 |
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 |  | 155000 | 154665 |
| Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 1.75%, 11/15/26 |  | 115000 | 101492 |
| NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 |  | 17000 | 16856 |
| NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 |  | 160000 | 141496 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 |  | 444000 | 427632 |
| NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 |  | 715000 | 537001 |
| NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 |  | 150000 | 132411 |
| Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 |  | 45000 | 44752 |
| Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 |  | 405000 | 325586 |
| Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 |  | 110000 | 100815 |
| Pacific Gas and Electric Co. notes 2.10%, 8/1/27 |  | 50000 | 42702 |
| Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 |  | 75000 | 75911 |
| Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity |  | 100000 | 90993 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 |  | 317000 | 285568 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 |  | 204000 | 195648 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 |  | 295000 | 284208 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 |  | 150000 | 139214 |
|  |  |  | **10169409** |
| **Total corporate bonds and notes (cost $239,864,813)** | **Total corporate bonds and notes (cost $239,864,813)** | **Total corporate bonds and notes (cost $239,864,813)** | **$210803287** |

---

------

---

| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (2.4%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (2.4%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (2.4%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Agency collateralized mortgage obligations (0.6%)** | **Agency collateralized mortgage obligations (0.6%)** | **Agency collateralized mortgage obligations (0.6%)** |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 7.965%, 11/15/35 | $24950 | $37731 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 6.906%, 3/15/35 | 21613 | 27339 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 5.91%, 6/15/34 | 6430 | 6942 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51 | 2301688 | 498704 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5170, Class CI, IO, 5.50%, 5/25/44 | 2953831 | 583795 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 3127892 | 663807 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49 | 3989392 | 893085 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51 | 4040506 | 768949 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 | 7051414 | 1352743 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 | 3132936 | 651813 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50 | 3295775 | 636719 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51 | 3852945 | 687916 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50 | 2442022 | 426020 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5167, IO, 3.00%, 11/25/51 | 5201624 | 809685 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5094, Class AI, IO, 3.00%, 4/25/41 | 6550131 | 854692 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.732%, 4/15/44 | 3587045 | 333244 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 13.568%, 7/25/36 | 6322 | 11627 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 8.475%, 3/25/36 | 11503 | 12305 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 8.108%, 6/25/37 | 18637 | 29290 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51 | 2813731 | 490658 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51 | 5406180 | 665361 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41 | 5271224 | 573509 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49 | 4584498 | 603530 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 17-69, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 9/25/47 | 3436020 | 399904 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-43, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 8/25/49 | 2712070 | 284866 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 01-50, Class B1, IO, 0.40%, 10/25/41***<sup>(WAC)</sup>*** | 199653 | 998 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 02-W8, Class 1, IO, 0.295%, 6/25/42***<sup>(WAC)</sup>*** | 197800 | 1186 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 01-79, Class BI, IO, 0.255%, 3/25/45***<sup>(WAC)</sup>*** | 83980 | 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 03-34, PO, zero %, 4/25/43 | 6133 | 5572 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 174290 | 36493 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 | 4882642 | 723608 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-138, Class AI, IO, 3.00%, 9/20/50 | 2399161 | 362360 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H26, Class EI, IO, 1.687%, 10/20/65***<sup>(WAC)</sup>*** | 1519792 | 62463 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-H16, Class LI, IO, 1.039%, 7/20/66***<sup>(WAC)</sup>*** | 9097254 | 332075 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class BI, IO, 0.711%, 10/20/65***<sup>(WAC)</sup>*** | 2696460 | 107319 |
|  |  | **13936828** |
| **Commercial mortgage-backed securities (0.9%)** | **Commercial mortgage-backed securities (0.9%)** | **Commercial mortgage-backed securities (0.9%)** |
| Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 0.963%, 5/15/53***<sup>(WAC)</sup>*** | 4164397 | 211157 |
| AREIT CRE Trust 144A FRB Ser. 21-CRE5, Class A, 5.419%, 11/17/38 (Cayman Islands) | 288183 | 275215 |
| AREIT Trust 144A FRB Ser. 20-CRE4, Class C, 7.031%, 4/15/37 | 409000 | 402865 |
| AREIT, LLC 144A FRB Ser. 22-CRE7, Class A, 6.567%, 6/17/39 | 550000 | 543125 |
| Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49***<sup>(WAC)</sup>*** | 15538 |  |
| BANK FRB Ser. 19-BN20, Class XA, IO, 0.814%, 9/15/62***<sup>(WAC)</sup>*** | 3782045 | 156701 |
| Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C3, Class C, 4.178%, 5/15/52 | 762000 | 637732 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-C4, Class XA, IO, 1.554%, 8/15/52***<sup>(WAC)</sup>*** | 4812002 | 345393 |
| Benchmark Mortgage Trust Ser. 19-B11, Class AS, 3.784%, 5/15/52 | 243000 | 216435 |
| BXMT, Ltd. 144A FRB Ser. 21-FL4, Class A, 5.368%, 5/15/38 (Cayman Islands) | 534000 | 521284 |
| CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50***<sup>(WAC)</sup>*** | 193000 | 173675 |
| CFCRE Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class D, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 85533 | 82967 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class E, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 562000 | 471108 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-GC21, Class B, 4.328%, 5/10/47***<sup>(WAC)</sup>*** | 570000 | 533027 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC21, Class XA, IO, 1.125%, 5/10/47***<sup>(WAC)</sup>*** | 3009681 | 33102 |
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.088%, 3/11/47***<sup>(WAC)</sup>*** | 459000 | 429104 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 648000 | 612033 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47***<sup>(WAC)</sup>*** | 973000 | 885318 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR18, Class C, 4.747%, 7/15/47***<sup>(WAC)</sup>*** | 354000 | 329589 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-LC15, Class B, 4.599%, 4/10/47***<sup>(WAC)</sup>*** | 229000 | 217855 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC21, Class B, 4.33%, 7/10/48***<sup>(WAC)</sup>*** | 370000 | 323813 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC19, Class C, 4.215%, 2/10/48***<sup>(WAC)</sup>*** | 620000 | 568138 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR11, Class XA, IO, 0.897%, 8/10/50***<sup>(WAC)</sup>*** | 6967454 | 21655 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS6, Class XA, IO, 0.836%, 12/10/47***<sup>(WAC)</sup>*** | 5037070 | 59105 |
| COMM Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 10-C1, Class D, 5.792%, 7/10/46***<sup>(WAC)</sup>*** | 596028 | 541664 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class D, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 347000 | 292390 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC23, Class D, 3.554%, 10/10/48***<sup>(WAC)</sup>*** | 336000 | 288837 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.014%, 1/15/49***<sup>(WAC)</sup>*** | 1119706 | 1 |
| CSAIL Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-C7, Class AS, 3.958%, 11/15/49***<sup>(WAC)</sup>*** | 323000 | 296855 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-C2, Class AS, 3.849%, 6/15/57***<sup>(WAC)</sup>*** | 321000 | 301393 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C17, Class AS, 3.278%, 9/15/52 | 428000 | 358701 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C19, Class XA, IO, 1.108%, 3/15/53***<sup>(WAC)</sup>*** | 6381150 | 385013 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.758%, 4/15/50***<sup>(WAC)</sup>*** | 645000 | 432579 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.361%, 8/10/44***<sup>(WAC)</sup>*** | 770071 | 703614 |
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.756%, 9/25/27***<sup>(WAC)</sup>*** | 5142985 | 148193 |
| GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47***<sup>(WAC)</sup>*** | 521000 | 492393 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class XA, IO, 0.936%, 6/10/47***<sup>(WAC)</sup>*** | 6500286 | 53256 |
| GS Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 10-C1, Class D, 6.355%, 8/10/43***<sup>(WAC)</sup>*** | 246000 | 184998 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC14, Class B, 4.718%, 8/10/46***<sup>(WAC)</sup>*** | 247000 | 239674 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-GCJ9, Class C, 4.448%, 11/10/45***<sup>(WAC)</sup>*** | 120416 | 118669 |
| JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C19, Class C, 4.647%, 4/15/47***<sup>(WAC)</sup>*** | 168000 | 158453 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class C, 4.547%, 9/15/47***<sup>(WAC)</sup>*** | 473000 | 425998 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C23, Class C, 4.482%, 9/15/47***<sup>(WAC)</sup>*** | 476000 | 440751 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class B, 4.113%, 7/15/45***<sup>(WAC)</sup>*** | 426000 | 420484 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C17, Class XA, IO, 0.688%, 1/15/47***<sup>(WAC)</sup>*** | 2878633 | 12532 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C16, Class C, 5.008%, 12/15/46***<sup>(WAC)</sup>*** | 450000 | 434474 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C20, Class AS, 4.043%, 7/15/47 | 351000 | 337530 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class XA, IO, 1.22%, 4/15/46***<sup>(WAC)</sup>*** | 7299202 | 3210 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-CB17, Class X, IO, 0.93%, 12/12/43***<sup>(WAC)</sup>*** | 141832 | 2469 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 4.964%, 5/15/45***<sup>(WAC)</sup>*** | 559000 | 429927 |
| LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39***<sup>(WAC)</sup>*** | 1115254 | 147 |
| MF1 Multifamily Housing Mortgage Loan Trust 144A FRB Ser. 22-FL9, Class A, (CME Term SOFR 1 Month + 2.15%), 6.471%, 6/19/37 | 582000 | 570247 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C14, Class C, 5.059%, 2/15/47***<sup>(WAC)</sup>*** | 329603 | 317106 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C15, Class B, 4.565%, 4/15/47***<sup>(WAC)</sup>*** | 207000 | 199320 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C17, Class C, 4.48%, 8/15/47***<sup>(WAC)</sup>*** | 708000 | 664402 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C24, Class B, 4.329%, 5/15/48***<sup>(WAC)</sup>*** | 225000 | 211604 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C19, Class C, 4.00%, 12/15/47 | 255000 | 229645 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C8, Class B, 3.511%, 12/15/48***<sup>(WAC)</sup>*** | 17825 | 17758 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C17, Class XA, IO, 1.027%, 8/15/47***<sup>(WAC)</sup>*** | 2917832 | 26196 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C6, Class D, 4.523%, 11/15/45***<sup>(WAC)</sup>*** | 450000 | 396145 |
| Morgan Stanley Capital I Trust Ser. 16-UB12, Class AS, 3.778%, 12/15/49***<sup>(WAC)</sup>*** | 200000 | 175685 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.083%, 7/15/49***<sup>(WAC)</sup>*** | 231000 | 222324 |
| PFP, Ltd. 144A REMICs FRB Ser. 21-8, Class AS, 5.576%, 8/9/37 (Cayman Islands) | 326000 | 306242 |
| UBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-C7, Class XA, IO, 1.032%, 12/15/50***<sup>(WAC)</sup>*** | 3583851 | 129922 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C8, Class XA, IO, 0.837%, 2/15/51***<sup>(WAC)</sup>*** | 3758822 | 127047 |
| VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 5.439%, 6/16/36 | 107479 | 103846 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.166%, 11/15/48***<sup>(WAC)</sup>*** | 417255 | 164 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC12, Class AS, 4.296%, 7/15/46***<sup>(WAC)</sup>*** | 319000 | 313093 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC12, Class C, 4.296%, 7/15/46***<sup>(WAC)</sup>*** | 408000 | 341374 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C57, Class C, 4.023%, 8/15/53***<sup>(WAC)</sup>*** | 261000 | 212710 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-BNK1, Class AS, 2.814%, 8/15/49 | 274000 | 244781 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-C52, Class XA, IO, 1.604%, 8/15/52***<sup>(WAC)</sup>*** | 3537980 | 258814 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-LC16, Class XA, IO, 1.08%, 8/15/50***<sup>(WAC)</sup>*** | 8098969 | 85293 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-LC25, Class XA, IO, 0.832%, 12/15/59***<sup>(WAC)</sup>*** | 4599726 | 119193 |
| Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46***<sup>(WAC)</sup>*** | 518000 | 209135 |
| WF-RBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class C, 4.192%, 3/15/45***<sup>(WAC)</sup>*** | 849000 | 817330 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C11, Class AS, 3.311%, 3/15/45 | 239131 | 236404 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-C10, Class AS, 3.241%, 12/15/45 | 82289 | 82289 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C24, Class XA, IO, 0.84%, 11/15/47***<sup>(WAC)</sup>*** | 8429061 | 98348 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class XA, IO, 0.783%, 9/15/57***<sup>(WAC)</sup>*** | 17939161 | 9113 |
| WF-RBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class D, 5.378%, 3/15/44***<sup>(WAC)</sup>*** | 629431 | 321136 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C15, Class D, 4.529%, 8/15/46***<sup>(WAC)</sup>*** | 437000 | 258866 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class XA, IO, 1.181%, 12/15/45***<sup>(WAC)</sup>*** | 182362 | 141 |
|  |  | **22860274** |
| **Residential mortgage-backed securities (non-agency) (0.9%)** | **Residential mortgage-backed securities (non-agency) (0.9%)** | **Residential mortgage-backed securities (non-agency) (0.9%)** |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | 358932 | 195645 |
| Arroyo Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-1, Class A3, 4.208%, 1/25/49***<sup>(WAC)</sup>*** | 58676 | 53932 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-3, Class A3, 3.416%, 10/25/48***<sup>(WAC)</sup>*** | 73307 | 67149 |
| Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 6.889%, 10/25/29 (Bermuda) | 218949 | 217238 |
| BRAVO Residential Funding Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-HE3, Class A2, (US 30 Day Average SOFR + 1.00%), 4.928%, 8/25/69 | 338095 | 317531 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-C, Class A1, 1.62%, 3/1/61 | 304497 | 255777 |
| Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55***<sup>(WAC)</sup>*** | 285000 | 243786 |
| Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB7, Class M2, 2.679%, 10/27/31***<sup>(WAC)</sup>*** | 1129000 | 1067591 |
| Citigroup Mortgage Loan Trust 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 | 145614 | 143436 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 3.724%, 5/25/35***<sup>(WAC)</sup>*** | 124188 | 119833 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65***<sup>(WAC)</sup>*** | 6676 | 6511 |
| Countrywide Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.013%, 11/20/35 | 286243 | 250061 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-65CB, Class 2A1, (ICE LIBOR USD 1 Month + 0.43%), 4.814%, 12/25/35 | 501462 | 339391 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 4.769%, 8/25/46 | 695073 | 548967 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 4.533%, 2/20/47 | 240725 | 181332 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.988%, 6/25/46 | 453690 | 370387 |
| CSMC Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-RPL7, Class A1, 1.926%, 7/27/61***<sup>(WAC)</sup>*** | 183405 | 165982 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-RPL4, Class A1, 1.796%, 12/27/60***<sup>(WAC)</sup>*** | 182544 | 171591 |
| Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.089%, 11/25/28 (Bermuda) | 227125 | 223112 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 10.739%, 9/25/28 | 398579 | 421253 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (ICE LIBOR USD 1 Month + 5.55%), 9.939%, 7/25/28 | 294066 | 312528 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.389%, 12/25/28 | 254721 | 264212 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.089%, 4/25/28 | 304334 | 314911 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 7.939%, 8/25/29 | 146036 | 150783 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 6.878%, 6/25/42 | 53204 | 53789 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 6.789%, 2/25/47 | 161802 | 157697 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 6.728%, 10/25/50 | 39010 | 39199 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 6.578%, 7/25/42 | 270452 | 270452 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 6.289%, 1/25/50 | 35438 | 34890 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 6.228%, 8/25/33 | 437000 | 432042 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 5.778%, 1/25/42 | 168000 | 159429 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.389%, 2/25/47 | 1199321 | 1173112 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.228%, 2/25/42 | 245084 | 241408 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 4.928%, 1/25/42 | 71835 | 69996 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 4.778%, 9/25/41 | 73941 | 70704 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 4.728%, 10/25/41 | 372000 | 367214 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56***<sup>(WAC)</sup>*** | 304526 | 296627 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.339%, 8/25/28 | 278467 | 296657 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.139%, 8/25/28 | 412096 | 433557 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 10.389%, 9/25/28 | 293938 | 312269 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.289%, 10/25/28 | 63678 | 66642 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.089%, 4/25/28 | 538401 | 567933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 9.939%, 4/25/28 | 615211 | 646897 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.389%, 11/25/24 | 4823 | 4879 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.289%, 11/25/24 | 73099 | 76635 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 1/25/29 | 542233 | 557176 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (ICE LIBOR USD 1 Month + 4.35%), 8.739%, 5/25/29 | 423396 | 436079 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 8.689%, 2/25/25 | 26286 | 27223 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 4/25/29 | 308780 | 316526 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 1/25/29 | 649885 | 685619 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.389%, 5/25/25 | 28827 | 29641 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.039%, 9/25/29 | 47000 | 48544 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 7.939%, 7/25/29 | 419530 | 427952 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.289%, 7/25/24 | 46272 | 46576 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 5.639%, 7/25/29 | 47257 | 46832 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (ICE LIBOR USD 1 Month + 0.65%), 5.039%, 1/25/31 | 42049 | 41418 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M2, (US 30 Day Average SOFR + 3.00%), 6.928%, 4/25/42 | 581000 | 562155 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.539%, 11/25/39 | 47729 | 46648 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 6.444%, 9/25/42 | 171241 | 170862 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 6.439%, 1/25/40 | 294953 | 292909 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.128%, 1/25/42 | 98099 | 96627 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 4.928%, 12/25/41 | 154719 | 152205 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 4.828%, 11/25/41 | 55815 | 54715 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 21-R03, Class 1M1, (US 30 Day Average SOFR + 0.85%), 4.778%, 12/25/41 | 7415 | 7287 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 4.678%, 10/25/41 | 26306 | 26117 |
| Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 12/25/24***<sup>(WAC)</sup>*** | 540328 | 523778 |
| FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49***<sup>(WAC)</sup>*** | 495436 | 443114 |
| Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26 | 244030 | 206509 |
| Legacy Mortgage Asset Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-GS7, Class A1, 6.25%, 11/25/59 | 270994 | 266706 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-GS5, Class A1, 3.25%, 6/25/60 | 133498 | 129673 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-GS1, Class A1, 2.882%, 10/25/59 | 260207 | 248287 |
| Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (ICE LIBOR USD 1 Month + 0.80%), 5.189%, 2/25/34 | 338431 | 325473 |
| Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (ICE LIBOR USD 1 Month + 0.83%), 5.214%, 8/25/34 | 82693 | 78870 |
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.45%, 8/26/47***<sup>(WAC)</sup>*** | 105866 | 102475 |
| New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (ICE LIBOR USD 1 Month + 1.13%), 5.514%, 10/25/33 | 117530 | 113864 |
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 5.439%, 10/25/34 | 261719 | 253866 |
| Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60***<sup>(WAC)</sup>*** | 189000 | 178547 |
| Starwood Mortgage Residential Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-2, Class M1E, 3.00%, 4/25/60 | 323000 | 279093 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-3, Class A3, 2.591%, 4/25/65***<sup>(WAC)</sup>*** | 407000 | 310849 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 5.239%, 5/25/47 | 543617 | 426343 |
| Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A1, 2.24%, 6/25/24 | 150000 | 143611 |
| Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56***<sup>(WAC)</sup>*** | 177000 | 159552 |
| WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 5.349%, 7/25/45 | 109797 | 99432 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 04-AR12, Class A2B, (ICE LIBOR USD 1 Month + 0.92%), 5.309%, 10/25/44 | 207945 | 189599 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR11, Class A1B3, (ICE LIBOR USD 1 Month + 0.80%), 5.189%, 8/25/45 | 155617 | 147085 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR12, Class 1A8, 3.813%, 10/25/35***<sup>(WAC)</sup>*** | 274506 | 232218 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 07-HY2, Class 1A1, 3.372%, 12/25/36***<sup>(WAC)</sup>*** | 223509 | 198360 |
|  |  | **21305382** |
| **Total mortgage-backed securities (cost $61,180,243)** |  | **$58102484** |

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| | | |
|:---|:---|:---|
| **COLLATERALIZED LOAN OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (0.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.395%, 4/23/34 (Cayman Islands) | $250000 | $243040 |
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.179%, 4/15/34 (Cayman Islands) | 533000 | 532310 |
| AGL CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME TERM SOFR 3 Month + 1.33%), 5.318%, 1/21/35 (Cayman Islands) | 278000 | 269198 |
| AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 5.443%, 7/20/34 (Cayman Islands) | 758000 | 739847 |
| AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.425%, 4/22/34 | 250000 | 243717 |
| American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 5.71%, 11/2/30 (Cayman Islands) | 600000 | 593042 |
| Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.508%, 10/25/32 (Cayman Islands) | 300000 | 291741 |
| Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.159%, 4/15/31 (Cayman Islands) | 500000 | 492666 |
| Apidos CLO XXIV 144A FRB Ser. 21-24A, Class A1AL, (ICE LIBOR USD 3 Month + 0.95%), 5.193%, 10/20/30 (Cayman Islands) | 250000 | 246118 |
| Apidos CLO XXVII 144A FRB Ser. 21-27A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 5.009%, 7/17/30 (Cayman Islands) | 252000 | 248656 |
| Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 5.149%, 4/15/34 (Cayman Islands) | 500000 | 485248 |
| Ares XLII CLO, Ltd. 144A FRB Ser. 21-42A, Class AR, (ICE LIBOR USD 3 Month + 0.92%), 5.245%, 1/22/28 (Cayman Islands) | 292412 | 288916 |
| Ballyrock CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 5.393%, 10/20/34 (Cayman Islands) | 350000 | 341092 |
| Battery Park CLO II, Ltd. 144A FRB Ser. 22-1A, Class A1, (CME TERM SOFR 3 Month + 2.21%), 6.39%, 10/20/35 | 325000 | 322771 |
| Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 5.333%, 4/20/31 | 500000 | 493799 |
| Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 5.575%, 11/22/34 (Cayman Islands) | 461000 | 443845 |
| Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.05%), 5.375%, 4/24/29 (Cayman Islands) | 189812 | 187030 |
| BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.249%, 10/15/34 (Cayman Islands) | 250000 | 243278 |
| Canyon Capital CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.149%, 7/15/31 (Cayman Islands) | 250000 | 245347 |
| Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-3RA, Class A1A, (ICE LIBOR USD 3 Month + 1.05%), 5.408%, 7/27/31 (Cayman Islands) | 247958 | 244186 |
| CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.353%, 4/20/32 (Cayman Islands) | 490000 | 479952 |
| Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.328%, 7/27/30 (Cayman Islands) | 749952 | 738843 |
| CIFC Funding, Ltd. 144A FRB Ser. 21-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 5.275%, 10/24/30 (Cayman Islands) | 405000 | 399914 |
| Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.413%, 10/20/34 | 622000 | 603359 |
| Dryden CLO, Ltd. 144A FRB Ser. 21-72A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.686%, 5/15/32 (Cayman Islands) | 250000 | 244760 |
| Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (ICE LIBOR USD 3 Month + 1.20%), 5.279%, 4/16/34 (Cayman Islands) | 387000 | 376354 |
| Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 5.309%, 10/15/31 (Cayman Islands) | 249053 | 245886 |
| Gulf Stream Meridian 1, Ltd. 144A FRB Ser. 20-IA, Class A1, (ICE LIBOR USD 3 Month + 1.37%), 5.449%, 4/15/33 (Cayman Islands) | 250000 | 244826 |
| Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 5.279%, 7/15/34 (Cayman Islands) | 250000 | 244153 |
| ICG US CLO, Ltd. 144A FRB Ser. 18-1A, Class A2R, (ICE LIBOR USD 3 Month + 1.55%), 5.777%, 10/19/28 (Cayman Islands) | 250000 | 243270 |
| Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A1RR, (ICE LIBOR USD 3 Month + 1.24%), 5.598%, 7/25/34 (Cayman Islands) | 250000 | 243875 |
| LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.323%, 4/20/31 (Cayman Islands) | 566000 | 552831 |
| Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 5.725%, 10/22/30 (Cayman Islands) | 300000 | 289571 |
| Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 5.218%, 10/21/30 (Cayman Islands) | 750000 | 739380 |
| Madison Park Funding XXX, Ltd. 144A FRB Ser. 18-30A, Class A, (ICE LIBOR USD 3 Month + 0.75%), 4.829%, 4/15/29 | 239243 | 236157 |
| Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 5.399%, 4/15/32 (Cayman Islands) | 323000 | 316634 |
| Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 5.369%, 1/15/35 (Cayman Islands) | 250000 | 241090 |
| Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 250000 | 245044 |
| OCP CLO, Ltd. 144A FRB Ser. 21-13A, Class A1AR, (ICE LIBOR USD 3 Month + 0.96%), 5.039%, 7/15/30 (Cayman Islands) | 500000 | 492406 |
| OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.283%, 7/20/32 (Cayman Islands) | 568000 | 555411 |
| OZLM XVIII, Ltd. 144A FRB Ser. 18-18A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.099%, 4/15/31 (Cayman Islands) | 254000 | 248394 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.606%, 5/15/32 (Cayman Islands) | 378000 | 358032 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.39%), 5.633%, 1/20/34 (Cayman Islands) | 250000 | 244275 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 5.243%, 10/20/31 (Cayman Islands) | 250000 | 244152 |
| Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.413%, 7/20/34 (Cayman Islands) | 599000 | 583422 |
| Saranac CLO VI, Ltd. 144A FRB Ser. 21-6A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 5.873%, 8/13/31 (Jersey) | 300000 | 293456 |
| Shackleton CLO, Ltd. 144A FRB Ser. 18-4RA, Class A1A, (ICE LIBOR USD 3 Month + 1.00%), 4.941%, 4/13/31 (Cayman Islands) | 250000 | 245443 |
| Sixth Street CLO XVI, Ltd. 144A FRB Ser. 20-16A, Class A1A, (ICE LIBOR USD 3 Month + 1.32%), 5.563%, 10/20/32 (Cayman Islands) | 250000 | 247836 |
| Sound Point CLO XIV, Ltd. 144A FRB Ser. 21-3A, Class AR2, (ICE LIBOR USD 3 Month + 0.99%), 5.315%, 1/23/29 (Cayman Islands) | 207898 | 206230 |
| Sound Point CLO XVIII, Ltd. 144A FRB Ser. 18-4A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 5.363%, 1/21/31 (Cayman Islands) | 575000 | 563629 |
| Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.249%, 7/15/34 (Cayman Islands) | 500000 | 481765 |
| Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.413%, 7/20/34 (Cayman Islands) | 322000 | 309584 |
| Venture 33 CLO, Ltd. 144A FRB Ser. 21-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 5.139%, 7/15/31 (Cayman Islands) | 395000 | 387512 |
| Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (ICE LIBOR USD 3 Month + 1.26%), 5.339%, 1/15/32 (Cayman Islands) | 250000 | 243479 |
| Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 5.943%, 1/20/29 (Cayman Islands) | 250000 | 239807 |
| Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.179%, 7/17/31 | 250000 | 244745 |
| Zais CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.33%), 5.573%, 10/20/33 | 395000 | 386148 |
| Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 5.569%, 7/15/32 | 549000 | 538153 |
| **Total collateralized loan obligations (cost $21,190,802)** |  | **$20995625** |

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| | | |
|:---|:---|:---|
| **COMMODITY LINKED NOTES (0.5%)***<sup>(a)(CLN)</sup>*** | **COMMODITY LINKED NOTES (0.5%)***<sup>(a)(CLN)</sup>*** | **COMMODITY LINKED NOTES (0.5%)***<sup>(a)(CLN)</sup>*** |
| | **Principal amount** | **Value** |
| Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) | $14525000 | $12452158 |
| **Total commodity Linked Notes (cost $14,525,000)** |  | **$12452158** |

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| | | |
|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) | $400000 | $297000 |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) | 427000 | 369721 |
| Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 760000 | 644100 |
| Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia) | 370000 | 319538 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) | 435000 | 386063 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) | 350000 | 337750 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 246000 | 204198 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 605000 | 610494 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 271000 | 265109 |
| Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) | 430000 | 387882 |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 925000 | 906466 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 690000 | 677065 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) | 285000 | 283317 |
| Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 300000 | 311619 |
| Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | 540000 | 483910 |
| Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan) | 320000 | 330877 |
| Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama) | 490000 | 397513 |
| Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 230000 | 223388 |
| Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 230000 | 226263 |
| Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay) | 200000 | 176000 |
| Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania) | 720000 | 637006 |
| Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) | 300000 | 247500 |
| South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | 360000 | 341545 |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 830000 | 639949 |
| United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) | 820000 | 656220 |
| Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay) | 240000 | 303140 |
| **Total foreign government and agency bonds and notes (cost $11,549,477)** | **Total foreign government and agency bonds and notes (cost $11,549,477)** | **$10663633** |

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| | | |
|:---|:---|:---|
| **SENIOR LOANS (0.3%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (0.3%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (0.3%)***<sup>(a)(c)</sup>*** |
| | **Principal amount** | **Value** |
| Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 4/1/28 | $172375 | $170274 |
| AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 3.00%), 7.274%, 4/22/26 | 220682 | 118846 |
| American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.993%, 4/20/28 | 110000 | 109398 |
| AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.073%, 10/19/27 | 186218 | 179767 |
| Ascend Learning, LLC bank term loan FRN (ICE LIBOR USD 1 Month + 5.75%), 10.134%, 11/18/29 | 160000 | 136600 |
| Asurion, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.25%), 9.634%, 1/30/29 | 75000 | 57965 |
| Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 7.634%, 7/31/27 | 143068 | 124917 |
| Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.506%, 12/7/29 | 40000 | 40000 |
| Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.496%, 6/21/24 | 524648 | 468248 |
| BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.37%, 4/3/24 | 412729 | 402469 |
| Clarios Global LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.637%, 4/30/26 | 254042 | 248432 |
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.915%, 8/21/26 | 293483 | 266756 |
| CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (ICE LIBOR USD 3 Month + 3.50%), 7.884%, 11/23/27 | 263894 | 230432 |
| CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 8.48%, 5/27/28 | 280725 | 279049 |
| DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 9.384%, 7/22/27 | 466571 | 453255 |
| Epicor Software Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 7.75%), 12.134%, 7/30/28 | 120000 | 118020 |
| Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 8.422%, 10/2/25 | 151127 | 105317 |
| Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.384%, 12/1/27 | 181763 | 174152 |
| HUB International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.528%, 4/25/25 | 39496 | 39092 |
| iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 5/1/26 | 147114 | 135207 |
| IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 7.317%, 12/15/27 | 83513 | 80944 |
| Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.259%, 2/4/26 | 107578 | 95105 |
| MajorDrive Holdings IV, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.813%, 6/1/28 | 280429 | 262902 |
| Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 8.822%, 4/11/29 | 175000 | 155860 |
| One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 9.875%, 4/22/27 | 131970 | 107776 |
| PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 4.25%), 8.634%, 12/17/28 | 415800 | 345517 |
| PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.13%, 1/29/28 | 466917 | 455972 |
| Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 8.73%, 6/3/28 | 207028 | 188470 |
| Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 10.985%, 8/31/29 | 210000 | 200901 |
| Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 12.75%, 2/28/26 | 125000 | 64375 |
| Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.634%, 11/28/25 | 118200 | 113620 |
| Starfruit US Holdco, LLC bank term loan FRN Ser. B, (CME TERM SOFR 3 Month + 3.00%), 7.165%, 10/1/25 | 202069 | 198937 |
| TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.18%, 3/30/29 | 70000 | 62388 |
| TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 6.871%, 7/31/27 | 118211 | 113557 |
| UKG, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 5.25%), 8.998%, 5/3/27 | 155000 | 141903 |
| United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.108%, 4/21/28 | 225975 | 222712 |
| Vertiv Group Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 6.892%, 3/2/27 | 390860 | 376367 |
| Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 8.358%, 4/24/28 | 219444 | 181261 |
| **Total senior loans (cost $7,765,091)** |  | **$7226763** |

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| | | |
|:---|:---|:---|
| **INVESTMENT COMPANIES (0.2%)***<sup>(a)</sup>*** | **INVESTMENT COMPANIES (0.2%)***<sup>(a)</sup>*** | **INVESTMENT COMPANIES (0.2%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| iShares Russell 1000 Value ETF | 26295 | $3987637 |
| **Total investment companies (cost $3,593,437)** |  | **$3987637** |

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| | | |
|:---|:---|:---|
| **CONVERTIBLE PREFERRED STOCKS (0.2%)***<sup>(a)</sup>*** | **CONVERTIBLE PREFERRED STOCKS (0.2%)***<sup>(a)</sup>*** | **CONVERTIBLE PREFERRED STOCKS (0.2%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| Danaher Corp. 5.00% cv. pfd. | 1250 | $1696657 |
| T-Mobile US, Inc. 144A 5.25% cv. pfd.***<sup>(NON)</sup>*** | 1995 | 2282320 |
| **Total convertible preferred stocks (cost $3,303,326)** |  | **$3978977** |

---

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---

| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.1%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.1%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.1%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $185450 | $183132 |
| Mortgage Repurchase Agreement Financing Trust II 144A FRN Ser. 22-S1, Class A1, (US 30 Day Average SOFR + 2.00%), 5.805%, 3/30/25 | 450000 | 450000 |
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.06%, 1/17/23 | 783000 | 783000 |
| NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 5.139%, 5/25/55 | 389000 | 369392 |
| Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 5.573%, 5/29/23 | 900000 | 900000 |
| Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 4.989%, 1/25/46 | 210136 | 209629 |
| **Total asset-backed securities (cost $2,915,716)** |  | **$2895153** |

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------

---

| | | |
|:---|:---|:---|
| **UNITS (—%)***<sup>(a)</sup>*** | **UNITS (—%)***<sup>(a)</sup>*** | **UNITS (—%)***<sup>(a)</sup>*** |
| | **Units** | **Value** |
| Banco BTG Pactual SA (Brazil) | 200000 | $906861 |
| **Total units (cost $998,765)** |  | **$906861** |

---

------

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| | | |
|:---|:---|:---|
| **CONVERTIBLE BONDS AND NOTES (—%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (—%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (—%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | $125000 | $78313 |
| Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24 | 280000 | 257600 |
| Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 | 106000 | 101893 |
| **Total convertible bonds and notes (cost $465,875)** |  | **$437806** |

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| | | | | |
|:---|:---|:---|:---|:---|
| **PURCHASED OPTIONS OUTSTANDING (—%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (—%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (—%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (—%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (—%)***<sup>(a)</sup>*** |
| **Counterparty** | **Expiration date/<br>strike price** | **Notional<br>amount** | **Contract amount** | **Value** |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;Moderna, Inc. (Call) | Jun-23/$261.50 | $7690610 | $42816 | $357542 |
| **Total purchased options outstanding (cost $770,688)** |  |  |  | **$357542** |

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (8.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (8.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (8.7%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (8.7%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| Gotham Funding Corp. asset backed commercial paper 4.382%, 2/14/23 (Japan) |  | $12650000 | $12578054 |
| Manhattan Asset Funding Co., LLC asset backed commercial paper 4.435%, 2/17/23 (Japan) |  | 12500000 | 12424221 |
| Putnam Short Term Investment Fund Class P 4.53%***<sup>(AFF)</sup>*** | Shares | 151755485 | 151755485 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.12%***<sup>(P)</sup>*** | Shares | 1691000 | 1691000 |
| TotalEnergies Capital Canada, Ltd. commercial paper 4.345%, 1/13/23 (Canada) |  | $11970000 | 11949575 |
| U.S. Treasury Bills 3.967%, 1/3/23***<sup>(SEG)(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 5300000 | 5300000 |
| U.S. Treasury Bills 3.963%, 1/17/23***<sup>(SEG)(SEGCCS)</sup>*** |  | 1000000 | 998569 |
| U.S. Treasury Bills 3.814%, 2/2/23 |  | 4500000 | 4485722 |
| U.S. Treasury Bills 3.788%, 1/10/23***<sup>(SEG)(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 6100000 | 6095709 |
| U.S. Treasury Bills 3.763%, 1/24/23***<sup>(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 400000 | 399104 |
| U.S. Treasury Bills 3.652%, 1/12/23***<sup>(SEG)(SEGCCS)(SEGTBA)</sup>*** |  | 5300000 | 5295398 |
| **Total short-term investments (cost $212,980,768)** |  |  | **$212972837** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $2,372,614,724)** |  |  | **$2631467885** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $130,886,848) (Unaudited)** |
|  | **Counterparty** | **Currency** | **Contract type\*** | **Delivery<br>date** | **Value** | **Aggregate face value** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  |  | British Pound | Sell | 3/15/23 | $7324206 | $7393522 | $69316 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 1916313 | 1900454 | (15859) |
|  |  | New Taiwan Dollar | Buy | 2/15/23 | 5208507 | 4998326 | 210181 |
|  | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
|  |  | British Pound | Sell | 3/15/23 | 5829645 | 5883550 | 53905 |
|  |  | Hong Kong Dollar | Buy | 2/15/23 | 373089 | 371073 | 2016 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 7394265 | 7030473 | 363792 |
|  |  | Japanese Yen | Buy | 2/15/23 | 6467027 | 5815969 | 651058 |
|  | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
|  |  | Norwegian Krone | Sell | 3/15/23 | 588193 | 579102 | (9091) |
|  |  | Singapore Dollar | Sell | 2/15/23 | 5395609 | 5121174 | (274435) |
|  |  | South Korean Won | Buy | 2/15/23 | 1885110 | 1690854 | 194256 |
|  |  | Swedish Krona | Buy | 3/15/23 | 2989555 | 2992531 | (2976) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  |  | British Pound | Sell | 3/15/23 | 7289812 | 7357874 | 68062 |
|  |  | Euro | Sell | 3/15/23 | 11666964 | 11480324 | (186640) |
|  |  | Swedish Krona | Buy | 3/15/23 | 4182587 | 4184102 | (1515) |
|  |  | Swiss Franc | Buy | 3/15/23 | 2672729 | 2619571 | 53158 |
|  | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** |
|  |  | Australian Dollar | Buy | 1/18/23 | 3453863 | 3285892 | 167971 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 6785205 | 6730678 | (54527) |
|  |  | Euro | Sell | 3/15/23 | 12562172 | 12348513 | (213659) |
|  | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** |
|  |  | Australian Dollar | Buy | 1/18/23 | 4688465 | 4352952 | 335513 |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 7752819 | 7377081 | 375739 |
|  |  | Danish Krone | Buy | 3/15/23 | 2290170 | 2224894 | 65276 |
|  |  | Swiss Franc | Buy | 3/15/23 | 8235483 | 8075398 | 160085 |
|  | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
|  |  | British Pound | Sell | 3/15/23 | 7654460 | 7727178 | 72718 |
|  | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** |
|  |  | Japanese Yen | Sell | 2/15/23 | 9653841 | 9345363 | (308478) |
|  | **Unrealized appreciation** | **Unrealized appreciation** |  |  |  |  | **2843046** |
|  | **Unrealized (depreciation)** | **Unrealized (depreciation)** |  |  |  |  | **(1067180)** |
|  | **Total** |  |  |  |  |  | **$1775866** |
| \* | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| MSCI EAFE Index (Long) | 89 | $8650466 | $8674830 | &nbsp;&nbsp;&nbsp;Mar-23 | $(134014) |
| Russell 2000 Index E-Mini (Long) | 111 | 9774915 | 9828495 | &nbsp;&nbsp;&nbsp;Mar-23 | (216760) |
| S&P 500 Index E-Mini (Long) | 414 | 79477650 | 79922700 | &nbsp;&nbsp;&nbsp;Mar-23 | (2095221) |
| S&P 500 Index E-Mini (Short) | 1157 | 222115075 | 223358850 | &nbsp;&nbsp;&nbsp;Mar-23 | 6235281 |
| S&P Mid Cap 400 Index E-Mini (Long) | 3 | 729114 | 732780 | &nbsp;&nbsp;&nbsp;Mar-23 | 4382 |
| U.S. Treasury Bond 30 yr (Long) | 115 | 14414531 | 14414532 | &nbsp;&nbsp;&nbsp;Mar-23 | (109642) |
| U.S. Treasury Bond Ultra 30 yr (Long) | 167 | 22430188 | 22430188 | &nbsp;&nbsp;&nbsp;Mar-23 | (222798) |
| U.S. Treasury Bond Ultra 30 yr (Short) | 6 | 805875 | 805875 | &nbsp;&nbsp;&nbsp;Mar-23 | 5924 |
| U.S. Treasury Note 2 yr (Long) | 228 | 46757813 | 46757813 | &nbsp;&nbsp;&nbsp;Mar-23 | 34019 |
| U.S. Treasury Note 5 yr (Long) | 426 | 45978047 | 45978047 | &nbsp;&nbsp;&nbsp;Mar-23 | (105388) |
| U.S. Treasury Note 5 yr (Short) | 30 | 3237891 | 3237891 | &nbsp;&nbsp;&nbsp;Mar-23 | 7737 |
| U.S. Treasury Note 10 yr (Long) | 256 | 28748000 | 28748000 | &nbsp;&nbsp;&nbsp;Mar-23 | (181029) |
| U.S. Treasury Note Ultra 10 yr (Long) | 6 | 709688 | 709688 | &nbsp;&nbsp;&nbsp;Mar-23 | (4998) |
| **Unrealized appreciation** |  |  |  |  | **6287343** |
| **Unrealized (depreciation)** |  |  |  |  | **(3069850)** |
| **Total** |  |  |  |  | **$3217493** |

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| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $30,134,688) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $30,134,688) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $30,134,688) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $30,134,688) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Uniform Mortgage-Backed Securities, 5.00%, 1/1/53 | $2000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1972188 |
| Uniform Mortgage-Backed Securities, 4.50%, 1/1/53 | 2000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1927812 |
| Uniform Mortgage-Backed Securities, 4.00%, 1/1/53 | 2000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1877499 |
| Uniform Mortgage-Backed Securities, 3.00%, 1/1/53 | 11000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9663672 |
| Uniform Mortgage-Backed Securities, 2.50%, 1/1/53 | 8000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6782500 |
| Uniform Mortgage-Backed Securities, 2.00%, 1/1/53 | 9000000 | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7345969 |
| **Total** |  |  | **$29569640** |

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| | | | | |
|:---|:---|:---|:---|:---|
| **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $554,608) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $554,608) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $554,608) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $554,608) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $554,608) (Unaudited)** |
| **Counterparty** | **Expiration date/<br>strike price** | **Notional<br>amount** | **Contract amount** | **Value** |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;Moderna, Inc. (Call) | Jun-23/$281.60 | $7690610 | $42816 | $252822 |
| **Total** |  |  |  | **$252822** |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;&nbsp;&nbsp;**Payments made<br>by fund** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $104001000 | $470085 ***<sup>(E)</sup>*** | $(337232) | 3/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;4.10% — Annually | US SOFR — Annually | $132853 |
|  |  | 30459000 | 137675 ***<sup>(E)</sup>*** | 100793 | 3/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;US SOFR — Annually | 4.10% — Annually | (36882) |
|  |  | 36155000 | 15547 ***<sup>(E)</sup>*** | 145126 | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | 129579 |
|  |  | 41259000 | 786397 ***<sup>(E)</sup>*** | (577544) | 3/15/33 | &nbsp;&nbsp;&nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | 208851 |
|  |  | 17576000 | 334999 ***<sup>(E)</sup>*** | 248246 | 3/15/33 | &nbsp;&nbsp;&nbsp;&nbsp;US SOFR — Annually | 3.30% — Annually | (86752) |
|  |  | 13721000 | 748892 ***<sup>(E)</sup>*** | 670686 | 3/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | (78205) |
|  |  | 2929000 | 8377 | (39) | 12/29/32 | &nbsp;&nbsp;&nbsp;&nbsp;3.5235% — Annually | US SOFR — Annually | 8528 |
|  | **Total** |  |  | **$250036** |  |  |  | **$277972** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;&nbsp;&nbsp;**Payments received<br>(paid) by fund** | **Total return received by or paid by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  | $77416967 | $72193053 | $— | 12/1/32 | &nbsp;&nbsp;&nbsp;&nbsp;(US SOFR plus 0.40%) — Monthly | A basket (BCPUDEAL) of common stocks — Monthly\* | $(5410852) |
|  | 77711221 | 72495261 |  | 12/1/23 | &nbsp;&nbsp;&nbsp;&nbsp;US SOFR plus 0.25% — Monthly | A basket (BCPUDEAS) of common stocks — Monthly\* | 5366359 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | 104717396 | 104068755 |  | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;(US SOFR plus 0.40%) — Monthly | A basket (GSGLPWDL) of common stocks — Monthly\* | (759811) |
|  | 100145581 | 99421617 |  | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;US SOFR minus 0.25% — Monthly | A basket (GSGLPWDS) of common stocks — Monthly\* | 754400 |
|  | 41122 | 40492 |  | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;(US SOFR plus 0.40%) — Monthly | Evraz PLC — Monthly | (699) |
|  | **Upfront premium received** | **Upfront premium received** | **—** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | **6120759** |
|  | **Upfront premium (paid)** | **Upfront premium (paid)** | **—** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | **(6171362)** |
|  |  | **Total** | **$—** |  |  | **Total** | **$(50603)** |
| ***\**** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** | ***The 50 largest components, and any individual component greater than 1% of basket value, are shown below.*** |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (BCPUDEAL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAL) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Altice USA, Inc. Class A | &nbsp;&nbsp;Communication services | 212491 | $977456 | 1.35% |
| &nbsp;&nbsp;American International Group, Inc. | &nbsp;&nbsp;Financials | 15353 | 970942 | 1.34% |
| &nbsp;&nbsp;Textron, Inc. | &nbsp;&nbsp;Capital goods | 13574 | 961038 | 1.33% |
| &nbsp;&nbsp;Targa Resources Corp. | &nbsp;&nbsp;Energy | 13025 | 957359 | 1.33% |
| &nbsp;&nbsp;Toll Brothers, Inc. | &nbsp;&nbsp;Consumer cyclicals | 19147 | 955814 | 1.32% |
| &nbsp;&nbsp;O'Reilly Automotive, Inc. | &nbsp;&nbsp;Consumer cyclicals | 1121 | 945773 | 1.31% |
| &nbsp;&nbsp;Johnson Controls International PLC | &nbsp;&nbsp;Capital goods | 14584 | 933352 | 1.29% |
| &nbsp;&nbsp;Gartner, Inc. | &nbsp;&nbsp;Consumer cyclicals | 2765 | 929410 | 1.29% |
| &nbsp;&nbsp;Hologic, Inc. | &nbsp;&nbsp;Health care | 12383 | 926379 | 1.28% |
| &nbsp;&nbsp;General Dynamics Corp. | &nbsp;&nbsp;Capital goods | 3710 | 920499 | 1.28% |
| &nbsp;&nbsp;Valero Energy Corp. | &nbsp;&nbsp;Energy | 7251 | 919895 | 1.27% |
| &nbsp;&nbsp;Ulta Beauty, Inc. | &nbsp;&nbsp;Consumer staples | 1957 | 918077 | 1.27% |
| &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;Health care | 5652 | 913347 | 1.27% |
| &nbsp;&nbsp;Allison Transmission Holdings, Inc. | &nbsp;&nbsp;Capital goods | 21628 | 899725 | 1.25% |
| &nbsp;&nbsp;Apollo Global Management, Inc. | &nbsp;&nbsp;Financials | 13964 | 890749 | 1.23% |
| &nbsp;&nbsp;Genuine Parts Co. | &nbsp;&nbsp;Consumer cyclicals | 5127 | 889562 | 1.23% |
| &nbsp;&nbsp;Constellation Energy Corp. | &nbsp;&nbsp;Utilities and power | 10080 | 868991 | 1.20% |
| &nbsp;&nbsp;Booking Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 430 | 865592 | 1.20% |
| &nbsp;&nbsp;Boyd Gaming Corp. | &nbsp;&nbsp;Consumer cyclicals | 15799 | 861493 | 1.19% |
| &nbsp;&nbsp;Wyndham Hotels & Resorts, Inc. | &nbsp;&nbsp;Consumer cyclicals | 12060 | 860023 | 1.19% |
| &nbsp;&nbsp;MGIC Investment Corp. | &nbsp;&nbsp;Financials | 65355 | 849614 | 1.18% |
| &nbsp;&nbsp;Cadence Design Systems, Inc. | &nbsp;&nbsp;Technology | 5236 | 841128 | 1.17% |
| &nbsp;&nbsp;Unum Group | &nbsp;&nbsp;Financials | 20462 | 839553 | 1.16% |
| &nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp;Health care | 7559 | 838685 | 1.16% |
| &nbsp;&nbsp;Pure Storage, Inc. Class A | &nbsp;&nbsp;Technology | 31244 | 836081 | 1.16% |
| &nbsp;&nbsp;Marathon Oil Corp. | &nbsp;&nbsp;Energy | 30746 | 832302 | 1.15% |
| &nbsp;&nbsp;Wix.com, Ltd. (Israel) | &nbsp;&nbsp;Technology | 10692 | 821493 | 1.14% |
| &nbsp;&nbsp;Synopsys, Inc. | &nbsp;&nbsp;Technology | 2570 | 820460 | 1.14% |
| &nbsp;&nbsp;Molina Healthcare, Inc. | &nbsp;&nbsp;Health care | 2450 | 808920 | 1.12% |
| &nbsp;&nbsp;Wintrust Financial Corp. | &nbsp;&nbsp;Financials | 9545 | 806770 | 1.12% |
| &nbsp;&nbsp;ON Semiconductor Corp. | &nbsp;&nbsp;Technology | 12885 | 803613 | 1.11% |
| &nbsp;&nbsp;Autonation, Inc. | &nbsp;&nbsp;Consumer cyclicals | 7472 | 801770 | 1.11% |
| &nbsp;&nbsp;Manhattan Associates, Inc. | &nbsp;&nbsp;Technology | 6571 | 797719 | 1.10% |
| &nbsp;&nbsp;East West Bancorp, Inc. | &nbsp;&nbsp;Financials | 12064 | 795049 | 1.10% |
| &nbsp;&nbsp;Procore Technologies, Inc. | &nbsp;&nbsp;Technology | 16207 | 764624 | 1.06% |
| &nbsp;&nbsp;Freeport-McMoRan, Inc. (Indonesia) | &nbsp;&nbsp;Basic materials | 19930 | 757333 | 1.05% |
| &nbsp;&nbsp;Virtu Financial, Inc. Class A | &nbsp;&nbsp;Financials | 36983 | 754822 | 1.05% |
| &nbsp;&nbsp;ManpowerGroup, Inc. | &nbsp;&nbsp;Consumer staples | 9028 | 751227 | 1.04% |
| &nbsp;&nbsp;Smartsheet, Inc. Class A | &nbsp;&nbsp;Technology | 18767 | 738671 | 1.02% |
| &nbsp;&nbsp;Uber Technologies, Inc. | &nbsp;&nbsp;Consumer staples | 29569 | 731233 | 1.01% |
| &nbsp;&nbsp;Bio-Rad Laboratories, Inc. Class A | &nbsp;&nbsp;Health care | 1736 | 730082 | 1.01% |
| &nbsp;&nbsp;Apartment Income REIT Corp. | &nbsp;&nbsp;Financials | 20961 | 719171 | 1.00% |
| &nbsp;&nbsp;WestRock Co. | &nbsp;&nbsp;Basic materials | 19930 | 700732 | 0.97% |
| &nbsp;&nbsp;Travel + Leisure Co. | &nbsp;&nbsp;Consumer cyclicals | 18907 | 688212 | 0.95% |
| &nbsp;&nbsp;Tapestry, Inc. | &nbsp;&nbsp;Consumer cyclicals | 17927 | 682662 | 0.95% |
| &nbsp;&nbsp;Live Nation Entertainment, Inc. | &nbsp;&nbsp;Consumer cyclicals | 9715 | 677522 | 0.94% |
| &nbsp;&nbsp;Pinterest, Inc. Class A | &nbsp;&nbsp;Technology | 26997 | 655496 | 0.91% |
| &nbsp;&nbsp;Expedia Group, Inc. | &nbsp;&nbsp;Consumer cyclicals | 7471 | 654495 | 0.91% |
| &nbsp;&nbsp;NRG Energy, Inc. | &nbsp;&nbsp;Utilities and power | 20510 | 652626 | 0.90% |
| &nbsp;&nbsp;Penske Automotive Group, Inc. | &nbsp;&nbsp;Consumer cyclicals | 5601 | 643731 | 0.89% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (BCPUDEAS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (BCPUDEAS) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Five Below, Inc. | &nbsp;&nbsp;Consumer cyclicals | 6005 | $1062176 | 1.47% |
| &nbsp;&nbsp;Universal Health Services, Inc. Class B | &nbsp;&nbsp;Health care | 7382 | 1040111 | 1.43% |
| &nbsp;&nbsp;Shift4 Payments, Inc. Class A | &nbsp;&nbsp;Consumer cyclicals | 18345 | 1026035 | 1.42% |
| &nbsp;&nbsp;BioMarin Pharmaceutical, Inc. | &nbsp;&nbsp;Health care | 9567 | 990039 | 1.37% |
| &nbsp;&nbsp;Air Products & Chemicals, Inc. | &nbsp;&nbsp;Basic materials | 3114 | 959989 | 1.32% |
| &nbsp;&nbsp;Ross Stores, Inc. | &nbsp;&nbsp;Consumer cyclicals | 8209 | 952855 | 1.31% |
| &nbsp;&nbsp;Wynn Resorts, Ltd. | &nbsp;&nbsp;Consumer cyclicals | 11547 | 952314 | 1.31% |
| &nbsp;&nbsp;Berkshire Hathaway, Inc. Class B | &nbsp;&nbsp;Financials | 3032 | 936721 | 1.29% |
| &nbsp;&nbsp;BWX Technologies, Inc. | &nbsp;&nbsp;Capital goods | 15865 | 921449 | 1.27% |
| &nbsp;&nbsp;RPM International, Inc. | &nbsp;&nbsp;Basic materials | 9323 | 908510 | 1.25% |
| &nbsp;&nbsp;Ceridian HCM Holding, Inc. | &nbsp;&nbsp;Technology | 14115 | 905462 | 1.25% |
| &nbsp;&nbsp;Cooper Cos., Inc. (The) | &nbsp;&nbsp;Health care | 2718 | 898667 | 1.24% |
| &nbsp;&nbsp;TD SYNNEX Corp. | &nbsp;&nbsp;Technology | 9443 | 894388 | 1.23% |
| &nbsp;&nbsp;Exact Sciences Corp. | &nbsp;&nbsp;Health care | 18031 | 892719 | 1.23% |
| &nbsp;&nbsp;Commerce Bancshares, Inc./MO | &nbsp;&nbsp;Financials | 13072 | 889831 | 1.23% |
| &nbsp;&nbsp;Becton Dickinson and Co. | &nbsp;&nbsp;Health care | 3463 | 880594 | 1.21% |
| &nbsp;&nbsp;NextEra Energy, Inc. | &nbsp;&nbsp;Utilities and power | 10392 | 868750 | 1.20% |
| &nbsp;&nbsp;Equifax, Inc. | &nbsp;&nbsp;Consumer cyclicals | 4429 | 860878 | 1.19% |
| &nbsp;&nbsp;Erie Indemnity Co. Class A | &nbsp;&nbsp;Financials | 3421 | 850793 | 1.17% |
| &nbsp;&nbsp;Texas Instruments, Inc. | &nbsp;&nbsp;Technology | 5143 | 849727 | 1.17% |
| &nbsp;&nbsp;T Rowe Price Group, Inc. | &nbsp;&nbsp;Financials | 7447 | 812155 | 1.12% |
| &nbsp;&nbsp;Royal Caribbean Cruises, Ltd. | &nbsp;&nbsp;Consumer cyclicals | 16120 | 796792 | 1.10% |
| &nbsp;&nbsp;Pioneer Natural Resources Co. | &nbsp;&nbsp;Energy | 3452 | 788419 | 1.09% |
| &nbsp;&nbsp;New York Community Bancorp, Inc. | &nbsp;&nbsp;Financials | 91520 | 787072 | 1.09% |
| &nbsp;&nbsp;Boston Beer Co., Inc. Class A | &nbsp;&nbsp;Consumer staples | 2387 | 786661 | 1.09% |
| &nbsp;&nbsp;Floor & Decor Holdings, Inc. Class A | &nbsp;&nbsp;Consumer cyclicals | 11276 | 785122 | 1.08% |
| &nbsp;&nbsp;Kemper Corp. | &nbsp;&nbsp;Financials | 15814 | 778047 | 1.07% |
| &nbsp;&nbsp;Domino's Pizza, Inc. | &nbsp;&nbsp;Consumer staples | 2219 | 768585 | 1.06% |
| &nbsp;&nbsp;General Electric Co. | &nbsp;&nbsp;Conglomerates | 9154 | 767040 | 1.06% |
| &nbsp;&nbsp;NortonLifeLock, Inc. | &nbsp;&nbsp;Technology | 35287 | 756207 | 1.04% |
| &nbsp;&nbsp;Tyler Technologties, Inc. | &nbsp;&nbsp;Technology | 2291 | 738527 | 1.02% |
| &nbsp;&nbsp;Broadridge Financial Solutions, Inc. | &nbsp;&nbsp;Financials | 5480 | 735037 | 1.01% |
| &nbsp;&nbsp;Param,ount Global Class B | &nbsp;&nbsp;Consumer cyclicals | 43223 | 729608 | 1.01% |
| &nbsp;&nbsp;Polaris, Inc. | &nbsp;&nbsp;Consumer cyclicals | 7173 | 724518 | 1.00% |
| &nbsp;&nbsp;Norwegian Cruise Line Holdings, Ltd. | &nbsp;&nbsp;Consumer cyclicals | 58760 | 719228 | 0.99% |
| &nbsp;&nbsp;Take-Two Interactive Software, Inc. | &nbsp;&nbsp;Technology | 6879 | 716263 | 0.99% |
| &nbsp;&nbsp;Prudential Financial, Inc. | &nbsp;&nbsp;Financials | 7094 | 705583 | 0.97% |
| &nbsp;&nbsp;Aspen Technology, Inc. | &nbsp;&nbsp;Technology | 3417 | 701930 | 0.97% |
| &nbsp;&nbsp;New Fortress Energy, Inc. | &nbsp;&nbsp;Energy | 16473 | 698791 | 0.96% |
| &nbsp;&nbsp;Organon & Co. | &nbsp;&nbsp;Health care | 24980 | 697687 | 0.96% |
| &nbsp;&nbsp;Carnival Corp. | &nbsp;&nbsp;Consumer cyclicals | 85574 | 689727 | 0.95% |
| &nbsp;&nbsp;Welltower, Inc. | &nbsp;&nbsp;Financials | 10376 | 680150 | 0.94% |
| &nbsp;&nbsp;Digital Realty Trust, Inc. | &nbsp;&nbsp;Financials | 6778 | 679606 | 0.94% |
| &nbsp;&nbsp;Driven Brands Holdings, Inc. | &nbsp;&nbsp;Consumer cyclicals | 23964 | 654451 | 0.90% |
| &nbsp;&nbsp;Boeing Co. (The) | &nbsp;&nbsp;Capital goods | 3403 | 648302 | 0.89% |
| &nbsp;&nbsp;Ball Corp. | &nbsp;&nbsp;Capital goods | 12634 | 646085 | 0.89% |
| &nbsp;&nbsp;Thor Industries, Inc. | &nbsp;&nbsp;Consumer cyclicals | 8261 | 623650 | 0.86% |
| &nbsp;&nbsp;Caterpillar, Inc. | &nbsp;&nbsp;Capital goods | 2578 | 617612 | 0.85% |
| &nbsp;&nbsp;Stanley Black & Decker, Inc. | &nbsp;&nbsp;Consumer cyclicals | 8084 | 607252 | 0.84% |
| &nbsp;&nbsp;CH Robinson Worldwide, Inc. | &nbsp;&nbsp;Transportation | 6367 | 582982 | 0.80% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDL) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;Energias de Portugal (EDP) SA (Portugal) | &nbsp;&nbsp;Utilities and power | 144986 | $720453 | 0.69% |
| &nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp;Health care | 6115 | 678483 | 0.65% |
| &nbsp;&nbsp;Eiffage SA (France) | &nbsp;&nbsp;Basic materials | 6786 | 665680 | 0.64% |
| &nbsp;&nbsp;Exxon Mobil Corp. | &nbsp;&nbsp;Energy | 6025 | 664530 | 0.64% |
| &nbsp;&nbsp;Chevron Corp. | &nbsp;&nbsp;Energy | 3681 | 660696 | 0.63% |
| &nbsp;&nbsp;Vinci SA (France) | &nbsp;&nbsp;Capital goods | 6635 | 660563 | 0.63% |
| &nbsp;&nbsp;PepsiCo, Inc. | &nbsp;&nbsp;Consumer staples | 3646 | 658618 | 0.63% |
| &nbsp;&nbsp;Fortive Corp. | &nbsp;&nbsp;Capital goods | 10170 | 653445 | 0.63% |
| &nbsp;&nbsp;Keysight Technologies, Inc. | &nbsp;&nbsp;Technology | 3819 | 653295 | 0.63% |
| &nbsp;&nbsp;Kirin Holdings Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer staples | 41765 | 636551 | 0.61% |
| &nbsp;&nbsp;SEI Investments Co. | &nbsp;&nbsp;Financials | 10821 | 630874 | 0.61% |
| &nbsp;&nbsp;Hershey Co. (The) | &nbsp;&nbsp;Consumer staples | 2716 | 628884 | 0.60% |
| &nbsp;&nbsp;Diageo PLC (United Kingdom) | &nbsp;&nbsp;Consumer staples | 14253 | 625805 | 0.60% |
| &nbsp;&nbsp;Secom Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 10879 | 621946 | 0.60% |
| &nbsp;&nbsp;Weyerhaeuser Co. | &nbsp;&nbsp;Basic materials | 20060 | 621867 | 0.60% |
| &nbsp;&nbsp;Hartford Financial Services Group, Inc. (The) | &nbsp;&nbsp;Financials | 8135 | 616839 | 0.59% |
| &nbsp;&nbsp;Textron, Inc. | &nbsp;&nbsp;Capital goods | 8597 | 608676 | 0.58% |
| &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;Communication services | 32949 | 606582 | 0.58% |
| &nbsp;&nbsp;Philip Morris International, Inc. | &nbsp;&nbsp;Consumer staples | 5990 | 606270 | 0.58% |
| &nbsp;&nbsp;Cummins, Inc. | &nbsp;&nbsp;Capital goods | 2486 | 602320 | 0.58% |
| &nbsp;&nbsp;Ferrari NV (Italy) | &nbsp;&nbsp;Consumer cyclicals | 2799 | 598030 | 0.57% |
| &nbsp;&nbsp;GoDaddy, Inc. Class A | &nbsp;&nbsp;Technology | 7975 | 596718 | 0.57% |
| &nbsp;&nbsp;MSCI, Inc. | &nbsp;&nbsp;Technology | 1270 | 590546 | 0.57% |
| &nbsp;&nbsp;FactSet Research Systems, Inc. | &nbsp;&nbsp;Consumer cyclicals | 1469 | 589309 | 0.57% |
| &nbsp;&nbsp;Garmin, Ltd. | &nbsp;&nbsp;Technology | 6243 | 576170 | 0.55% |
| &nbsp;&nbsp;Canadian Utilities, Ltd. Class A (Canada) | &nbsp;&nbsp;Utilities and power | 21221 | 573998 | 0.55% |
| &nbsp;&nbsp;Marubeni Corp. (Japan) | &nbsp;&nbsp;Conglomerates | 49592 | 569417 | 0.55% |
| &nbsp;&nbsp;Chubb, Ltd. | &nbsp;&nbsp;Financials | 2522 | 556418 | 0.53% |
| &nbsp;&nbsp;Agilent Technologies, Inc. | &nbsp;&nbsp;Technology | 3691 | 552367 | 0.53% |
| &nbsp;&nbsp;Colgate-Palmolive Co. | &nbsp;&nbsp;Consumer staples | 6759 | 532539 | 0.51% |
| &nbsp;&nbsp;Sekisui Chemical Co., Ltd. (Japan) | &nbsp;&nbsp;Financials | 37670 | 526741 | 0.51% |
| &nbsp;&nbsp;Gilead Sciences, Inc. | &nbsp;&nbsp;Health care | 6006 | 515647 | 0.50% |
| &nbsp;&nbsp;Bezeq The Israeli Telecommunication Corp., Ltd. (Israel) | &nbsp;&nbsp;Communication services | 294154 | 505610 | 0.49% |
| &nbsp;&nbsp;Leidos Holdings, Inc. | &nbsp;&nbsp;Technology | 4761 | 500818 | 0.48% |
| &nbsp;&nbsp;Shell PLC (London Exchange) (United Kingdom) | &nbsp;&nbsp;Energy | 17880 | 500272 | 0.48% |
| &nbsp;&nbsp;Nestle SA (Switzerland) | &nbsp;&nbsp;Consumer staples | 4305 | 498542 | 0.48% |
| &nbsp;&nbsp;Nitto Denko Corp. (Japan) | &nbsp;&nbsp;Basic materials | 8383 | 486052 | 0.47% |
| &nbsp;&nbsp;Avery Dennison Corp. | &nbsp;&nbsp;Basic materials | 2678 | 484751 | 0.47% |
| &nbsp;&nbsp;Mettler-Toledo International, Inc. | &nbsp;&nbsp;Health care | 333 | 481307 | 0.46% |
| &nbsp;&nbsp;VeriSign, Inc. | &nbsp;&nbsp;Technology | 2329 | 478521 | 0.46% |
| &nbsp;&nbsp;ConocoPhillips | &nbsp;&nbsp;Energy | 4054 | 478315 | 0.46% |
| &nbsp;&nbsp;Toppan, Inc. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 31965 | 473369 | 0.45% |
| &nbsp;&nbsp;Aristocrat Leisure, Ltd. (Australia) | &nbsp;&nbsp;Consumer cyclicals | 22864 | 473224 | 0.45% |
| &nbsp;&nbsp;Recruit Holdings Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer staples | 14865 | 470577 | 0.45% |
| &nbsp;&nbsp;Red Electrica Corporacion SA (Spain) | &nbsp;&nbsp;Utilities and power | 26538 | 460521 | 0.44% |
| &nbsp;&nbsp;3M Co. | &nbsp;&nbsp;Conglomerates | 3791 | 454667 | 0.44% |
| &nbsp;&nbsp;Dropbox, Inc. Class A | &nbsp;&nbsp;Technology | 20259 | 453385 | 0.44% |
| &nbsp;&nbsp;Daito Trust Construction Co., Ltd. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 4404 | 451918 | 0.43% |
| &nbsp;&nbsp;Power Assets Holdings, Ltd. (Hong Kong) | &nbsp;&nbsp;Utilities and power | 81952 | 448876 | 0.43% |
| &nbsp;&nbsp;NetApp, Inc. | &nbsp;&nbsp;Technology | 7417 | 445468 | 0.43% |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** | &nbsp;&nbsp;**A BASKET (GSGLPWDS) OF COMMON STOCKS** |
| &nbsp;&nbsp;**Common stocks** | &nbsp;&nbsp;**Sector** | **Shares** | **Value** | **Percentage value** |
| &nbsp;&nbsp;SoftBank Corp. (Japan) | &nbsp;&nbsp;Communication services | 58772 | $666362 | 0.67% |
| &nbsp;&nbsp;CGI Group, Inc. Class A (Canada) | &nbsp;&nbsp;Technology | 7475 | 644344 | 0.65% |
| &nbsp;&nbsp;Enel SpA (Italy) | &nbsp;&nbsp;Utilities and power | 119507 | 643471 | 0.65% |
| &nbsp;&nbsp;Allianz SE (Germany) | &nbsp;&nbsp;Financials | 2964 | 637338 | 0.64% |
| &nbsp;&nbsp;Reed Elsevier (United Kingdom) | &nbsp;&nbsp;Consumer cyclicals | 23021 | 636767 | 0.64% |
| &nbsp;&nbsp;Solvay SA (France) | &nbsp;&nbsp;Basic materials | 6274 | 634373 | 0.64% |
| &nbsp;&nbsp;LVMH Moet Hennessy Louis Vuitton SA (France) | &nbsp;&nbsp;Consumer cyclicals | 869 | 632655 | 0.64% |
| &nbsp;&nbsp;Visa, Inc. Class A | &nbsp;&nbsp;Financials | 3028 | 629126 | 0.63% |
| &nbsp;&nbsp;AXA SA (France) | &nbsp;&nbsp;Financials | 22307 | 622159 | 0.63% |
| &nbsp;&nbsp;Imperial Brands PLC (United Kingdom) | &nbsp;&nbsp;Consumer staples | 24831 | 621710 | 0.63% |
| &nbsp;&nbsp;BNP Paribas SA (France) | &nbsp;&nbsp;Financials | 10881 | 620234 | 0.62% |
| &nbsp;&nbsp;Air Liquide SA (France) | &nbsp;&nbsp;Basic materials | 4357 | 617570 | 0.62% |
| &nbsp;&nbsp;Orange SA (France) | &nbsp;&nbsp;Communication services | 61988 | 615842 | 0.62% |
| &nbsp;&nbsp;Moody's Corp. | &nbsp;&nbsp;Consumer cyclicals | 2179 | 607233 | 0.61% |
| &nbsp;&nbsp;Toyota Motor Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 43592 | 602034 | 0.61% |
| &nbsp;&nbsp;Equifax, Inc. | &nbsp;&nbsp;Consumer cyclicals | 2980 | 579145 | 0.58% |
| &nbsp;&nbsp;Waste Connections, Inc. | &nbsp;&nbsp;Capital goods | 4277 | 566961 | 0.57% |
| &nbsp;&nbsp;BlackRock, Inc. | &nbsp;&nbsp;Financials | 752 | 532993 | 0.54% |
| &nbsp;&nbsp;Swisscom AG (Switzerland) | &nbsp;&nbsp;Communication services | 961 | 526514 | 0.53% |
| &nbsp;&nbsp;Bridgestone Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 14704 | 525562 | 0.53% |
| &nbsp;&nbsp;Berkshire Hathaway, Inc. Class B | &nbsp;&nbsp;Financials | 1685 | 520596 | 0.52% |
| &nbsp;&nbsp;Heineken NV (Netherlands) | &nbsp;&nbsp;Consumer staples | 5523 | 519542 | 0.52% |
| &nbsp;&nbsp;EssilorLuxottica SA (France) | &nbsp;&nbsp;Health care | 2851 | 516435 | 0.52% |
| &nbsp;&nbsp;NICE, Ltd. (Israel) | &nbsp;&nbsp;Communication services | 2653 | 513220 | 0.52% |
| &nbsp;&nbsp;Cooper Cos., Inc. (The) | &nbsp;&nbsp;Health care | 1540 | 509223 | 0.51% |
| &nbsp;&nbsp;D.R. Horton, Inc. | &nbsp;&nbsp;Consumer cyclicals | 5560 | 495578 | 0.50% |
| &nbsp;&nbsp;S&P Global, Inc. | &nbsp;&nbsp;Consumer cyclicals | 1478 | 495137 | 0.50% |
| &nbsp;&nbsp;Coca-Cola Co. (The) | &nbsp;&nbsp;Consumer staples | 7687 | 488968 | 0.49% |
| &nbsp;&nbsp;International Paper Co. | &nbsp;&nbsp;Basic materials | 14013 | 485269 | 0.49% |
| &nbsp;&nbsp;ORIX Corp. (Japan) | &nbsp;&nbsp;Financials | 29818 | 481330 | 0.48% |
| &nbsp;&nbsp;Ingersoll Rand, Inc. | &nbsp;&nbsp;Capital goods | 8917 | 465897 | 0.47% |
| &nbsp;&nbsp;Monster Beverage Corp. | &nbsp;&nbsp;Consumer staples | 4528 | 459686 | 0.46% |
| &nbsp;&nbsp;Takeda Pharmaceutical Co., Ltd. (Japan) | &nbsp;&nbsp;Health care | 14612 | 457695 | 0.46% |
| &nbsp;&nbsp;STERIS PLC | &nbsp;&nbsp;Health care | 2477 | 457436 | 0.46% |
| &nbsp;&nbsp;CSL, Ltd. (Australia) | &nbsp;&nbsp;Health care | 2285 | 447732 | 0.45% |
| &nbsp;&nbsp;Kubota Corp. (Japan) | &nbsp;&nbsp;Capital goods | 32133 | 444883 | 0.45% |
| &nbsp;&nbsp;Atmos Energy Corp. | &nbsp;&nbsp;Utilities and power | 3956 | 443402 | 0.45% |
| &nbsp;&nbsp;United Parcel Service, Inc. Class B | &nbsp;&nbsp;Transportation | 2545 | 442374 | 0.44% |
| &nbsp;&nbsp;Masco Corp. | &nbsp;&nbsp;Consumer cyclicals | 9432 | 440209 | 0.44% |
| &nbsp;&nbsp;CK Hutchison Holdings, Ltd. (Hong Kong) | &nbsp;&nbsp;Consumer staples | 72160 | 433121 | 0.44% |
| &nbsp;&nbsp;Fastenal Co. | &nbsp;&nbsp;Consumer staples | 9054 | 428444 | 0.43% |
| &nbsp;&nbsp;Swiss Re AG (Switzerland) | &nbsp;&nbsp;Financials | 4553 | 425791 | 0.43% |
| &nbsp;&nbsp;Howmet Aerospace, Inc. | &nbsp;&nbsp;Capital goods | 10778 | 424761 | 0.43% |
| &nbsp;&nbsp;Toyota Industries Corp. (Japan) | &nbsp;&nbsp;Consumer cyclicals | 7670 | 423126 | 0.43% |
| &nbsp;&nbsp;TJX Cos., Inc. (The) | &nbsp;&nbsp;Consumer cyclicals | 5207 | 414490 | 0.42% |
| &nbsp;&nbsp;Chocoladefabriken Lindt & Spruengli AG (Switzerland) | &nbsp;&nbsp;Consumer staples | 4 | 414241 | 0.42% |
| &nbsp;&nbsp;Nippon Yusen KK (Japan) | &nbsp;&nbsp;Transportation | 17390 | 412103 | 0.41% |
| &nbsp;&nbsp;EDP Renovaveis SA (Spain) | &nbsp;&nbsp;Utilities and power | 18439 | 406208 | 0.41% |
| &nbsp;&nbsp;TOTO, Ltd. (Japan) | &nbsp;&nbsp;Basic materials | 11811 | 404992 | 0.41% |
| &nbsp;&nbsp;Koei Tecmo Holdings Co., Ltd. (Japan) | &nbsp;&nbsp;Technology | 21926 | 399629 | 0.40% |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB-/P | $62 | $634 | $155 | 5/11/63 | 300 bp — Monthly | $(93) |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 33900 | 60000 | 12846 | 11/18/54 | 500 bp — Monthly | 21112 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 39594 | 188702 | 72197 | 5/11/63 | 500 bp — Monthly | (32421) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 22506 | 441000 | 147118 | 1/17/47 | 500 bp — Monthly | (124182) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 814 | 4000 | 1245 | 9/17/58 | 500 bp — Monthly | (427) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 9598 | 47000 | 14626 | 9/17/58 | 500 bp — Monthly | (4982) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 3722 | 30000 | 5199 | 11/17/59 | 300 bp — Monthly | (1459) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 4364 | 40000 | 6932 | 11/17/59 | 300 bp — Monthly | (2545) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | 3286 | 79000 | 4503 | 1/17/47 | 200 bp — Monthly | (1186) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 10567 | 79000 | 26354 | 1/17/47 | 500 bp — Monthly | (15711) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 6165 | 78000 | 16700 | 1/17/47 | 300 bp — Monthly | (10489) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (306) | 18000 | 1555 | 12/16/72 | 200 bp — Monthly | (1854) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 101 | 917 | 123 | 5/11/63 | 200 bp — Monthly | (22) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 15 | 917 | 123 | 5/11/63 | 200 bp — Monthly | (108) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 394 | 2752 | 370 | 5/11/63 | 200 bp — Monthly | 25 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 2494 | 9633 | 1297 | 5/11/63 | 200 bp — Monthly | 1201 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 711 | 10550 | 1420 | 5/11/63 | 200 bp — Monthly | (704) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | (201) | 11467 | 1544 | 5/11/63 | 200 bp — Monthly | (1740) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 315 | 7000 | 1302 | 12/16/72 | 300 bp — Monthly | (983) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 92 | 1000 | 192 | 11/18/64 | 300 bp — Monthly | (99) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 89 | 1000 | 192 | 11/18/64 | 300 bp — Monthly | (102) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 30086 | 382000 | 81786 | 1/17/47 | 300 bp — Monthly | (51477) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | 7192 | 164000 | 9348 | 1/17/47 | 200 bp — Monthly | (2092) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | &nbsp;&nbsp;B/P | 4092 | 51000 | 16259 | 5/11/63 | 500 bp — Monthly | (12117) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 4633 | 6153 | 2354 | 5/11/63 | 500 bp — Monthly | 2285 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 3431 | 22000 | 3498 | 10/17/57 | 300 bp — Monthly | (55) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (5279) | 354000 | 29347 | 12/16/72 | 200 bp — Monthly | (34488) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 3018 | 15596 | 2099 | 5/11/63 | 200 bp — Monthly | 925 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 18418 | 51278 | 19619 | 5/11/63 | 500 bp — Monthly | (1151) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 36962 | 102555 | 39238 | 5/11/63 | 500 bp — Monthly | (2176) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **246621** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **25548** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **(5786)** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(302663)** |
|  | **Total** |  | **$240835** |  |  |  | **Total** | **$(277115)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | $(4900) | $27063 | $3643 | 5/11/63 | (200 bp) — Monthly | $(1269) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (3888) | 18348 | 2470 | 5/11/63 | (200 bp) — Monthly | (1426) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (410) | 2293 | 309 | 5/11/63 | (200 bp) — Monthly | (103) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (243) | 1376 | 185 | 5/11/63 | (200 bp) — Monthly | (58) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (164) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (41) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (164) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (41) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (81) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (19) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | (1802) | 243000 | 13851 | 1/17/47 | (200 bp) — Monthly | 11955 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (33272) | 138000 | 43994 | 11/17/59 | (500 bp) — Monthly | 10588 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (14025) | 55000 | 17534 | 11/17/59 | (500 bp) — Monthly | 3456 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (5114) | 49000 | 15621 | 11/17/59 | (500 bp) — Monthly | 10460 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (4386) | 40000 | 12752 | 11/17/59 | (500 bp) — Monthly | 8327 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (4405) | 34000 | 7279 | 11/18/54 | (500 bp) — Monthly | 2841 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (934) | 18000 | 3854 | 11/18/54 | (500 bp) — Monthly | 2903 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (550) | 8000 | 1713 | 11/18/54 | (500 bp) — Monthly | 1155 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (6084) | 47349 | 17093 | 10/17/57 | (500 bp) — Monthly | 10963 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (14471) | 40585 | 14651 | 10/17/57 | (500 bp) — Monthly | 141 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (3109) | 8697 | 3140 | 10/17/57 | (500 bp) — Monthly | 22 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (968) | 24000 | 7469 | 9/17/58 | (500 bp) — Monthly | 6478 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (1419) | 22000 | 6846 | 9/17/58 | (500 bp) — Monthly | 5406 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (413) | 4000 | 1245 | 9/17/58 | (500 bp) — Monthly | 828 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (109) | 3000 | 934 | 9/17/58 | (500 bp) — Monthly | 822 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (9831) | 33000 | 5719 | 11/17/59 | (300 bp) — Monthly | (4132) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (3691) | 15000 | 2600 | 11/17/59 | (300 bp) — Monthly | (1100) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (477) | 2000 | 347 | 11/17/59 | (300 bp) — Monthly | (132) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (53304) | 169000 | 30555 | 8/17/61 | (300 bp) — Monthly | (22847) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (17576) | 100000 | 18080 | 8/17/61 | (300 bp) — Monthly | 446 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (16701) | 50000 | 9040 | 8/17/61 | (300 bp) — Monthly | (7690) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (14060) | 40000 | 7232 | 8/17/61 | (300 bp) — Monthly | (6852) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5946) | 35000 | 6328 | 8/17/61 | (300 bp) — Monthly | 362 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (11982) | 34000 | 6147 | 8/17/61 | (300 bp) — Monthly | (5855) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (6318) | 28000 | 5062 | 8/17/61 | (300 bp) — Monthly | (1272) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5137) | 27000 | 4882 | 8/17/61 | (300 bp) — Monthly | (271) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (2710) | 16000 | 2893 | 8/17/61 | (300 bp) — Monthly | 174 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (224) | 2000 | 372 | 12/16/72 | (300 bp) — Monthly | 147 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (199) | 1000 | 186 | 12/16/72 | (300 bp) — Monthly | (13) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (112) | 1000 | 186 | 12/16/72 | (300 bp) — Monthly | 73 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (64) | 634 | 155 | 5/11/63 | (300 bp) — Monthly | 91 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (13950) | 93000 | 14787 | 10/17/57 | (300 bp) — Monthly | 783 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (8186) | 59000 | 9381 | 10/17/57 | (300 bp) — Monthly | 1160 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (4163) | 30000 | 4770 | 10/17/57 | (300 bp) — Monthly | 590 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (2845) | 18000 | 2862 | 10/17/57 | (300 bp) — Monthly | 6 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (1598) | 12000 | 1908 | 10/17/57 | (300 bp) — Monthly | 304 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (1145) | 8000 | 1272 | 10/17/57 | (300 bp) — Monthly | 122 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (4732) | 20000 | 3772 | 9/17/58 | (300 bp) — Monthly | (971) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (13476) | 101000 | 32199 | 11/17/59 | (500 bp) — Monthly | 18625 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (11892) | 100000 | 31880 | 11/17/59 | (500 bp) — Monthly | 19891 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (6588) | 53000 | 16896 | 11/17/59 | (500 bp) — Monthly | 10257 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (8878) | 343902 | 131577 | 5/11/63 | (500 bp) — Monthly | 122359 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (28223) | 153000 | 51041 | 1/17/47 | (500 bp) — Monthly | 22669 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (8060) | 49000 | 16346 | 1/17/47 | (500 bp) — Monthly | 8239 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (1227) | 6764 | 2442 | 10/17/57 | (500 bp) — Monthly | 1209 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (10860) | 48000 | 15302 | 11/17/59 | (500 bp) — Monthly | 4396 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (716) | 4786 | 1831 | 5/11/63 | (500 bp) — Monthly | 1110 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (60712) | 299000 | 99746 | 1/17/47 | (500 bp) — Monthly | 38744 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (6881) | 42000 | 14011 | 1/17/47 | (500 bp) — Monthly | 7089 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (16152) | 44450 | 16047 | 10/17/57 | (500 bp) — Monthly | (148) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (9579) | 25124 | 9070 | 10/17/57 | (500 bp) — Monthly | (533) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (1133) | 9663 | 3488 | 10/17/57 | (500 bp) — Monthly | 2346 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (49470) | 276000 | 49901 | 8/17/61 | (300 bp) — Monthly | 270 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (42862) | 240000 | 43392 | 8/17/61 | (300 bp) — Monthly | 390 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (7834) | 16000 | 5338 | 1/17/47 | (500 bp) — Monthly | (2512) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (41611) | 330000 | 57189 | 11/17/59 | (300 bp) — Monthly | 15386 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (122) | 2000 | 372 | 12/16/72 | (300 bp) — Monthly | 249 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (96248) | 410000 | 87781 | 1/17/47 | (300 bp) — Monthly | (8711) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (5519) | 97000 | 30924 | 11/17/59 | (500 bp) — Monthly | 25310 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (12134) | 56000 | 9705 | 11/17/59 | (300 bp) — Monthly | (2461) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (4816) | 26000 | 4904 | 9/17/58 | (300 bp) — Monthly | 72 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (371) | 2000 | 377 | 9/17/58 | (300 bp) — Monthly | 6 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (84) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (22) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (5139) | 49000 | 15621 | 11/17/59 | (500 bp) — Monthly | 10435 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (14884) | 49000 | 15621 | 11/17/59 | (500 bp) — Monthly | 690 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (4932) | 21000 | 6695 | 11/17/59 | (500 bp) — Monthly | 1743 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (4628) | 24000 | 8006 | 1/17/47 | (500 bp) — Monthly | 3355 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (1449) | 3865 | 1395 | 10/17/57 | (500 bp) — Monthly | (58) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (121) | 3000 | 934 | 9/17/58 | (500 bp) — Monthly | 810 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4091) | 39000 | 6759 | 11/17/59 | (300 bp) — Monthly | 2645 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (8045) | 33000 | 5719 | 11/17/59 | (300 bp) — Monthly | (2345) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4987) | 23000 | 3986 | 11/17/59 | (300 bp) — Monthly | (1014) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4325) | 20000 | 3466 | 11/17/59 | (300 bp) — Monthly | (871) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (1837) | 8000 | 1386 | 11/17/59 | (300 bp) — Monthly | (455) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (18752) | 144000 | 26035 | 8/17/61 | (300 bp) — Monthly | 7200 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (2659) | 8000 | 1446 | 8/17/61 | (300 bp) — Monthly | (1217) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (1043) | 5000 | 904 | 8/17/61 | (300 bp) — Monthly | (142) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (62) | 1000 | 186 | 12/16/72 | (300 bp) — Monthly | 123 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (4177) | 41000 | 8778 | 1/17/47 | (300 bp) — Monthly | 4577 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (5723) | 45000 | 7155 | 10/17/57 | (300 bp) — Monthly | 1405 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (6160) | 44000 | 6996 | 10/17/57 | (300 bp) — Monthly | 810 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (6074) | 43000 | 6837 | 10/17/57 | (300 bp) — Monthly | 738 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (3011) | 22000 | 3498 | 10/17/57 | (300 bp) — Monthly | 474 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (465) | 3000 | 477 | 10/17/57 | (300 bp) — Monthly | 10 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **414235** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(833874)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(74581)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(833874)** |  |  |  | **Total** | **$339654** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** |
|  | **Referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | CDX NA HY Series 39 Index | &nbsp;&nbsp;B+/P | $172537 | $6864000 | $44616 | 12/20/27 | 500 bp — Quarterly | $232578 |
|  | CDX NA IG Series 39 Index | &nbsp;&nbsp;BBB+/P | (144699) | 46100000 | 380786 | 12/20/27 | 100 bp — Quarterly | 251454 |
|  | **Total** |  | **$27838** |  |  |  |  | **$484032** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | | |
|:---|:---|:---|:---|
|  | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** |
| EUR | Euro | Euro | Euro |
| USD / $| United States Dollar | United States Dollar | United States Dollar |
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| ADR | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. |
| BKNT | Bank Note | Bank Note | Bank Note |
| bp | Basis Points | Basis Points | Basis Points |
| DAC | Designated Activity Company | Designated Activity Company | Designated Activity Company |
| ETF | Exchange Traded Fund | Exchange Traded Fund | Exchange Traded Fund |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| GMTN | Global Medium Term Notes | Global Medium Term Notes | Global Medium Term Notes |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only | Interest Only | Interest Only |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate | London Interbank Offered Rate |
| MTN | Medium Term Notes | Medium Term Notes | Medium Term Notes |
| OTC | Over-the-counter | Over-the-counter | Over-the-counter |
| PJSC | Public Joint Stock Company | Public Joint Stock Company | Public Joint Stock Company |
| PO | Principal Only | Principal Only | Principal Only |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $2,441,947,069. | Percentages indicated are based on net assets of $2,441,947,069. | Percentages indicated are based on net assets of $2,441,947,069. |
| ***<sup>(CLN)</sup>*** | The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index. | The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index. | The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index. |
| ***<sup>(NON)</sup>*** | This security is non-income-producing. | This security is non-income-producing. | This security is non-income-producing. |
| ***<sup>(PIK)</sup>*** | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. |
| ***<sup>(AFF)</sup>*** | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Fair value<br>as of<br>9/30/22** | **Shares outstanding<br>and fair<br>value as of<br>12/31/22** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\* | $148416010 | $151755485 |
|  | **Total Short-term investments** | **$148416010** | **$151755485** |
|  | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $11,549,907. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $11,549,907. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $11,549,907. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $584,411. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $584,411. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $584,411. |
| ***<sup>(SEGTBA)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $672,580. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $672,580. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $672,580. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,373,102. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,373,102. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,373,102. |
| ***<sup>(c)</sup>*** | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. |
|  | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(R)</sup>*** | Real Estate Investment Trust. | Real Estate Investment Trust. | Real Estate Investment Trust. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **DIVERSIFICATION BY COUNTRY** |  |  |
|  | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): |
|  | United States | 76.6% |  |
|  | Japan | 4.2 |  |
|  | United Kingdom | 3.2 |  |
|  | France | 2.3 |  |
|  | Switzerland | 1.2 |  |
|  | Canada | 1.1 |  |
|  | Germany | 1.1 |  |
|  | China | 1 |  |
|  | Australia | 0.9 |  |
|  | Cayman Islands | 0.7 |  |
|  | India | 0.7 |  |
|  | Netherlands | 0.7 |  |
|  | Ireland | 0.6 |  |
|  | Indonesia | 0.6 |  |
|  | Spain | 0.5 |  |
|  | Other | 4.6 |  |
|  | **Total** | **100.0%** |  |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. |
|  | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash. | **Futures contracts:** The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash. | **Futures contracts:** The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies. |
|  | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|  | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries. |
|  | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $570,837 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $584,411 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $570,837 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $584,411 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $570,837 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $584,411 and may include amounts related to unsettled agreements. |

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| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| **Common stocks\*:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Basic materials | &nbsp;&nbsp;&nbsp;&nbsp;$83547701 | &nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$— |
| &nbsp;&nbsp;&nbsp;&nbsp;Capital goods | &nbsp;&nbsp;&nbsp;&nbsp;99296360 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Communication services | &nbsp;&nbsp;&nbsp;&nbsp;51640729 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Conglomerates | &nbsp;&nbsp;&nbsp;&nbsp;16569521 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer cyclicals | &nbsp;&nbsp;&nbsp;&nbsp;249052069 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer staples | &nbsp;&nbsp;&nbsp;&nbsp;168150345 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Energy | &nbsp;&nbsp;&nbsp;&nbsp;91585252 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Financials | &nbsp;&nbsp;&nbsp;&nbsp;301660833 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Health care | &nbsp;&nbsp;&nbsp;&nbsp;276727576 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Technology | &nbsp;&nbsp;&nbsp;&nbsp;439602899 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Transportation | &nbsp;&nbsp;&nbsp;&nbsp;33859431 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;Utilities and power | &nbsp;&nbsp;&nbsp;&nbsp;46221334 | &nbsp;&nbsp;&nbsp;&nbsp;13653 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| **Total common stocks** | **1857914050** | **13653** | **—** |
| Asset-backed securities |  | 2895153 |  |
| Collateralized loan obligations |  | 20995625 |  |
| Commodity linked notes |  | 12452158 |  |
| Convertible bonds and notes |  | 437806 |  |
| Convertible preferred stocks |  | 3978977 |  |
| Corporate bonds and notes |  | 210803287 |  |
| Foreign government and agency bonds and notes |  | 10663633 |  |
| Investment companies | 3987637 |  |  |
| Mortgage-backed securities |  | 58102484 |  |
| Purchased options outstanding |  | 357542 |  |
| Senior loans |  | 7226763 |  |
| U.S. government and agency mortgage obligations |  | 226565285 |  |
| U.S. treasury obligations |  | 1194134 |  |
| Units | 906861 |  |  |
| Short-term investments | 1691000 | 211281837 |  |
| **Totals by level** | **$1864499548** | **$766968337** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Forward currency contracts | $— | $1775866 | $— |
| Futures contracts | 3217493 |  |  |
| Written options outstanding |  | (252822) |  |
| TBA sale commitments |  | (29569640) |  |
| Interest rate swap contracts |  | 27936 |  |
| Total return swap contracts |  | (50603) |  |
| Credit default contracts |  | 1111772 |  |
| **Totals by level** | **$3217493** | **$(26957491)** | **$—** |
| \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased equity option contracts (contract amount) | $32000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written equity option contracts (contract amount) | $32000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 3000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts (contract amount) | $128300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $257600000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC total return swap contracts (notional) | $357400000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $7500000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared credit default contracts (notional) | $49800000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Asset Allocation Funds

- **b. Investment Company Act file number:** 811-07121

- **c. CIK number of Registrant:** 0000914209

- **d. LEI of Registrant:** 54930003OF6WJCA42O09

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Dynamic Asset Allocation Growth Fund

- **b. EDGAR series identifier (if any):** S000000780

- **c. LEI of Series:** 54930008K7GIJC4BGQ63

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

- **a. Date of fiscal year-end:** 2023-09-30

- **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:** $2681123139.61

**Total Liabilities:** $226062032.98

**Net Assets:** $2455061105.93

**Cash Not Reported:** $952707.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0 | **1-Year:** 27968.31 | **5-Year:** 65526.47 | **10-Year:** 86471.14 | **30-Year:** 33718.78

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

- **3-Month:** 306.93 | **1-Year:** 5281.06 | **5-Year:** 26903.08 | **10-Year:** 11299.08 | **30-Year:** 515.39

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002321 | -4.02%               | 5.87%                | 5.38%                |
| Class ID C000002320 | -3.99%               | 5.81%                | 5.36%                |
| Class ID C000002319 | -3.93%               | 5.89%                | 5.47%                |
| Class ID C000002323 | -3.97%               | 5.87%                | 5.42%                |
| Class ID C000174663 | -3.94%               | 5.91%                | 5.50%                |
| Class ID C000002324 | -3.92%               | 5.92%                | 5.44%                |
| Class ID C000117950 | -3.93%               | 5.90%                | 5.50%                |
| Class ID C000117949 | -3.92%               | 5.93%                | 5.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $646154.49               | $-111639744.31                             |
| Month 2  | $-4087451.04             | $148900615.77                              |
| Month 3  | $-18277171.45            | $147274983.83                              |

**Designated Index Information**

- **Index Name:** GAA Growth Custom Index

- **Index Identifier:** IDX01293

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2004-HE6                                 | ASSET BACKED SECURITY                 | CUSIP: 61744CFB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82693 | PA      | $78870.36     | 0.00%             | 2034-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUGH CTFS SER 2004-WCW2          | ASSET BACKED SECURITY                 | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261719 | PA      | $253865.66    | 0.01%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST SERIES 2003-4                                | ASSET BACKED SECURITY                 | CUSIP: 64352VDK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117530 | PA      | $113864.41    | 0.00%             | 2033-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2004-1                                           | ASSET BACKED SECURITY                 | CUSIP: 542514FE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338431 | PA      | $325473.30    | 0.01%             | 2034-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TOWD POINT ASSET TRUST 2018-SL1                                                 | ASSET BACKED SECURITY                 | CUSIP: 89174UAA4<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    210136 | PA      | $209629.28    | 0.01%             | 2046-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    239243 | PA      | $236157.09    | 0.01%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO V-B LTD                                             | ASSET BACKED SECURITY                 | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493798.50    | 0.02%             | 2031-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-MBS          | CORP              | KY        |    549000 | PA      | $538153.41    | 0.02%             | 2032-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 4 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244153.25    | 0.01%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO II LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $479952.06    | 0.02%             | 2032-04-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |    387000 | PA      | $376354.02    | 0.02%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| 1828 CLO LTD                                                                    | ASSET BACKED SECURITY                 | CUSIP: 282523AH2<br>LEI: 549300TR3WW6GC2PC544 | Long             | ABS-CBDO         | CORP              | KY        |    249053 | PA      | $245886.05    | 0.01%             | 2031-10-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2021-7 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 33833VAA3<br>LEI: 5493001LTHURD55KD110 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243039.50    | 0.01%             | 2034-04-23      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                                   | ASSET BACKED SECURITY                 | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    758000 | PA      | $739847.42    | 0.03%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485247.50    | 0.02%             | 2034-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NASSAU 2019-I LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 63171NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245043.50    | 0.01%             | 2031-04-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-C                                          | ASSET BACKED SECURITY                 | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304497 | PA      | $255777.39    | 0.01%             | 2061-03-01      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVI LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 83614XAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    322000 | PA      | $309584.32    | 0.01%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 2 LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    533000 | PA      | $532310.30    | 0.02%             | 2034-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-1 LLC                                                              | ASSET BACKED SECURITY                 | CUSIP: 00141YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $243717.25    | 0.01%             | 2034-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2018-1                               | ASSET BACKED SECURITY                 | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244151.50    | 0.01%             | 2031-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 197363AU8<br>LEI: 549300CTF5B701OF6K35 | Long             | ABS-CBDO         | CORP              | KY        |    622000 | PA      | $603359.28    | 0.02%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-2 TRUST                                           | ASSET BACKED SECURITY                 | CUSIP: 43732VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244030 | PA      | $206509.30    | 0.01%             | 2026-12-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 56579AAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    323000 | PA      | $316633.67    | 0.01%             | 2032-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2021-1 LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 09204WAA2<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-MBS          | CORP              | KY        |    461000 | PA      | $443844.81    | 0.02%             | 2034-11-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII                                                           | ASSET BACKED SECURITY                 | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $481764.50    | 0.02%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2019-II LTD                                                     | ASSET BACKED SECURITY                 | CUSIP: 03755CAQ7<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-MBS          | CORP              | KY        |    300000 | PA      | $291741.00    | 0.01%             | 2032-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| NASSAU 2020-I LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 631715AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $241090.25    | 0.01%             | 2035-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXII LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243278.25    | 0.01%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BALLYROCK CLO 17 LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 05876LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    350000 | PA      | $341092.15    | 0.01%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-1 LTD                                                   | ASSET BACKED SECURITY                 | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-MBS          | CORP              | KY        |    599000 | PA      | $583422.41    | 0.02%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 92331MAG3<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $239807.25    | 0.01%             | 2029-01-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| AGL CLO 17 LTD                                                                  | ASSET BACKED SECURITY                 | CUSIP: 00120DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    278000 | PA      | $269197.96    | 0.01%             | 2035-01-21      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3-R LTD                               | ASSET BACKED SECURITY                 | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    247958 | PA      | $244185.74    | 0.01%             | 2031-07-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XII                                                                  | ASSET BACKED SECURITY                 | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $492666.00    | 0.02%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 15137EBN2<br>LEI: 5493002BI0SI5QMH0P08 | Long             | ABS-MBS          | CORP              | KY        |    749952 | PA      | $738842.63    | 0.03%             | 2030-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-HE3                                        | ASSET BACKED SECURITY                 | CUSIP: 10569VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338095 | PA      | $317530.78    | 0.01%             | 2069-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1                               | ASSET BACKED SECURITY                 | CUSIP: 70017WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    378000 | PA      | $358031.77    | 0.01%             | 2032-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| VENTURE 33 CLO LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-MBS          | CORP              | KY        |    395000 | PA      | $387512.38    | 0.02%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ICG US CLO 2015-1 LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 44931AAL3<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243269.50    | 0.01%             | 2028-10-19      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2017-1 LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 09202VAY4<br>LEI: 54930069GUF2V1O4MD77 | Long             | ABS-MBS          | CORP              | KY        |    189812 | PA      | $187029.99    | 0.01%             | 2029-04-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII LTD                                                                  | ASSET BACKED SECURITY                 | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-MBS          | CORP              | KY        |    254000 | PA      | $248393.71    | 0.01%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 00178LAB5<br>LEI: 549300DYK366J47FIO80 | Long             | ABS-MBS          | CORP              | KY        |    600000 | PA      | $593042.40    | 0.02%             | 2030-11-02      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVIII LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 83609TAA5<br>LEI: 549300G09B8CGBRMLL31 | Long             | ABS-MBS          | CORP              | KY        |    575000 | PA      | $563629.38    | 0.02%             | 2031-01-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVIII LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    750000 | PA      | $739380.00    | 0.03%             | 2030-10-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2018-1 LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $244744.50    | 0.01%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| DRYDEN 72 CLO LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 26252NAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244759.75    | 0.01%             | 2032-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XIV LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55818RAY2<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-MBS          | CORP              | KY        |    300000 | PA      | $289571.40    | 0.01%             | 2030-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SHACKLETON 2013-IV-R CLO LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 81882HAA3<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245442.50    | 0.01%             | 2031-04-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-MBS          | CORP              | KY        |    207898 | PA      | $206229.53    | 0.01%             | 2029-01-23      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 1 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402563AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244826.25    | 0.01%             | 2033-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BATTERY PARK CLO II LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $322771.15    | 0.01%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 17 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98888JAA7<br>LEI: 549300PCGOXUK8XLNY49 | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $386148.45    | 0.02%             | 2033-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO VI LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-MBS          | CORP              | JE        |    300000 | PA      | $293455.50    | 0.01%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVI LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $247836.25    | 0.01%             | 2032-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXVII                                                                | ASSET BACKED SECURITY                 | CUSIP: 03767JAF2<br>LEI: 549300EW146C7Q4UV387 | Long             | ABS-MBS          | CORP              | KY        |    252000 | PA      | $248655.96    | 0.01%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                      | ASSET BACKED SECURITY                 | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    566000 | PA      | $552831.44    | 0.02%             | 2031-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-IV LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-MBS          | CORP              | KY        |    405000 | PA      | $399913.61    | 0.02%             | 2030-10-24      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2019-17 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 67113LAL0<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-MBS          | CORP              | KY        |    568000 | PA      | $555410.85    | 0.02%             | 2032-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2018-1 LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245347.25    | 0.01%             | 2031-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| VENTURE XIX CLO LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243478.50    | 0.01%             | 2032-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2021-1                               | ASSET BACKED SECURITY                 | CUSIP: 70015QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244275.25    | 0.01%             | 2034-01-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 67097LAH9<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $492405.50    | 0.02%             | 2030-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV                                                                 | ASSET BACKED SECURITY                 | CUSIP: 03759CAS9<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246118.25    | 0.01%             | 2030-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO IX LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 47048JAX1<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243874.50    | 0.01%             | 2034-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ARES XLII CLO LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 04016LAQ0<br>LEI: 5493004S1FMDW7K3MU50 | Long             | ABS-MBS          | CORP              | KY        |    292412 | PA      | $288915.71    | 0.01%             | 2028-01-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BWAY CORP                                                                       | BANK LOAN NOTE                        | CUSIP: 05604XAP1<br>LEI: 549300RY13CUZRBP7216 | Long             | DBT              | CORP              | US        |    412729 | PA      | $402468.91    | 0.02%             | 2024-04-03      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                          | BANK LOAN NOTE                        | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40000.00     | 0.00%             | 2029-12-07      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| ROBERTSHAW US HOLDING CORP                                                      | BANK LOAN NOTE                        | CUSIP: 77051UAH2<br>LEI: 549300NMXRV2JIXFIY04 | Long             | DBT              | CORP              | US        |    125000 | PA      | $64375.00     | 0.00%             | 2026-02-28      | Floating      | 12.75%                | No            |                  2 | On Loan: No      |
| NOURYON USA LLC                                                                 | BANK LOAN NOTE                        | CUSIP: N8232NAB3<br>LEI: 549300K7VB5G6LULFT41 | Long             | DBT              | CORP              | US        |    202069 | PA      | $198936.65    | 0.01%             | 2025-10-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| AMC ENTERTAINMENT HOLDINGS INC                                                  | BANK LOAN NOTE                        | CUSIP: 00164DAQ6<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |    220682 | PA      | $118846.22    | 0.00%             | 2026-04-22      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | BANK LOAN NOTE                        | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    293483 | PA      | $266755.78    | 0.01%             | 2026-08-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                        | BANK LOAN NOTE                        | CUSIP: 45174UAG3<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    147114 | PA      | $135206.64    | 0.01%             | 2026-05-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP                                                            | BANK LOAN NOTE                        | CUSIP: 29426NAQ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118020.00    | 0.00%             | 2028-07-30      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE INC                                                     | BANK LOAN NOTE                        | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |    151127 | PA      | $105317.36    | 0.00%             | 2025-10-02      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| GENESYS CLOUD SERVICES HOLDINGS II LLC                                          | BANK LOAN NOTE                        | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | DBT              | CORP              | US        |    181762 | PA      | $174152.10    | 0.01%             | 2027-12-01      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                                              | BANK LOAN NOTE                        | CUSIP: 12658HAG7<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |    264548 | PA      | $231003.23    | 0.01%             | 2027-11-23      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                                    | BANK LOAN NOTE                        | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    466917 | PA      | $455972.35    | 0.02%             | 2028-01-29      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| KLOCKNER-PENTAPLAST OF AMERICA INC                                              | BANK LOAN NOTE                        | CUSIP: 49865NAT7<br>LEI: 5299004QDA11QZOG5N31 | Long             | DBT              | CORP              | US        |    107578 | PA      | $95104.99     | 0.00%             | 2026-02-04      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                           | BANK LOAN NOTE                        | CUSIP: 44332EAU0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     39496 | PA      | $39092.15     | 0.00%             | 2025-04-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                     | BANK LOAN NOTE                        | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |    143068 | PA      | $124916.65    | 0.01%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                               | BANK LOAN NOTE                        | CUSIP: C8000CAG8<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |    254042 | PA      | $248432.34    | 0.01%             | 2026-04-30      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                               | BANK LOAN NOTE                        | CUSIP: 92537EAC2<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    390860 | PA      | $376366.96    | 0.02%             | 2027-03-02      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                           | BANK LOAN NOTE                        | CUSIP: 02376CBJ3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109398.30    | 0.00%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| ADIENT US LLC                                                                   | BANK LOAN NOTE                        | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | DBT              | CORP              | US        |    172375 | PA      | $170273.75    | 0.01%             | 2028-04-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| ONE CALL CORP                                                                   | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300WUCCV86ZQHG041       | Long             | DBT              | CORP              | US        |    132305 | PA      | $108049.61    | 0.00%             | 2027-04-22      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                             | BANK LOAN NOTE                        | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    225975 | PA      | $222711.92    | 0.01%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                      | BANK LOAN NOTE                        | CUSIP: 56085UAB9<br>LEI: 25490044R1FR5N8FIT62 | Long             | DBT              | CORP              | US        |    280429 | PA      | $262901.95    | 0.01%             | 2028-06-01      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                                                             | BANK LOAN NOTE                        | CUSIP: 77313DAT8<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |    118200 | PA      | $113619.75    | 0.00%             | 2025-11-28      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                                                   | BANK LOAN NOTE                        | CUSIP: 12657QAB9<br>LEI: 549300LPL012JY5D4B69 | Long             | DBT              | CORP              | US        |    280725 | PA      | $279049.07    | 0.01%             | 2028-05-27      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                               | BANK LOAN NOTE                        | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | DBT              | CORP              | US        |    207552 | PA      | $188946.82    | 0.01%             | 2028-06-03      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                                        | BANK LOAN NOTE                        | CUSIP: D9000BAD4<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |    118507 | PA      | $113841.84    | 0.00%             | 2027-07-31      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                     | BANK LOAN NOTE                        | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |     75000 | PA      | $57964.50     | 0.00%             | 2029-01-30      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                           | BANK LOAN NOTE                        | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    473000 | PA      | $459500.58    | 0.02%             | 2027-07-22      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HOLDING III CORP                                          | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 254900DIL842DEXPYJ91       | Long             | DBT              | CORP              | US        |    415800 | PA      | $345517.33    | 0.01%             | 2028-12-17      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| VISION SOLUTIONS INC                                                            | BANK LOAN NOTE                        | CUSIP: 70477BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    219444 | PA      | $181261.11    | 0.01%             | 2028-04-24      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                                         | BANK LOAN NOTE                        | CUSIP: 90385KAJ0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |    155000 | PA      | $141902.50    | 0.01%             | 2027-05-03      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                             | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300T466HKRLVCD610       | Long             | DBT              | CORP              | US        |    160000 | PA      | $136600.00    | 0.01%             | 2029-11-18      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                                                | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300HVW4WNWYBXN830       | Long             | DBT              | CORP              | US        |     83512 | PA      | $80944.49     | 0.00%             | 2027-12-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                             | BANK LOAN NOTE                        | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    186218 | PA      | $179767.23    | 0.01%             | 2027-10-19      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                  | BANK LOAN NOTE                        | CUSIP: 74345HAD3<br>LEI: 529900C5FODDK0WSR085 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200900.70    | 0.01%             | 2029-08-31      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                        | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 04EEB871XLHVNY4RZJ65       | Long             | DBT              | CORP              | US        |     70000 | PA      | $62387.50     | 0.00%             | 2029-03-30      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                            | BANK LOAN NOTE                        | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    175000 | PA      | $155860.25    | 0.01%             | 2029-04-11      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                   | BANK LOAN NOTE                        | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |    526036 | PA      | $469487.24    | 0.02%             | 2024-06-21      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639YAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7299202 | PA      | $3210.19      | 0.00%             | 2046-04-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17939161 | PA      | $9113.09      | 0.00%             | 2057-09-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1                                | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 059497BW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15538 | PA      | $0.20         | 0.00%             | 2049-01-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119706 | PA      | $1.34         | 0.00%             | 2049-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 50179MAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115254 | PA      | $147.10       | 0.00%             | 2039-09-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-CIBC17                | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46630EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141832 | PA      | $2469.03      | 0.00%             | 2043-12-12      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3782045 | PA      | $156700.70    | 0.01%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                      | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4812002 | PA      | $345393.00    | 0.01%             | 2052-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3758822 | PA      | $127047.44    | 0.01%             | 2051-02-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6381150 | PA      | $385013.10    | 0.02%             | 2053-03-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3537980 | PA      | $258813.87    | 0.01%             | 2052-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4164397 | PA      | $211156.58    | 0.01%             | 2053-05-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C7                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3583851 | PA      | $129922.47    | 0.01%             | 2050-12-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |   6967454 | PA      | $21654.85     | 0.00%             | 2050-08-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322MBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3009681 | PA      | $33102.27     | 0.00%             | 2047-05-10      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C24                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8429061 | PA      | $98347.76     | 0.00%             | 2047-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95000JAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4599726 | PA      | $119192.70    | 0.00%             | 2059-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182362 | PA      | $140.78       | 0.00%             | 2045-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36253BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500286 | PA      | $53256.20     | 0.00%             | 2047-06-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61763UBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2917832 | PA      | $26196.29     | 0.00%             | 2047-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 94988XAX4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   8098969 | PA      | $85292.67     | 0.00%             | 2050-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5037070 | PA      | $59104.98     | 0.00%             | 2047-12-10      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46640UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2878633 | PA      | $12531.84     | 0.00%             | 2047-01-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417255 | PA      | $164.19       | 0.00%             | 2048-11-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    518000 | PA      | $209135.04    | 0.01%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GCJ14                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36198FAP7<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    247000 | PA      | $239673.73    | 0.01%             | 2046-08-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85533 | PA      | $82966.72     | 0.00%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641BAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $434473.79    | 0.02%             | 2046-12-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347000 | PA      | $292389.90    | 0.01%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $612032.70    | 0.02%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329603 | PA      | $317106.27    | 0.01%             | 2047-02-15      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC15 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591TAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $217854.73    | 0.01%             | 2047-04-10      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C15                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763KBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207000 | PA      | $199320.03    | 0.01%             | 2047-04-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2010-C1                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $184997.78    | 0.01%             | 2043-08-10      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| COMM 2010-C1 MORTGAGE TRUST                                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12622DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596028 | PA      | $541664.27    | 0.02%             | 2046-07-10      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92935VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629431 | PA      | $321135.63    | 0.01%             | 2044-03-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770071 | PA      | $703613.50    | 0.03%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562000 | PA      | $471108.36    | 0.02%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| AREIT 2022-CRE7 LLC                                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $543125.00    | 0.02%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582000 | PA      | $570247.27    | 0.02%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $229644.56    | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765LAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $211603.95    | 0.01%             | 2048-05-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $212710.15    | 0.01%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   5142985 | PA      | $148192.55    | 0.01%             | 2027-09-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| BXMT LTD                                                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    534000 | PA      | $521284.39    | 0.02%             | 2038-05-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2018-FL1 LLC                                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 91835RAA8<br>LEI: 549300QK6J0UZ3WZJ014 | Long             | ABS-MBS          | CORP              | US        |    107479 | PA      | $103845.88    | 0.00%             | 2036-06-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12593FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $323812.90    | 0.01%             | 2048-07-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| AREIT 2021-CRE5 TRUST                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    288183 | PA      | $275214.56    | 0.01%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PFP 2021-8 LTD                                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69357XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    326000 | PA      | $306241.79    | 0.01%             | 2037-08-09      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| AREIT 2020-CRE4 TRUST                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 04002RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409000 | PA      | $402865.00    | 0.02%             | 2037-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B11 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162BBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $216434.54    | 0.01%             | 2052-05-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05550MAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762000 | PA      | $637732.28    | 0.03%             | 2052-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428000 | PA      | $358700.94    | 0.01%             | 2052-09-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322AAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459000 | PA      | $429104.32    | 0.02%             | 2047-03-11      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2011-C3                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760RAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $222324.33    | 0.01%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC23 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12636FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $288836.62    | 0.01%             | 2048-10-10      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000GBA1<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    274000 | PA      | $244781.38    | 0.01%             | 2049-08-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691EBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $175684.68    | 0.01%             | 2049-12-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12637UBA6<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |    323000 | PA      | $296854.96    | 0.01%             | 2049-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193000 | PA      | $173675.10    | 0.01%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $396144.90    | 0.02%             | 2045-11-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    973000 | PA      | $885318.49    | 0.04%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322MAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $533027.01    | 0.02%             | 2047-05-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168000 | PA      | $158453.00    | 0.01%             | 2047-04-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE18 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12632QBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $329588.87    | 0.01%             | 2047-07-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521000 | PA      | $492393.45    | 0.02%             | 2047-06-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351000 | PA      | $337529.74    | 0.01%             | 2047-07-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708000 | PA      | $664402.07    | 0.03%             | 2047-08-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473000 | PA      | $425998.46    | 0.02%             | 2047-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $440751.44    | 0.02%             | 2047-09-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $568138.18    | 0.02%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $432578.99    | 0.02%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12634NAX6<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    321000 | PA      | $301393.03    | 0.01%             | 2057-06-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559000 | PA      | $429926.90    | 0.02%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2012-GCJ9                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120416 | PA      | $118669.00    | 0.00%             | 2045-11-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82289 | PA      | $82288.72     | 0.00%             | 2045-12-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17825 | PA      | $17757.50     | 0.00%             | 2048-12-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92937EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239131 | PA      | $236403.63    | 0.01%             | 2045-03-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849000 | PA      | $817329.75    | 0.03%             | 2045-03-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426000 | PA      | $420483.73    | 0.02%             | 2045-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    437000 | PA      | $258865.82    | 0.01%             | 2046-08-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAN1<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    319000 | PA      | $313092.76    | 0.01%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAS0<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    408000 | PA      | $341373.60    | 0.01%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | COMMON STOCK                          | CUSIP: 30212P303<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | EC               | CORP              | US        |     47464 | NS      | $4157846.40   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ATRICURE INC                                                                    | COMMON STOCK                          | CUSIP: 04963C209<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3147 | NS      | $139663.86    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ACCO BRANDS CORP                                                                | COMMON STOCK                          | CUSIP: 00081T108<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | EC               | CORP              | US        |     19712 | NS      | $110190.08    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CF INDUSTRIES HOLDINGS INC                                                      | COMMON STOCK                          | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |     49624 | NS      | $4227964.80   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                        | COMMON STOCK                          | CUSIP: 03076C106<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | EC               | CORP              | US        |     13200 | NS      | $4110084.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| EAGLE BANCORP INC                                                               | COMMON STOCK                          | CUSIP: 268948106<br>LEI: 549300B47NZODRMG3D47 | Long             | EC               | CORP              | US        |      3169 | NS      | $139657.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | COMMON STOCK                          | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |      7100 | NS      | $728389.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERISAFE INC                                                                   | COMMON STOCK                          | CUSIP: 03071H100<br>LEI: 2549002B4EXPBLGMNN22 | Long             | EC               | CORP              | US        |      2369 | NS      | $123116.93    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                                   | COMMON STOCK                          | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Long             | EC               | CORP              | US        |     36214 | NS      | $2525564.36   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHIPOTLE MEXICAN GRILL INC                                                      | COMMON STOCK                          | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2095 | NS      | $2906791.55   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CROCS INC                                                                       | COMMON STOCK                          | CUSIP: 227046109<br>LEI: 549300B0J6YCXD63OG72 | Long             | EC               | CORP              | US        |      1892 | NS      | $205149.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSDIGM GROUP INC                                                             | COMMON STOCK                          | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3887 | NS      | $2447449.55   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| PORTLAND GENERAL ELECTRIC CO                                                    | COMMON STOCK                          | CUSIP: 736508847<br>LEI: GJOUP9M7C39GLSK9R870 | Long             | EC               | CORP              | US        |      8602 | NS      | $421498.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| VANDA PHARMACEUTICALS INC                                                       | COMMON STOCK                          | CUSIP: 921659108<br>LEI: 529900AY8VOOQBKJ0O70 | Long             | EC               | CORP              | US        |     10623 | NS      | $78503.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTERCARD INC                                                                  | COMMON STOCK                          | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     24868 | NS      | $8647349.64   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| PGT INNOVATIONS INC                                                             | COMMON STOCK                          | CUSIP: 69336V101<br>LEI: 549300LRW9WM59C1S579 | Long             | EC               | CORP              | US        |      5184 | NS      | $93104.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMVAULT SYSTEMS INC                                                           | COMMON STOCK                          | CUSIP: 204166102<br>LEI: 65T5VRP62VXG39YFML83 | Long             | EC               | CORP              | US        |      9433 | NS      | $592769.72    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OWENS CORNING                                                                   | COMMON STOCK                          | CUSIP: 690742101<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | EC               | CORP              | US        |      8700 | NS      | $742110.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LEIDOS HOLDINGS INC                                                             | COMMON STOCK                          | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |     21042 | NS      | $2213407.98   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CATALYST PHARMACEUTICALS INC                                                    | COMMON STOCK                          | CUSIP: 14888U101<br>LEI: 5299004O0R5XXLA5H544 | Long             | EC               | CORP              | US        |      7159 | NS      | $133157.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SALLY BEAUTY HOLDINGS INC                                                       | COMMON STOCK                          | CUSIP: 79546E104<br>LEI: 529900VXW6E8ONDIQ271 | Long             | EC               | CORP              | US        |     34353 | NS      | $430099.56    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OCEANFIRST FINANCIAL CORP                                                       | COMMON STOCK                          | CUSIP: 675234108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4531 | NS      | $96283.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INNOSPEC INC                                                                    | COMMON STOCK                          | CUSIP: 45768S105<br>LEI: 213800SQBACNY5IWJO68 | Long             | EC               | CORP              | US        |      3577 | NS      | $367930.22    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OXFORD INDUSTRIES INC                                                           | COMMON STOCK                          | CUSIP: 691497309<br>LEI: IDZ20O0XD3GS4UOI2L88 | Long             | EC               | CORP              | US        |      1398 | NS      | $130265.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PEAPACK-GLADSTONE FINANCIAL CORP                                                | COMMON STOCK                          | CUSIP: 704699107<br>LEI: 549300G8DN2UK8K0ET30 | Long             | EC               | CORP              | US        |      2275 | NS      | $84675.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PEOPLES BANCORP INC/OH                                                          | COMMON STOCK                          | CUSIP: 709789101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3610 | NS      | $101982.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TUTOR PERINI CORP                                                               | COMMON STOCK                          | CUSIP: 901109108<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | EC               | CORP              | US        |      8091 | NS      | $61087.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PREFORMED LINE PRODUCTS CO                                                      | COMMON STOCK                          | CUSIP: 740444104<br>LEI: 549300EYH53XDJID2098 | Long             | EC               | CORP              | US        |       571 | NS      | $47558.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RADNET INC                                                                      | COMMON STOCK                          | CUSIP: 750491102<br>LEI: 529900RECG94V2IZJ970 | Long             | EC               | CORP              | US        |      7626 | NS      | $143597.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| QCR HOLDINGS INC                                                                | COMMON STOCK                          | CUSIP: 74727A104<br>LEI: 549300MWKWM7KWJVQO33 | Long             | EC               | CORP              | US        |      1983 | NS      | $98436.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTGEN HEALTHCARE INC                                                          | COMMON STOCK                          | CUSIP: 65343C102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15697 | NS      | $294789.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| S AND T BANCORP INC                                                             | COMMON STOCK                          | CUSIP: 783859101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3848 | NS      | $131524.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SJW GROUP                                                                       | COMMON STOCK                          | CUSIP: 784305104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3258 | NS      | $264517.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHN B SANFILIPPO  AND  SON INC                                                 | COMMON STOCK                          | CUSIP: 800422107<br>LEI: 5299007IBEYVXKYDUX28 | Long             | EC               | CORP              | US        |      1468 | NS      | $119377.76    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LIFE STORAGE INC                                                                | COMMON STOCK                          | CUSIP: 53223X107<br>LEI: W9EE01AFDDF9DQCQZC68 | Long             | EC               | CORP              | US        |     22477 | NS      | $2213984.50   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SHYFT GROUP INC/THE                                                             | COMMON STOCK                          | CUSIP: 825698103<br>LEI: 549300YY0TB51BGRV994 | Long             | EC               | CORP              | US        |      5383 | NS      | $133821.38    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STAAR SURGICAL CO                                                               | COMMON STOCK                          | CUSIP: 852312305<br>LEI: 5299006LRHI7OJ8BY308 | Long             | EC               | CORP              | US        |      7532 | NS      | $365603.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STEPAN CO                                                                       | COMMON STOCK                          | CUSIP: 858586100<br>LEI: IZU1EW9GB3WC7CYCSR17 | Long             | EC               | CORP              | US        |      1031 | NS      | $109760.26    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TITAN INTERNATIONAL INC                                                         | COMMON STOCK                          | CUSIP: 88830M102<br>LEI: 254900CXRGBE7C4B5A06 | Long             | EC               | CORP              | US        |     11545 | NS      | $176869.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| USANA HEALTH SCIENCES INC                                                       | COMMON STOCK                          | CUSIP: 90328M107<br>LEI: 549300YTURXE814MAH96 | Long             | EC               | CORP              | US        |      2030 | NS      | $107996.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMPQUA HOLDINGS CORP                                                            | COMMON STOCK                          | CUSIP: 904214103<br>LEI: 5299002ENJ7CY215BW86 | Long             | EC               | CORP              | US        |     41400 | NS      | $738990.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ATLANTIC UNION BANKSHARES CORP                                                  | COMMON STOCK                          | CUSIP: 04911A107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6439 | NS      | $226266.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PENSKE AUTOMOTIVE GROUP INC                                                     | COMMON STOCK                          | CUSIP: 70959W103<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | EC               | CORP              | US        |      6000 | NS      | $689580.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED FIRE GROUP INC                                                           | COMMON STOCK                          | CUSIP: 910340108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3298 | NS      | $90233.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                        | COMMON STOCK                          | CUSIP: 911163103<br>LEI: 549300GKGW6WPZ282D40 | Long             | EC               | CORP              | US        |     12363 | NS      | $478571.73    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIVERSAL INSURANCE HOLDINGS INC                                                | COMMON STOCK                          | CUSIP: 91359V107<br>LEI: 529900GGAZ6WVUCWQM46 | Long             | EC               | CORP              | US        |      5810 | NS      | $61527.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ONESPAN INC                                                                     | COMMON STOCK                          | CUSIP: 68287N100<br>LEI: 549300D67QDZG593UX89 | Long             | EC               | CORP              | US        |      7672 | NS      | $85849.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEGER HOLDINGS CORP                                                           | COMMON STOCK                          | CUSIP: 45826H109<br>LEI: 549300SUD2ED5XG6X569 | Long             | EC               | CORP              | US        |      1387 | NS      | $94954.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ORTHOFIX MEDICAL INC                                                            | COMMON STOCK                          | CUSIP: 68752M108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6575 | NS      | $134984.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO LATINOAMERICANO DE COMERCIO EXTERIOR SA                                   | COMMON STOCK                          | CUSIP: P16994132<br>LEI: 549300CN3134K4LC0651 | Long             | EC               | CORP              | PA        |      3924 | NS      | $63568.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SIGNET JEWELERS LTD                                                             | COMMON STOCK                          | CUSIP: G81276100<br>LEI: 549300N3XPGE91WV7M22 | Long             | EC               | CORP              | US        |      9635 | NS      | $655180.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERISOURCEBERGEN CORP                                                          | COMMON STOCK                          | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |      4904 | NS      | $812641.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | COMMON STOCK                          | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |     12138 | NS      | $6226429.86   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| AMN HEALTHCARE SERVICES INC                                                     | COMMON STOCK                          | CUSIP: 001744101<br>LEI: 529900W3ARRTCNFH2I39 | Long             | EC               | CORP              | US        |      5901 | NS      | $606740.82    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CORCEPT THERAPEUTICS INC                                                        | COMMON STOCK                          | CUSIP: 218352102<br>LEI: 529900EO9LUTFMZ7FF90 | Long             | EC               | CORP              | US        |      5286 | NS      | $107358.66    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNAPTICS INC                                                                   | COMMON STOCK                          | CUSIP: 87157D109<br>LEI: 549300AJ3LI4FWNRQX29 | Long             | EC               | CORP              | US        |      2565 | NS      | $244085.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SABRA HEALTH CARE REIT INC                                                      | COMMON STOCK                          | CUSIP: 78573L106<br>LEI: 549300E3BC7GU7TAZ621 | Long             | EC               | CORP              | US        |     27282 | NS      | $339115.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BCB BANCORP INC                                                                 | COMMON STOCK                          | CUSIP: 055298103<br>LEI: 54930024V6Z8FYSN4291 | Long             | EC               | CORP              | US        |      2903 | NS      | $52224.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMPUTER PROGRAMS  AND  SYSTEMS IN                                              | COMMON STOCK                          | CUSIP: 205306103<br>LEI: 5493005Q6CJC78TGL805 | Long             | EC               | CORP              | US        |      3560 | NS      | $96903.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NETFLIX INC                                                                     | COMMON STOCK                          | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |      9058 | NS      | $2671023.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXSTAR MEDIA GROUP INC                                                         | COMMON STOCK                          | CUSIP: 65336K103<br>LEI: 52990083ZRR5UT591988 | Long             | EC               | CORP              | US        |      4039 | NS      | $706946.17    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CEVA INC                                                                        | COMMON STOCK                          | CUSIP: 157210105<br>LEI: 529900G9T7CVU2J2VU73 | Long             | EC               | CORP              | US        |      4660 | NS      | $119202.80    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SAFETY INSURANCE GROUP INC                                                      | COMMON STOCK                          | CUSIP: 78648T100<br>LEI: 254900LDCFLA3J746840 | Long             | EC               | CORP              | US        |      1228 | NS      | $103471.28    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                           | COMMON STOCK                          | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |      7100 | NS      | $2344562.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                         | COMMON STOCK                          | CUSIP: 12621E103<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | EC               | CORP              | US        |     27878 | NS      | $637012.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LKQ CORP                                                                        | COMMON STOCK                          | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |     13700 | NS      | $731717.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PIPER SANDLER COS                                                               | COMMON STOCK                          | CUSIP: 724078100<br>LEI: QUQDBTUSOAKFEVMRMF78 | Long             | EC               | CORP              | US        |       677 | NS      | $88138.63     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EQUITY INVESTMENT LIFE HOLDING CO                                      | COMMON STOCK                          | CUSIP: 025676206<br>LEI: 549300RK5RZQ740FPL83 | Long             | EC               | CORP              | US        |      3789 | NS      | $172854.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                                                                  | COMMON STOCK                          | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |    130487 | NS      | $4152096.34   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HILLTOP HOLDINGS INC                                                            | COMMON STOCK                          | CUSIP: 432748101<br>LEI: 54930010TA543US0PM65 | Long             | EC               | CORP              | US        |      4234 | NS      | $127062.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GENWORTH FINANCIAL INC                                                          | COMMON STOCK                          | CUSIP: 37247D106<br>LEI: 549300EMCG286BDNKJ33 | Long             | EC               | CORP              | US        |    131896 | NS      | $697729.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ACADIA PHARMACEUTICALS INC                                                      | COMMON STOCK                          | CUSIP: 004225108<br>LEI: 529900O3044NO0PEA039 | Long             | EC               | CORP              | US        |      7470 | NS      | $118922.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGIODYNAMICS INC                                                               | COMMON STOCK                          | CUSIP: 03475V101<br>LEI: 549300W3VKC5ZKMO8C28 | Long             | EC               | CORP              | US        |      7963 | NS      | $109650.51    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SP PLUS CORP                                                                    | COMMON STOCK                          | CUSIP: 78469C103<br>LEI: 0IDE18EMH1CUKQCUYE69 | Long             | EC               | CORP              | US        |      3196 | NS      | $110965.12    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CBRE GROUP INC                                                                  | COMMON STOCK                          | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |     10100 | NS      | $777296.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BELDEN INC                                                                      | COMMON STOCK                          | CUSIP: 077454106<br>LEI: 68BKYO1JC791TTJHUE82 | Long             | EC               | CORP              | US        |      1857 | NS      | $133518.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                                                    | COMMON STOCK                          | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    297573 | NS      | $26254865.79  | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| EXTRA SPACE STORAGE INC                                                         | COMMON STOCK                          | CUSIP: 30225T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4696 | NS      | $691157.28    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SUNSTONE HOTEL INVESTORS INC                                                    | COMMON STOCK                          | CUSIP: 867892101<br>LEI: 529900ZQ2V52V96ATF67 | Long             | EC               | CORP              | US        |     54106 | NS      | $522663.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CUBESMART                                                                       | COMMON STOCK                          | CUSIP: 229663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19300 | NS      | $776825.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUELINX HOLDINGS INC                                                           | COMMON STOCK                          | CUSIP: 09624H208<br>LEI: 549300YSX7GU28F5I540 | Long             | EC               | CORP              | US        |      2985 | NS      | $212263.35    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PREFERRED BANK/LOS ANGELES CA                                                   | COMMON STOCK                          | CUSIP: 740367404<br>LEI: 5493007K6HGI9G0ECX16 | Long             | EC               | CORP              | US        |      1887 | NS      | $140807.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DOLBY LABORATORIES INC                                                          | COMMON STOCK                          | CUSIP: 25659T107<br>LEI: 549300X04FB2QPCJ5J24 | Long             | EC               | CORP              | US        |     10900 | NS      | $768886.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DEXCOM INC                                                                      | COMMON STOCK                          | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Long             | EC               | CORP              | US        |     25772 | NS      | $2918421.28   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                        | COMMON STOCK                          | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |     12300 | NS      | $798024.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GENTHERM INC                                                                    | COMMON STOCK                          | CUSIP: 37253A103<br>LEI: HKM6YX1U5JS60TCUB219 | Long             | EC               | CORP              | US        |      1669 | NS      | $108969.01    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AGENUS INC                                                                      | COMMON STOCK                          | CUSIP: 00847G705<br>LEI: 529900NDQQGU5H4UJK81 | Long             | EC               | CORP              | US        |     94389 | NS      | $226533.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCBEST CORP                                                                    | COMMON STOCK                          | CUSIP: 03937C105<br>LEI: 5493006S3KBNE8ZS3J23 | Long             | EC               | CORP              | US        |      3753 | NS      | $262860.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUEGREEN VACATIONS HOLDING CORP                                                | COMMON STOCK                          | CUSIP: 096308101<br>LEI: 549300HWTUPNFVNT5B06 | Long             | EC               | CORP              | US        |      2714 | NS      | $67741.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BRT APARTMENTS CORP                                                             | COMMON STOCK                          | CUSIP: 055645303<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3032 | NS      | $59548.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCFIRST CORP                                                                  | COMMON STOCK                          | CUSIP: 05945F103<br>LEI: 549300EJEHGBP4IO2J30 | Long             | EC               | CORP              | US        |      1038 | NS      | $91530.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANNER CORP                                                                     | COMMON STOCK                          | CUSIP: 06652V208<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4269 | NS      | $269800.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BIOCRYST PHARMACEUTICALS INC                                                    | COMMON STOCK                          | CUSIP: 09058V103<br>LEI: 549300Z0INP1Z5NP6J59 | Long             | EC               | CORP              | US        |     11417 | NS      | $131067.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOYD GAMING CORP                                                                | COMMON STOCK                          | CUSIP: 103304101<br>LEI: 254900787YGRYS2A1Z35 | Long             | EC               | CORP              | US        |     14500 | NS      | $790685.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BROOKLINE BANCORP INC                                                           | COMMON STOCK                          | CUSIP: 11373M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7263 | NS      | $102771.45    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTRAL PACIFIC FINANCIAL CO                                                    | COMMON STOCK                          | CUSIP: 154760409<br>LEI: 549300W3YEAOZ4KGG849 | Long             | EC               | CORP              | US        |      5164 | NS      | $104725.92    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CNB FINANCIAL CORP/PA                                                           | COMMON STOCK                          | CUSIP: 126128107<br>LEI: 254900RUYUOKD91VNX69 | Long             | EC               | CORP              | US        |      2161 | NS      | $51410.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CACI INTERNATIONAL INC                                                          | COMMON STOCK                          | CUSIP: 127190304<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | EC               | CORP              | US        |      2800 | NS      | $841652.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                           | COMMON STOCK                          | CUSIP: 133131102<br>LEI: 5493002MYX22OHYJBD89 | Long             | EC               | CORP              | US        |      6200 | NS      | $693656.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CASELLA WASTE SYSTEMS INC                                                       | COMMON STOCK                          | CUSIP: 147448104<br>LEI: 8EU0XUFVJ48U37IIDH51 | Long             | EC               | CORP              | US        |      1509 | NS      | $119678.79    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CATHAY GENERAL BANCORP                                                          | COMMON STOCK                          | CUSIP: 149150104<br>LEI: 549300K1SLJ8C97H5L68 | Long             | EC               | CORP              | US        |     13833 | NS      | $564248.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTONE BANCORP INC                                                          | COMMON STOCK                          | CUSIP: 20786W107<br>LEI: 549300E2M5ZYAZKUK134 | Long             | EC               | CORP              | US        |      4235 | NS      | $102529.35    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CRA INTERNATIONAL INC                                                           | COMMON STOCK                          | CUSIP: 12618T105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1173 | NS      | $143610.39    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE ENERGY INC                                                             | COMMON STOCK                          | CUSIP: 16411R208<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | EC               | CORP              | US        |     34000 | NS      | $5098640.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CHESAPEAKE UTILITIES CORP                                                       | COMMON STOCK                          | CUSIP: 165303108<br>LEI: 254900WW0FDCKAOCKE74 | Long             | EC               | CORP              | US        |      2882 | NS      | $340594.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA CONSOLIDATED INC                                                      | COMMON STOCK                          | CUSIP: 191098102<br>LEI: 57VG5X0E00X0QJU7CQ58 | Long             | EC               | CORP              | US        |      1349 | NS      | $691173.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COGNIZANT TECHNOLOGY SOLUTIONS CORP                                             | COMMON STOCK                          | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |     11900 | NS      | $680561.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                                                    | COMMON STOCK                          | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    110546 | NS      | $3865793.62   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                          | COMMON STOCK                          | CUSIP: 205768302<br>LEI: I03QQGEA4SS774AURI46 | Long             | EC               | CORP              | US        |      5932 | NS      | $81327.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CORPORATE OFFICE PROPERTIES TRUST                                               | COMMON STOCK                          | CUSIP: 22002T108<br>LEI: YY1J47X6LF9TYY8JY420 | Long             | EC               | CORP              | US        |      4611 | NS      | $119609.34    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COVENANT LOGISTICS GROUP INC                                                    | COMMON STOCK                          | CUSIP: 22284P105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4085 | NS      | $141218.45    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENCORE WIRE CORP                                                                | COMMON STOCK                          | CUSIP: 292562105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2154 | NS      | $296304.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE FINANCIAL SERVICES CORP                                              | COMMON STOCK                          | CUSIP: 293712105<br>LEI: 5493001XTU5DLD632129 | Long             | EC               | CORP              | US        |      1120 | NS      | $54835.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ESCO TECHNOLOGIES INC                                                           | COMMON STOCK                          | CUSIP: 296315104<br>LEI: 5493007JJLP5MEWVDH10 | Long             | EC               | CORP              | US        |      1839 | NS      | $160986.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BGC PARTNERS INC                                                                | COMMON STOCK                          | CUSIP: 05541T101<br>LEI: TF1LXM1YNB81WKUH5G19 | Long             | EC               | CORP              | US        |     80449 | NS      | $303292.73    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FARMERS NATIONAL BANC CORP                                                      | COMMON STOCK                          | CUSIP: 309627107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3271 | NS      | $46186.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST COMMONWEALTH FINANCIAL CORP                                               | COMMON STOCK                          | CUSIP: 319829107<br>LEI: 549300ZHLQ42NXDETL24 | Long             | EC               | CORP              | US        |      8229 | NS      | $114959.13    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PATHWARD FINANCIAL INC                                                          | COMMON STOCK                          | CUSIP: 59100U108<br>LEI: 5493004X52BH1NBLW813 | Long             | EC               | CORP              | US        |      9014 | NS      | $388052.70    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHSTATE CORP                                                                 | COMMON STOCK                          | CUSIP: 840441109<br>LEI: 549300JZUANXM0YQ4W53 | Long             | EC               | CORP              | US        |      3697 | NS      | $282302.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANKLIN COVEY CO                                                               | COMMON STOCK                          | CUSIP: 353469109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2217 | NS      | $103689.09    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| G-III APPAREL GROUP LTD                                                         | COMMON STOCK                          | CUSIP: 36237H101<br>LEI: 529900O5KABM3R3SFM87 | Long             | EC               | CORP              | US        |      5619 | NS      | $77036.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GREAT SOUTHERN BANCORP INC                                                      | COMMON STOCK                          | CUSIP: 390905107<br>LEI: 5493000ZL7DLNMN1AB26 | Long             | EC               | CORP              | US        |      1728 | NS      | $102798.72    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HANMI FINANCIAL CORP                                                            | COMMON STOCK                          | CUSIP: 410495204<br>LEI: 549300MSZ7RCG7EA6587 | Long             | EC               | CORP              | US        |      6869 | NS      | $170007.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTHSTREAM INC                                                                | COMMON STOCK                          | CUSIP: 42222N103<br>LEI: 529900OJ88H8635JNH64 | Long             | EC               | CORP              | US        |      5297 | NS      | $131577.48    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HERSHA HOSPITALITY TRUST                                                        | COMMON STOCK                          | CUSIP: 427825500<br>LEI: 549300DNC58BIN1VO064 | Long             | EC               | CORP              | US        |     11763 | NS      | $100220.76    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HOLOGIC INC                                                                     | COMMON STOCK                          | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |     10500 | NS      | $785505.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HORIZON BANCORP INC/IN                                                          | COMMON STOCK                          | CUSIP: 440407104<br>LEI: 549300U2OQ2EIT5MXG39 | Long             | EC               | CORP              | US        |      6766 | NS      | $102031.28    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HUB GROUP INC                                                                   | COMMON STOCK                          | CUSIP: 443320106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4975 | NS      | $395462.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HUDSON TECHNOLOGIES INC                                                         | COMMON STOCK                          | CUSIP: 444144109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9924 | NS      | $100430.88    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ILLUMINA INC                                                                    | COMMON STOCK                          | CUSIP: 452327109<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | EC               | CORP              | US        |      3409 | NS      | $689299.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| INDEPENDENT BANK CORP/MI                                                        | COMMON STOCK                          | CUSIP: 453838609<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3008 | NS      | $71951.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INGLES MARKETS INC                                                              | COMMON STOCK                          | CUSIP: 457030104<br>LEI: 549300XH5RYBMYP8TF26 | Long             | EC               | CORP              | US        |      2690 | NS      | $259477.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ARROWHEAD PHARMACEUTICALS INC                                                   | COMMON STOCK                          | CUSIP: 04280A100<br>LEI: 549300O3CSB8T7OZ3D66 | Long             | EC               | CORP              | US        |     14540 | NS      | $589742.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| STONEX GROUP INC                                                                | COMMON STOCK                          | CUSIP: 861896108<br>LEI: 549300JUF07L8VF02M60 | Long             | EC               | CORP              | US        |      3216 | NS      | $306484.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL BANCSHARES CORPORATION                                            | COMMON STOCK                          | CUSIP: 459044103<br>LEI: 549300Y16R531AU8TX77 | Long             | EC               | CORP              | US        |      2956 | NS      | $135266.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JONES LANG LASALLE INC                                                          | COMMON STOCK                          | CUSIP: 48020Q107<br>LEI: 6SYKCME112RT8TQUO411 | Long             | EC               | CORP              | US        |      4557 | NS      | $726249.09    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                                                        | COMMON STOCK                          | CUSIP: 381013101<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | EC               | CORP              | US        |      5165 | NS      | $193171.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                                                        | COMMON STOCK                          | CUSIP: 292554102<br>LEI: 5493000UVC6H49CIH830 | Long             | EC               | CORP              | US        |      3320 | NS      | $159160.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OPTION CARE HEALTH INC                                                          | COMMON STOCK                          | CUSIP: 68404L201<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | EC               | CORP              | US        |     20105 | NS      | $604959.45    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| M/I HOMES INC                                                                   | COMMON STOCK                          | CUSIP: 55305B101<br>LEI: 5299005M71FH9CCSFB69 | Long             | EC               | CORP              | US        |      1031 | NS      | $47611.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STEVEN MADDEN LTD                                                               | COMMON STOCK                          | CUSIP: 556269108<br>LEI: 549300Z9GZ7GYJWSGF43 | Long             | EC               | CORP              | US        |      3345 | NS      | $106906.20    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MARINEMAX INC                                                                   | COMMON STOCK                          | CUSIP: 567908108<br>LEI: 254900TIXTN8WY3FNN63 | Long             | EC               | CORP              | US        |      3313 | NS      | $103431.86    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDIFAST INC                                                                    | COMMON STOCK                          | CUSIP: 58470H101<br>LEI: 5299000YHQJ21T5KKI80 | Long             | EC               | CORP              | US        |       910 | NS      | $104968.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MOVADO GROUP INC                                                                | COMMON STOCK                          | CUSIP: 624580106<br>LEI: 549300WCGCGPWGHVXM59 | Long             | EC               | CORP              | US        |      3085 | NS      | $99491.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HOPE BANCORP INC                                                                | COMMON STOCK                          | CUSIP: 43940T109<br>LEI: 549300UTF4QGMBHIZ219 | Long             | EC               | CORP              | US        |     28413 | NS      | $363970.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL PRESTO INDUSTRIES INC                                                  | COMMON STOCK                          | CUSIP: 637215104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1328 | NS      | $90914.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NETSCOUT SYSTEMS INC                                                            | COMMON STOCK                          | CUSIP: 64115T104<br>LEI: 5493005HZXZ3SPNVCV76 | Long             | EC               | CORP              | US        |      4200 | NS      | $136542.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW JERSEY RESOURCES CORP                                                       | COMMON STOCK                          | CUSIP: 646025106<br>LEI: 549300QKBSQBIX4DQ583 | Long             | EC               | CORP              | US        |      3735 | NS      | $185330.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STERLING CONSTRUCTION CO                                                        | COMMON STOCK                          | CUSIP: 859241101<br>LEI: 549300RZIK6K1215XU51 | Long             | EC               | CORP              | US        |      5753 | NS      | $188698.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| POTLATCHDELTIC CORP                                                             | COMMON STOCK                          | CUSIP: 737630103<br>LEI: 54930084YA8UJOTXDM59 | Long             | EC               | CORP              | US        |     12092 | NS      | $531927.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DILLARD'S INC                                                                   | COMMON STOCK                          | CUSIP: 254067101<br>LEI: 529900FGYKMWL6019P91 | Long             | EC               | CORP              | US        |      1588 | NS      | $513241.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BRINK'S CO/THE                                                                  | COMMON STOCK                          | CUSIP: 109696104<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | EC               | CORP              | US        |      7649 | NS      | $410827.79    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | COMMON STOCK                          | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |    167215 | NS      | $6588271.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| LIVERAMP HOLDINGS INC                                                           | COMMON STOCK                          | CUSIP: 53815P108<br>LEI: 254900GXS75LG1X7RF88 | Long             | EC               | CORP              | US        |     15435 | NS      | $361796.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PERDOCEO EDUCATION CORP                                                         | COMMON STOCK                          | CUSIP: 71363P106<br>LEI: 529900X5PCA184O9LY90 | Long             | EC               | CORP              | US        |     25409 | NS      | $353185.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INTUITIVE SURGICAL INC                                                          | COMMON STOCK                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      5729 | NS      | $1520190.15   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CO                                                                   | COMMON STOCK                          | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | EC               | CORP              | US        |     56614 | NS      | $658420.82    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PROASSURANCE CORP                                                               | COMMON STOCK                          | CUSIP: 74267C106<br>LEI: 54930015E5J57R675E89 | Long             | EC               | CORP              | US        |      6025 | NS      | $105256.75    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SCANSOURCE INC                                                                  | COMMON STOCK                          | CUSIP: 806037107<br>LEI: 7FHBAN017QDY4K2KP156 | Long             | EC               | CORP              | US        |      1954 | NS      | $57095.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORP                                                         | COMMON STOCK                          | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | EC               | CORP              | US        |      3005 | NS      | $770512.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | COMMON STOCK                          | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |      5300 | NS      | $789117.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACK HILLS CORP                                                                | COMMON STOCK                          | CUSIP: 092113109<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | EC               | CORP              | US        |      1465 | NS      | $103048.10    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXTRON INC                                                                     | COMMON STOCK                          | CUSIP: 883203101<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | EC               | CORP              | US        |     19500 | NS      | $1380600.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SEALED AIR CORP                                                                 | COMMON STOCK                          | CUSIP: 81211K100<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | EC               | CORP              | US        |     15392 | NS      | $767752.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE MANAGEMENT INC                                                            | COMMON STOCK                          | CUSIP: 94106L109<br>LEI: 549300YX8JIID70NFS41 | Long             | EC               | CORP              | US        |      4500 | NS      | $705960.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMEREN CORP                                                                     | COMMON STOCK                          | CUSIP: 023608102<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | EC               | CORP              | US        |     26716 | NS      | $2375586.72   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDEX INTERNATIONAL CORP                                                      | COMMON STOCK                          | CUSIP: 854231107<br>LEI: RCX52GR0JW2LRRMH9Z54 | Long             | EC               | CORP              | US        |      1751 | NS      | $179319.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RANGE RESOURCES CORP                                                            | COMMON STOCK                          | CUSIP: 75281A109<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | EC               | CORP              | US        |     27900 | NS      | $698058.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BUCKLE INC/THE                                                                  | COMMON STOCK                          | CUSIP: 118440106<br>LEI: 5299007IU0461T3GDL34 | Long             | EC               | CORP              | US        |      3332 | NS      | $151106.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PRIMO WATER CORP                                                                | COMMON STOCK                          | CUSIP: 74167P108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26525 | NS      | $412198.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FINANCIAL CORP/IN                                                         | COMMON STOCK                          | CUSIP: 320218100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2769 | NS      | $127595.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MUELLER INDUSTRIES INC                                                          | COMMON STOCK                          | CUSIP: 624756102<br>LEI: 5493005IZFE4VJLLYG84 | Long             | EC               | CORP              | US        |      8896 | NS      | $524864.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | COMMON STOCK                          | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |    166300 | NS      | $7922532.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                | COMMON STOCK                          | CUSIP: 759351604<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EC               | CORP              | US        |      9146 | NS      | $1299555.14   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | COMMON STOCK                          | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    140618 | NS      | $18856873.80  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| METLIFE INC                                                                     | COMMON STOCK                          | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |    101600 | NS      | $7352792.00   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTONATION INC                                                                  | COMMON STOCK                          | CUSIP: 05329W102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6500 | NS      | $697450.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNION PACIFIC CORP                                                              | COMMON STOCK                          | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     39223 | NS      | $8121906.61   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                                                | COMMON STOCK                          | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |      7908 | NS      | $814444.92    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| 3M CO                                                                           | COMMON STOCK                          | CUSIP: 88579Y101<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | EC               | CORP              | US        |      6112 | NS      | $732951.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBOTT LABORATORIES                                                             | COMMON STOCK                          | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |    134783 | NS      | $14797825.57  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| LATTICE SEMICONDUCTOR CORP                                                      | COMMON STOCK                          | CUSIP: 518415104<br>LEI: 549300LRBBPZDQ2II567 | Long             | EC               | CORP              | US        |     32071 | NS      | $2080766.48   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EATON CORP PLC                                                                  | COMMON STOCK                          | CUSIP: G29183103<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | US        |      4485 | NS      | $703920.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | COMMON STOCK                          | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |     12958 | NS      | $824387.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CUMMINS ENGINE COMPANY, INC.                                                    | COMMON STOCK                          | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |      2963 | NS      | $717905.27    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COSTAR GROUP INC                                                                | COMMON STOCK                          | CUSIP: 22160N109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     37130 | NS      | $2869406.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| PFIZER INC                                                                      | COMMON STOCK                          | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |    117426 | NS      | $6016908.24   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| VALERO ENERGY CORP                                                              | COMMON STOCK                          | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |     38899 | NS      | $4934727.14   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| GOODYEAR TIRE  AND  RUBBER CO/THE                                               | COMMON STOCK                          | CUSIP: 382550101<br>LEI: 5493002BI0S2ZQUY3437 | Long             | EC               | CORP              | US        |      9411 | NS      | $95521.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RELIANCE STEEL  AND  ALUMINUM CO                                                | COMMON STOCK                          | CUSIP: 759509102<br>LEI: 549300E287ZOFT3C5Z56 | Long             | EC               | CORP              | US        |      3600 | NS      | $728784.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                                      | COMMON STOCK                          | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |     11300 | NS      | $753145.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PITNEY BOWES INC                                                                | COMMON STOCK                          | CUSIP: 724479100<br>LEI: 549300N2O26NW4ST6W55 | Long             | EC               | CORP              | US        |     66456 | NS      | $252532.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HACKETT GROUP INC/THE                                                           | COMMON STOCK                          | CUSIP: 404609109<br>LEI: 5K016KLIRB6156644289 | Long             | EC               | CORP              | US        |      6463 | NS      | $131651.31    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLIED MATERIALS INC                                                           | COMMON STOCK                          | CUSIP: 038222105<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | EC               | CORP              | US        |     35149 | NS      | $3422809.62   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HOME DEPOT INC/THE                                                              | COMMON STOCK                          | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |      8720 | NS      | $2754299.20   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                            | COMMON STOCK                          | CUSIP: 636180101<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | EC               | CORP              | US        |     12100 | NS      | $765930.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MCKESSON CORP                                                                   | COMMON STOCK                          | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |     19075 | NS      | $7155414.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| HUMANA INC                                                                      | COMMON STOCK                          | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |     10571 | NS      | $5414360.49   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ITT INC                                                                         | COMMON STOCK                          | CUSIP: 45073V108<br>LEI: 549300KDSERHTJOXUS80 | Long             | EC               | CORP              | US        |      9179 | NS      | $744416.90    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CORECIVIC INC                                                                   | COMMON STOCK                          | CUSIP: 21871N101<br>LEI: 529900JFA3K6PTLT8B15 | Long             | EC               | CORP              | US        |     25836 | NS      | $298664.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FULTON FINANCIAL CORP                                                           | COMMON STOCK                          | CUSIP: 360271100<br>LEI: 5493005QLZ6O1BNC0C11 | Long             | EC               | CORP              | US        |     22362 | NS      | $376352.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CO/THE                                                                 | COMMON STOCK                          | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |     10735 | NS      | $766586.35    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | COMMON STOCK                          | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | EC               | CORP              | US        |     22100 | NS      | $725101.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AXCELIS TECHNOLOGIES INC                                                        | COMMON STOCK                          | CUSIP: 054540208<br>LEI: 529900HF9B6NL1QG9F05 | Long             | EC               | CORP              | US        |      8149 | NS      | $646704.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COMERICA INC                                                                    | COMMON STOCK                          | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |     10500 | NS      | $701925.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LENNAR CORP                                                                     | COMMON STOCK                          | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |      8900 | NS      | $805450.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA CORP                                                                     | COMMON STOCK                          | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    117096 | NS      | $17112409.44  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERIS BANCORP                                                                  | COMMON STOCK                          | CUSIP: 03076K108<br>LEI: PBJHNT51T5V6G5UQFV42 | Long             | EC               | CORP              | US        |      2852 | NS      | $134443.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PROLOGIS INC                                                                    | COMMON STOCK                          | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |      6857 | NS      | $772989.61    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MFA MORTGAGE INVESTMENTS INC                                                    | COMMON STOCK                          | CUSIP: 55272X607<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EC               | CORP              | US        |     10020 | NS      | $98697.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN AXLE  AND  MANUFACTURING HOLDINGS INC                                  | COMMON STOCK                          | CUSIP: 024061103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52865 | NS      | $413404.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN SOFTWARE INC/GA                                                        | COMMON STOCK                          | CUSIP: 029683109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6212 | NS      | $91192.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN VANGUARD CORP                                                          | COMMON STOCK                          | CUSIP: 030371108<br>LEI: 529900GWI78WZA5M9783 | Long             | EC               | CORP              | US        |      5334 | NS      | $115801.14    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | COMMON STOCK                          | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     10173 | NS      | $5602169.37   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                         | COMMON STOCK                          | CUSIP: 78410G104<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | EC               | CORP              | US        |      2600 | NS      | $728806.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EDWARDS LIFESCIENCES CORP                                                       | COMMON STOCK                          | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |      9399 | NS      | $701259.39    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VERTEX PHARMACEUTICALS INC                                                      | COMMON STOCK                          | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     31600 | NS      | $9125448.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK INC                                                                      | COMMON STOCK                          | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |     36150 | NS      | $5050878.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL HEALTH INVESTORS INC                                                   | COMMON STOCK                          | CUSIP: 63633D104<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | EC               | CORP              | US        |      2285 | NS      | $119322.70    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AGILYSYS INC                                                                    | COMMON STOCK                          | CUSIP: 00847J105<br>LEI: 5299001XWB5V3B5IPN93 | Long             | EC               | CORP              | US        |      3180 | NS      | $251665.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANKLIN ELECTRIC CO INC                                                        | COMMON STOCK                          | CUSIP: 353514102<br>LEI: RR6AURIKMXUE4Q24G284 | Long             | EC               | CORP              | US        |      1392 | NS      | $111012.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LOWE'S COS INC                                                                  | COMMON STOCK                          | CUSIP: 548661107<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | EC               | CORP              | US        |      3996 | NS      | $796163.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EXELIXIS INC                                                                    | COMMON STOCK                          | CUSIP: 30161Q104<br>LEI: 254900PJQB59O2O95R37 | Long             | EC               | CORP              | US        |     46100 | NS      | $739444.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SENSIENT TECHNOLOGIES CORP                                                      | COMMON STOCK                          | CUSIP: 81725T100<br>LEI: CMMZHMFZQG86EI7WZU92 | Long             | EC               | CORP              | US        |      1442 | NS      | $105150.64    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ADOBE INC                                                                       | COMMON STOCK                          | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |     22466 | NS      | $7560482.98   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| VECTOR GROUP LTD                                                                | COMMON STOCK                          | CUSIP: 92240M108<br>LEI: 549300TUIF4WWN6NDN50 | Long             | EC               | CORP              | US        |     27947 | NS      | $331451.42    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TAPESTRY INC                                                                    | COMMON STOCK                          | CUSIP: 876030107<br>LEI: 549300LJNVY5SW3VTN33 | Long             | EC               | CORP              | US        |     20500 | NS      | $780640.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | COMMON STOCK                          | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     32673 | NS      | $11219254.74  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                             | COMMON STOCK                          | CUSIP: 925550105<br>LEI: 5493006K3E3N1QOBF092 | Long             | EC               | CORP              | US        |     10057 | NS      | $105699.07    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                        | COMMON STOCK                          | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |      6289 | NS      | $941148.85    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HEICO CORP                                                                      | COMMON STOCK                          | CUSIP: 422806109<br>LEI: 529900O1DTDLCJ7L0I14 | Long             | EC               | CORP              | US        |      5001 | NS      | $768353.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| OTTER TAIL CORP                                                                 | COMMON STOCK                          | CUSIP: 689648103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3140 | NS      | $184349.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                                          | COMMON STOCK                          | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     70702 | NS      | $3271381.54   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                                         | COMMON STOCK                          | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Long             | EC               | CORP              | US        |      9146 | NS      | $7719498.38   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK  AND  CO INC                                                              | COMMON STOCK                          | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |    179367 | NS      | $19900768.65  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN WOODMARK CORP                                                          | COMMON STOCK                          | CUSIP: 030506109<br>LEI: 5299007PFSDWMA74RB56 | Long             | EC               | CORP              | US        |      1998 | NS      | $97622.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VERADIGM INC                                                                    | COMMON STOCK                          | CUSIP: 01988P108<br>LEI: Y68YJHVB1GU4TAU3C223 | Long             | EC               | CORP              | US        |     33202 | NS      | $585683.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MATSON INC                                                                      | COMMON STOCK                          | CUSIP: 57686G105<br>LEI: 549300OI5H3Y0I9I4I12 | Long             | EC               | CORP              | US        |      7393 | NS      | $462136.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOOKING HOLDINGS INC                                                            | COMMON STOCK                          | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      7198 | NS      | $14505985.44  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| CROWN CASTLE INC                                                                | COMMON STOCK                          | CUSIP: 22822V101<br>LEI: 54930012H97VSM0I2R19 | Long             | EC               | CORP              | US        |      5800 | NS      | $786712.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HEIDRICK  AND  STRUGGLES INTERNATIONAL INC                                      | COMMON STOCK                          | CUSIP: 422819102<br>LEI: 5493006284N2J367VB57 | Long             | EC               | CORP              | US        |      6780 | NS      | $189636.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTOMATIC DATA PROCESSING INC                                                   | COMMON STOCK                          | CUSIP: 053015103<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | EC               | CORP              | US        |      3500 | NS      | $836010.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWN  AND  BROWN INC                                                           | COMMON STOCK                          | CUSIP: 115236101<br>LEI: 549300PC8KTJ71XKFY89 | Long             | EC               | CORP              | US        |     13200 | NS      | $752004.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON OIL CORP                                                               | COMMON STOCK                          | CUSIP: 565849106<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | EC               | CORP              | US        |    189206 | NS      | $5121806.42   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| HANCOCK WHITNEY CORP                                                            | COMMON STOCK                          | CUSIP: 410120109<br>LEI: 549300GRNBWY8HIICT41 | Long             | EC               | CORP              | US        |     13362 | NS      | $646587.18    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PUBLIC STORAGE                                                                  | COMMON STOCK                          | CUSIP: 74460D109<br>LEI: 549300LMZF40TKJ6DM64 | Long             | EC               | CORP              | US        |      2900 | NS      | $812551.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | COMMON STOCK                          | CUSIP: 35671D857<br>LEI: 549300IRDTHJQ1PVET45 | Long             | EC               | CORP              | US        |    162066 | NS      | $6158508.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| SIMPSON MANUFACTURING CO INC                                                    | COMMON STOCK                          | CUSIP: 829073105<br>LEI: 529900EJUNNL15LZ8056 | Long             | EC               | CORP              | US        |      2192 | NS      | $194342.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DTE ENERGY CO                                                                   | COMMON STOCK                          | CUSIP: 233331107<br>LEI: 549300IX8SD6XXD71I78 | Long             | EC               | CORP              | US        |      6786 | NS      | $797558.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BARNES GROUP INC                                                                | COMMON STOCK                          | CUSIP: 067806109<br>LEI: G1MSYD2DQZX30V5DMX12 | Long             | EC               | CORP              | US        |      3084 | NS      | $125981.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SYSCO CORP                                                                      | COMMON STOCK                          | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |      9145 | NS      | $699135.25    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                            | COMMON STOCK                          | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |      9958 | NS      | $784590.82    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HORACE MANN EDUCATORS CORP                                                      | COMMON STOCK                          | CUSIP: 440327104<br>LEI: 254900G5YAV3A2YK8T32 | Long             | EC               | CORP              | US        |     10998 | NS      | $410995.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED MICRO DEVICES INC                                                      | COMMON STOCK                          | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     26526 | NS      | $1718089.02   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| EXXON MOBIL CORP                                                                | COMMON STOCK                          | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |    182537 | NS      | $20133831.10  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| REGENERON PHARMACEUTICALS INC                                                   | COMMON STOCK                          | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |     10741 | NS      | $7749524.09   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| METTLER-TOLEDO INTERNATIONAL INC                                                | COMMON STOCK                          | CUSIP: 592688105<br>LEI: 5493000BD5GJNUDIUG10 | Long             | EC               | CORP              | US        |       500 | NS      | $722725.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK TIMES CO/THE                                                           | COMMON STOCK                          | CUSIP: 650111107<br>LEI: 529900J1WEMMIW7BOH57 | Long             | EC               | CORP              | US        |     20688 | NS      | $671532.48    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TRIMBLE INC                                                                     | COMMON STOCK                          | CUSIP: 896239100<br>LEI: 549300E2MI7NSZFQWS19 | Long             | EC               | CORP              | US        |      6500 | NS      | $328640.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNOPSYS INC                                                                    | COMMON STOCK                          | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |     31900 | NS      | $10185351.00  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| DENBURY INC                                                                     | COMMON STOCK                          | CUSIP: 24790A101<br>LEI: 549300KCWA5W52MS5559 | Long             | EC               | CORP              | US        |      5521 | NS      | $480437.42    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SITE CENTERS CORP                                                               | COMMON STOCK                          | CUSIP: 82981J109<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | EC               | CORP              | US        |      8033 | NS      | $109730.78    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OLIN CORP                                                                       | COMMON STOCK                          | CUSIP: 680665205<br>LEI: 549300GKK294V7W57P06 | Long             | EC               | CORP              | US        |     15184 | NS      | $803840.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ELI LILLY  AND  CO                                                              | COMMON STOCK                          | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     50611 | NS      | $18515528.24  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| SIMON PROPERTY GROUP INC                                                        | COMMON STOCK                          | CUSIP: 828806109<br>LEI: 529900GQL5X8H7AO3T64 | Long             | EC               | CORP              | US        |      6446 | NS      | $757276.08    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHNSON  AND  JOHNSON                                                           | COMMON STOCK                          | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      4192 | NS      | $740516.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EXTREME NETWORKS INC                                                            | COMMON STOCK                          | CUSIP: 30226D106<br>LEI: 549300WRECW11X94UB57 | Long             | EC               | CORP              | US        |     34160 | NS      | $625469.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DEERE  AND  CO                                                                  | COMMON STOCK                          | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |      8553 | NS      | $3667184.28   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| MOOG INC                                                                        | COMMON STOCK                          | CUSIP: 615394202<br>LEI: 549300WM2I4U7OBAHG07 | Long             | EC               | CORP              | US        |      4640 | NS      | $407206.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| W R BERKLEY CORP                                                                | COMMON STOCK                          | CUSIP: 084423102<br>LEI: SQOAGCLKBDWNVYV1OV80 | Long             | EC               | CORP              | US        |     11032 | NS      | $800592.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMGEN INC                                                                       | COMMON STOCK                          | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |      2825 | NS      | $741958.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AT AND T INC                                                                    | COMMON STOCK                          | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |    296277 | NS      | $5454459.57   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGET CORP                                                                     | COMMON STOCK                          | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |     19162 | NS      | $2855904.48   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK COMMUNITY BANCORP INC                                                  | COMMON STOCK                          | CUSIP: 649445103<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |     59206 | NS      | $509171.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UFP INDUSTRIES INC                                                              | COMMON STOCK                          | CUSIP: 90278Q108<br>LEI: 5493007KB485C9OV5572 | Long             | EC               | CORP              | US        |      8676 | NS      | $687573.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GERON CORP                                                                      | COMMON STOCK                          | CUSIP: 374163103<br>LEI: 549300T282D7Z2YESL90 | Long             | EC               | CORP              | US        |     66950 | NS      | $162019.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | COMMON STOCK                          | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     81724 | NS      | $7759693.80   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| RAMBUS INC                                                                      | COMMON STOCK                          | CUSIP: 750917106<br>LEI: 2549000211GDCQSLV833 | Long             | EC               | CORP              | US        |     18445 | NS      | $660699.90    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL CORP                                                                        | COMMON STOCK                          | CUSIP: 69351T106<br>LEI: 9N3UAJSNOUXFKQLF3V18 | Long             | EC               | CORP              | US        |     12900 | NS      | $376938.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RADIAN GROUP INC                                                                | COMMON STOCK                          | CUSIP: 750236101<br>LEI: 54930005OUP720S5U385 | Long             | EC               | CORP              | US        |      6024 | NS      | $114877.68    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NVR INC                                                                         | COMMON STOCK                          | CUSIP: 62944T105<br>LEI: 529900RWXR4JI3JYTV70 | Long             | EC               | CORP              | US        |       185 | NS      | $853327.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDTRONIC PLC                                                                   | COMMON STOCK                          | CUSIP: G5960L103<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |     49000 | NS      | $3808280.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| TYSON FOODS INC                                                                 | COMMON STOCK                          | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |     11085 | NS      | $690041.25    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VISHAY INTERTECHNOLOGY INC                                                      | COMMON STOCK                          | CUSIP: 928298108<br>LEI: 5493009O8F3QQJTCQR75 | Long             | EC               | CORP              | US        |      6125 | NS      | $132116.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| IDEXX LABORATORIES INC                                                          | COMMON STOCK                          | CUSIP: 45168D104<br>LEI: OGMTXK0LUU1HKV2P0J84 | Long             | EC               | CORP              | US        |      3955 | NS      | $1613481.80   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MANPOWERGROUP INC                                                               | COMMON STOCK                          | CUSIP: 56418H100<br>LEI: ERO1WSFOSR0JJ6CRQ987 | Long             | EC               | CORP              | US        |      8700 | NS      | $723927.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | COMMON STOCK                          | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |      5054 | NS      | $746728.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EBAY INC                                                                        | COMMON STOCK                          | CUSIP: 278642103<br>LEI: OML71K8X303XQONU6T67 | Long             | EC               | CORP              | US        |    165242 | NS      | $6852585.74   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCH RESOURCES INC                                                              | COMMON STOCK                          | CUSIP: 03940R107<br>LEI: W47HVZ7Q6FXL86RELH91 | Long             | EC               | CORP              | US        |      2472 | NS      | $352976.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CADENCE DESIGN SYSTEMS INC                                                      | COMMON STOCK                          | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     88008 | NS      | $14137605.12  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | COMMON STOCK                          | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |     36900 | NS      | $9155259.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BERKSHIRE HATHAWAY INC                                                          | COMMON STOCK                          | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |      8070 | NS      | $2492823.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| SHERWIN-WILLIAMS CO/THE                                                         | COMMON STOCK                          | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     18467 | NS      | $4382773.11   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ORIENTAL FINL GROUP INC COM                                                     | COMMON STOCK                          | CUSIP: 67103X102<br>LEI: 549300Q4QEXJ37LEXQ06 | Long             | EC               | CORP              | PR        |      7437 | NS      | $204963.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC/THE                                            | COMMON STOCK                          | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |     29795 | NS      | $4705822.30   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                                          | COMMON STOCK                          | CUSIP: 398905109<br>LEI: 549300US8QAZJLWYAF63 | Long             | EC               | CORP              | US        |       700 | NS      | $126259.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM INC                                                                    | COMMON STOCK                          | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |    115750 | NS      | $12725555.00  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| PEPSICO INC                                                                     | COMMON STOCK                          | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |     32600 | NS      | $5889516.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| PARKER-HANNIFIN CORP                                                            | COMMON STOCK                          | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |      2437 | NS      | $709167.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RESOURCES CONNECTION INC                                                        | COMMON STOCK                          | CUSIP: 76122Q105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6111 | NS      | $112320.18    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                           | COMMON STOCK                          | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     11431 | NS      | $1888629.82   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA CO/THE                                                                | COMMON STOCK                          | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |    264437 | NS      | $16820837.57  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| AVISTA CORP                                                                     | COMMON STOCK                          | CUSIP: 05379B107<br>LEI: Q0IK63NITJD6RJ47SW96 | Long             | EC               | CORP              | US        |      2640 | NS      | $117057.60    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                           | COMMON STOCK                          | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     15700 | NS      | $7167050.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| EVERSOURCE ENERGY                                                               | COMMON STOCK                          | CUSIP: 30040W108<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | EC               | CORP              | US        |     10100 | NS      | $846784.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX TECHNOLOGIES INC                                                            | COMMON STOCK                          | CUSIP: 78473E103<br>LEI: P761FCI0CPOG24I8JE10 | Long             | EC               | CORP              | US        |      4537 | NS      | $297854.05    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | COMMON STOCK                          | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     23598 | NS      | $5057051.40   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                                   | COMMON STOCK                          | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |    289738 | NS      | $13104849.74  | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| BIO-RAD LABORATORIES INC                                                        | COMMON STOCK                          | CUSIP: 090572207<br>LEI: 549300ZC1GPV35XYDK53 | Long             | EC               | CORP              | US        |      2068 | NS      | $869573.32    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                      | COMMON STOCK                          | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |     65619 | NS      | $6622269.48   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| CHEVRON CORP                                                                    | COMMON STOCK                          | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5349 | NS      | $960092.01    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC                                             | COMMON STOCK                          | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | EC               | CORP              | US        |     12700 | NS      | $778129.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | COMMON STOCK                          | CUSIP: 03027X100<br>LEI: 5493006ORUSIL88JOE18 | Long             | EC               | CORP              | US        |     81541 | NS      | $17275276.26  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                                                     | COMMON STOCK                          | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     81056 | NS      | $6625517.44   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MANHATTAN ASSOCIATES INC                                                        | COMMON STOCK                          | CUSIP: 562750109<br>LEI: 529900Q1GJP7KD52SW51 | Long             | EC               | CORP              | US        |      9200 | NS      | $1116880.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM CORP                                                                        | COMMON STOCK                          | CUSIP: 78442P106<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | EC               | CORP              | US        |     49813 | NS      | $826895.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EMERSON ELECTRIC CO                                                             | COMMON STOCK                          | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |      8600 | NS      | $826116.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| APA CORP                                                                        | COMMON STOCK                          | CUSIP: 03743Q108<br>LEI: 549300VCIWLRHYVSHC79 | Long             | EC               | CORP              | US        |     17007 | NS      | $793886.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CSX CORP                                                                        | COMMON STOCK                          | CUSIP: 126408103<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | EC               | CORP              | US        |    208900 | NS      | $6471722.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| MICROSOFT CORP                                                                  | COMMON STOCK                          | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    290990 | NS      | $69785221.80  | 2.84%             |  |  |  | No            |                  1 | On Loan: No      |
| CASEY'S GENERAL STORES INC                                                      | COMMON STOCK                          | CUSIP: 147528103<br>LEI: 549300CAFWSI86V66Q65 | Long             | EC               | CORP              | US        |      1500 | NS      | $336525.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                                                                  | COMMON STOCK                          | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    321470 | NS      | $27003480.00  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NORDSON CORP                                                                    | COMMON STOCK                          | CUSIP: 655663102<br>LEI: 14OS6Q5N55N95WM84M53 | Long             | EC               | CORP              | US        |      3300 | NS      | $784476.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NISOURCE INC                                                                    | COMMON STOCK                          | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |     27211 | NS      | $746125.62    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AVALONBAY COMMUNITIES INC                                                       | COMMON STOCK                          | CUSIP: 053484101<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | EC               | CORP              | US        |      4700 | NS      | $759144.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINION ENERGY INC                                                             | COMMON STOCK                          | CUSIP: 25746U109<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | EC               | CORP              | US        |     12500 | NS      | $766500.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AVANTAX INC                                                                     | COMMON STOCK                          | CUSIP: 095229100<br>LEI: 5299001IO03J69IP6L77 | Long             | EC               | CORP              | US        |      7638 | NS      | $194998.14    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| KEYCORP                                                                         | COMMON STOCK                          | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |     38529 | NS      | $671175.18    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CTS CORP                                                                        | COMMON STOCK                          | CUSIP: 126501105<br>LEI: 549300YV1HQLBVHOI649 | Long             | EC               | CORP              | US        |      3520 | NS      | $138758.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LAM RESEARCH CORP                                                               | COMMON STOCK                          | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |      2123 | NS      | $892296.90    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SKYLINE CHAMPION CORP                                                           | COMMON STOCK                          | CUSIP: 830830105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10405 | NS      | $535961.55    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MCDONALD'S CORP                                                                 | COMMON STOCK                          | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |      2515 | NS      | $662777.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CONOCOPHILLIPS                                                                  | COMMON STOCK                          | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     59317 | NS      | $6999406.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| STEWART INFORMATION SERVICES CORP                                               | COMMON STOCK                          | CUSIP: 860372101<br>LEI: 529900TV1XI0PLKENU10 | Long             | EC               | CORP              | US        |      5304 | NS      | $226639.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MGIC INVESTMENT CORP                                                            | COMMON STOCK                          | CUSIP: 552848103<br>LEI: 254900S8483WM4M98R28 | Long             | EC               | CORP              | US        |     81251 | NS      | $1056263.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| XCEL ENERGY INC                                                                 | COMMON STOCK                          | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |     10658 | NS      | $747232.38    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EXELON CORP                                                                     | COMMON STOCK                          | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    108997 | NS      | $4711940.31   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | COMMON STOCK                          | CUSIP: 674599105<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | EC               | CORP              | US        |     11550 | NS      | $727534.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KFORCE INC                                                                      | COMMON STOCK                          | CUSIP: 493732101<br>LEI: 5493003RDQQDVXY2SK46 | Long             | EC               | CORP              | US        |      3664 | NS      | $200897.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG INDUSTRIES INC                                                              | COMMON STOCK                          | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |     27361 | NS      | $3440372.14   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| DANAHER CORP                                                                    | COMMON STOCK                          | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     30596 | NS      | $8120790.32   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| WEC ENERGY GROUP INC                                                            | COMMON STOCK                          | CUSIP: 92939U106<br>LEI: 549300IGLYTZUK3PVP70 | Long             | EC               | CORP              | US        |      7500 | NS      | $703200.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUITY RESIDENTIAL TR                                                           | COMMON STOCK                          | CUSIP: 29476L107<br>LEI: 5493008RACSH5EP3PI59 | Long             | EC               | CORP              | US        |     11500 | NS      | $678500.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LOEWS CORP                                                                      | COMMON STOCK                          | CUSIP: 540424108<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | EC               | CORP              | US        |     13700 | NS      | $799121.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | COMMON STOCK                          | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |     12887 | NS      | $7031276.07   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                           | COMMON STOCK                          | CUSIP: 844741108<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | EC               | CORP              | US        |    111889 | NS      | $3767302.63   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLE INC                                                                       | COMMON STOCK                          | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    573651 | NS      | $74534474.43  | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTODESK INC                                                                    | COMMON STOCK                          | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |      4300 | NS      | $803541.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTOZONE INC                                                                    | COMMON STOCK                          | CUSIP: 053332102<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | EC               | CORP              | US        |      2600 | NS      | $6412068.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| CATERPILLAR INC                                                                 | COMMON STOCK                          | CUSIP: 149123101<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | EC               | CORP              | US        |      3900 | NS      | $934284.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CINTAS CORP                                                                     | COMMON STOCK                          | CUSIP: 172908105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5176 | NS      | $2337585.12   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| GARTNER INC                                                                     | COMMON STOCK                          | CUSIP: 366651107<br>LEI: PP55B5R38BFB8O8HH686 | Long             | EC               | CORP              | US        |     18785 | NS      | $6314389.90   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| AEROJET ROCKETDYNE HOLDINGS INC                                                 | COMMON STOCK                          | CUSIP: 007800105<br>LEI: 549300VULNLWHE8QWI76 | Long             | EC               | CORP              | US        |     13728 | NS      | $767807.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MINERALS TECHNOLOGIES INC                                                       | COMMON STOCK                          | CUSIP: 603158106<br>LEI: 549300D3I1QU67GP6403 | Long             | EC               | CORP              | US        |      3912 | NS      | $237536.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SCHOLASTIC CORP                                                                 | COMMON STOCK                          | CUSIP: 807066105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2926 | NS      | $115459.96    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARDINAL HEALTH INC                                                             | COMMON STOCK                          | CUSIP: 14149Y108<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | EC               | CORP              | US        |     10136 | NS      | $779154.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | COMMON STOCK                          | CUSIP: 962166104<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | EC               | CORP              | US        |     56146 | NS      | $1740526.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS INC                                                              | COMMON STOCK                          | CUSIP: 911363109<br>LEI: 5323X5O7RN0NKFCDRY08 | Long             | EC               | CORP              | US        |     10058 | NS      | $3574814.36   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ASSOCIATED BANC-CORP                                                            | COMMON STOCK                          | CUSIP: 045487105<br>LEI: 549300N3CIN473IW5094 | Long             | EC               | CORP              | US        |      4202 | NS      | $97024.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | COMMON STOCK                          | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    246077 | NS      | $8150070.24   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| WESBANCO INC                                                                    | COMMON STOCK                          | CUSIP: 950810101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7399 | NS      | $273615.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC SERVICES INC                                                           | COMMON STOCK                          | CUSIP: 760759100<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | EC               | CORP              | US        |     13500 | NS      | $1741365.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                             | COMMON STOCK                          | CUSIP: 277432100<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | EC               | CORP              | US        |     28499 | NS      | $2320958.56   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| KAMAN CORP                                                                      | COMMON STOCK                          | CUSIP: 483548103<br>LEI: 5493003YK076OLTEQF95 | Long             | EC               | CORP              | US        |      5237 | NS      | $116785.10    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PULTEGROUP INC                                                                  | COMMON STOCK                          | CUSIP: 745867101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87789 | NS      | $3997033.17   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GENUINE PARTS CO                                                                | COMMON STOCK                          | CUSIP: 372460105<br>LEI: 549300D46DQVEU651W04 | Long             | EC               | CORP              | US        |     12100 | NS      | $2099471.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CALERES INC                                                                     | COMMON STOCK                          | CUSIP: 129500104<br>LEI: JFU6RQQJ8Z1CPOLBXQ18 | Long             | EC               | CORP              | US        |     16671 | NS      | $371429.88    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ISTAR INC                                                                       | COMMON STOCK                          | CUSIP: 45031U101<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | EC               | CORP              | US        |     32375 | NS      | $247021.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                      | COMMON STOCK                          | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |     11858 | NS      | $804565.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN FINANCIAL GROUP INC/OH                                                 | COMMON STOCK                          | CUSIP: 025932104<br>LEI: 549300AFOM7IVKIU1G39 | Long             | EC               | CORP              | US        |      5250 | NS      | $720720.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AES CORP/THE                                                                    | COMMON STOCK                          | CUSIP: 00130H105<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | EC               | CORP              | US        |     29304 | NS      | $842783.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | COMMON STOCK                          | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |      8135 | NS      | $706768.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WATTS WATER TECHNOLOGIES INC                                                    | COMMON STOCK                          | CUSIP: 942749102<br>LEI: 549300REJOO94ERQN318 | Long             | EC               | CORP              | US        |       824 | NS      | $120493.52    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | COMMON STOCK                          | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |      4034 | NS      | $701270.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WENDY'S CO/THE                                                                  | COMMON STOCK                          | CUSIP: 95058W100<br>LEI: 529900M0JIUCMWVKHG76 | Long             | EC               | CORP              | US        |     17100 | NS      | $386973.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | COMMON STOCK                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     25576 | NS      | $13559883.68  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| CSG SYSTEMS INTERNATIONAL INC                                                   | COMMON STOCK                          | CUSIP: 126349109<br>LEI: 549300D7FJZUOHHXUA81 | Long             | EC               | CORP              | US        |      7779 | NS      | $444958.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NBT BANCORP INC                                                                 | COMMON STOCK                          | CUSIP: 628778102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5389 | NS      | $233990.38    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FORRESTER RESEARCH INC                                                          | COMMON STOCK                          | CUSIP: 346563109<br>LEI: 549300UUSFXYLJ80Z897 | Long             | EC               | CORP              | US        |      1432 | NS      | $51208.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STURM RUGER  AND  CO INC                                                        | COMMON STOCK                          | CUSIP: 864159108<br>LEI: 529900DV1BWFJSHFO847 | Long             | EC               | CORP              | US        |      1916 | NS      | $96987.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | COMMON STOCK                          | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |    100043 | NS      | $7198093.85   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| IMMUNOGEN INC                                                                   | COMMON STOCK                          | CUSIP: 45253H101<br>LEI: 54930084U0R1OP766Y02 | Long             | EC               | CORP              | US        |     57240 | NS      | $283910.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PROCTER  AND  GAMBLE CO/THE                                                     | COMMON STOCK                          | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |    126746 | NS      | $19209623.76  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | COMMON STOCK                          | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     10100 | NS      | $846279.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BALL CORP                                                                       | COMMON STOCK                          | CUSIP: 058498106<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | EC               | CORP              | US        |     40250 | NS      | $2058385.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| VORNADO REALTY TRUST                                                            | COMMON STOCK                          | CUSIP: 929042109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     99240 | NS      | $2065184.40   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HERSHEY CO/THE                                                                  | COMMON STOCK                          | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |     22138 | NS      | $5126496.66   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | COMMON STOCK                          | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |    184819 | NS      | $11687953.56  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| KORN FERRY                                                                      | COMMON STOCK                          | CUSIP: 500643200<br>LEI: 549300FOD20OM0GT5G40 | Long             | EC               | CORP              | US        |     10232 | NS      | $517943.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UMB FINANCIAL CORP                                                              | COMMON STOCK                          | CUSIP: 902788108<br>LEI: 549300MGEH3N3CUCV828 | Long             | EC               | CORP              | US        |      7125 | NS      | $595080.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WALMART INC                                                                     | COMMON STOCK                          | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     84875 | NS      | $12034426.25  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                   | COMMON STOCK                          | CUSIP: 008252108<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | EC               | CORP              | US        |      4900 | NS      | $776307.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUITY LIFESTYLE PROPERTIES INC                                                 | COMMON STOCK                          | CUSIP: 29472R108<br>LEI: 529900PEQG66LENB6798 | Long             | EC               | CORP              | US        |     12187 | NS      | $787280.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WINTRUST FINANCIAL CORP                                                         | COMMON STOCK                          | CUSIP: 97650W108<br>LEI: Q774KI4AW80FHFW33O61 | Long             | EC               | CORP              | US        |      9143 | NS      | $772766.36    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                            | COMMON STOCK                          | CUSIP: 87305R109<br>LEI: 549300SC4BDOIS008048 | Long             | EC               | CORP              | US        |      3144 | NS      | $47411.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE INC                                                                        | COMMON STOCK                          | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     44028 | NS      | $5151716.28   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY CORP                                                                | COMMON STOCK                          | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Long             | EC               | CORP              | US        |     20718 | NS      | $868912.92    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SM ENERGY CO                                                                    | COMMON STOCK                          | CUSIP: 78454L100<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | EC               | CORP              | US        |     15776 | NS      | $549478.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AMDOCS LTD                                                                      | COMMON STOCK                          | CUSIP: G02602103<br>LEI: 549300HQV672RJ7RQV66 | Long             | EC               | CORP              | US        |     19900 | NS      | $1808910.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| PNM RESOURCES INC                                                               | COMMON STOCK                          | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |     13246 | NS      | $646272.34    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                            | COMMON STOCK                          | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |     18400 | NS      | $8951416.00   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| EAST WEST BANCORP INC                                                           | COMMON STOCK                          | CUSIP: 27579R104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11000 | NS      | $724900.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TETRA TECH INC                                                                  | COMMON STOCK                          | CUSIP: 88162G103<br>LEI: 549300UJ1LP7JGJC5P32 | Long             | EC               | CORP              | US        |      5457 | NS      | $792301.83    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLETE INC                                                                      | COMMON STOCK                          | CUSIP: 018522300<br>LEI: 549300NNLSIMY6Z8OT86 | Long             | EC               | CORP              | US        |      5615 | NS      | $362223.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FLUENCE ENERGY INC                                                              | COMMON STOCK                          | CUSIP: 34379V103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10852 | NS      | $186111.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| 2SEVENTY BIO INC                                                                | COMMON STOCK                          | CUSIP: 901384107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6006 | NS      | $56276.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENFUSION INC                                                                    | COMMON STOCK                          | CUSIP: 292812104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10994 | NS      | $106311.98    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST WATCH RESTAURANT GROUP INC                                                | COMMON STOCK                          | CUSIP: 33748L101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13170 | NS      | $178190.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UDEMY INC                                                                       | COMMON STOCK                          | CUSIP: 902685106<br>LEI: 2549000T304QU9SAM180 | Long             | EC               | CORP              | US        |      9955 | NS      | $105025.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| APOLLO ASSET MANAGEMENT INC                                                     | COMMON STOCK                          | CUSIP: 03769M106<br>LEI: 54930054P2G7ZJB0KM79 | Long             | EC               | CORP              | US        |     40559 | NS      | $2587258.61   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION ENERGY CORP                                                       | COMMON STOCK                          | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Long             | EC               | CORP              | US        |     37323 | NS      | $3217615.83   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| USERTESTING INC                                                                 | COMMON STOCK                          | CUSIP: 91734E101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41691 | NS      | $313099.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VACASA INC                                                                      | COMMON STOCK                          | CUSIP: 91854V107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     67955 | NS      | $85623.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CINCOR PHARMA INC                                                               | COMMON STOCK                          | CUSIP: 17240Y109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9950 | NS      | $122285.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMYLYX PHARMACEUTICALS INC                                                      | COMMON STOCK                          | CUSIP: 03237H101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6342 | NS      | $234336.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCELLX INC                                                                     | COMMON STOCK                          | CUSIP: 03940C100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5317 | NS      | $164720.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WARNER BROS DISCOVERY INC                                                       | COMMON STOCK                          | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |     71357 | NS      | $676464.36    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LIGHT  AND  WONDER INC                                                          | COMMON STOCK                          | CUSIP: 80874P109<br>LEI: 529900JXALYBOHXKFM62 | Long             | EC               | CORP              | US        |      9193 | NS      | $538709.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BIOHAVEN LTD                                                                    | COMMON STOCK                          | CUSIP: G1110E107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6689 | NS      | $92843.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ATLASSIAN CORP                                                                  | COMMON STOCK                          | CUSIP: 049468101<br>LEI: 549300V7ZY5P02D2MY38 | Long             | EC               | CORP              | US        |     21000 | NS      | $2702280.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| EOG RESOURCES INC                                                               | COMMON STOCK                          | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |     11831 | NS      | $1532351.12   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UNUM GROUP                                                                      | COMMON STOCK                          | CUSIP: 91529Y106<br>LEI: 549300E32YFDO6TZ8R31 | Long             | EC               | CORP              | US        |     19017 | NS      | $780267.51    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | COMMON STOCK                          | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    133717 | NS      | $5521174.93   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BANCORP/PUERTO RICO                                                       | COMMON STOCK                          | CUSIP: 318672706<br>LEI: 5493000C44WC17AV1S09 | Long             | EC               | CORP              | PR        |     39371 | NS      | $500799.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FOOT LOCKER INC                                                                 | COMMON STOCK                          | CUSIP: 344849104<br>LEI: 549300X383CBNP6MTV94 | Long             | EC               | CORP              | US        |      3274 | NS      | $123724.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALBANY INTERNATIONAL CORP                                                       | COMMON STOCK                          | CUSIP: 012348108<br>LEI: L73WCPNCZIRSQGZTW097 | Long             | EC               | CORP              | US        |      1511 | NS      | $148969.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INCYTE CORP                                                                     | COMMON STOCK                          | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |      9491 | NS      | $762317.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS INC                                                    | COMMON STOCK                          | CUSIP: 303075105<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | EC               | CORP              | US        |      1989 | NS      | $798006.69    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAZER HOMES USA INC                                                            | COMMON STOCK                          | CUSIP: 07556Q881<br>LEI: 549300DUPYT2T0F60I45 | Long             | EC               | CORP              | US        |     11499 | NS      | $146727.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | COMMON STOCK                          | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |     55799 | NS      | $5187075.04   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                                               | COMMON STOCK                          | CUSIP: 857477103<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EC               | CORP              | US        |     24098 | NS      | $1869281.86   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| INTUIT INC                                                                      | COMMON STOCK                          | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |     12643 | NS      | $4920908.46   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON FEDERAL INC                                                          | COMMON STOCK                          | CUSIP: 938824109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7989 | NS      | $268030.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALKERMES PLC                                                                    | COMMON STOCK                          | CUSIP: G01767105<br>LEI: 549300YHRMYLL071E243 | Long             | EC               | CORP              | IE        |     23267 | NS      | $607966.71    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                                                 | COMMON STOCK                          | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |    118195 | NS      | $11014592.05  | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA CORP                                                                        | COMMON STOCK                          | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      2783 | NS      | $1049274.49   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| WATERS CORP                                                                     | COMMON STOCK                          | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |      2400 | NS      | $822192.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITIL CORP                                                                     | COMMON STOCK                          | CUSIP: 913259107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2213 | NS      | $113659.68    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ESTEE LAUDER COS INC/THE                                                        | COMMON STOCK                          | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      8952 | NS      | $2221080.72   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NETAPP INC                                                                      | COMMON STOCK                          | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |     11300 | NS      | $678678.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TOLL BROTHERS INC                                                               | COMMON STOCK                          | CUSIP: 889478103<br>LEI: 529900JB6IS9MSZGVR44 | Long             | EC               | CORP              | US        |     24078 | NS      | $1201973.76   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                                         | COMMON STOCK                          | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    128856 | NS      | $10728550.56  | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| MACY'S INC                                                                      | COMMON STOCK                          | CUSIP: 55616P104<br>LEI: 529900NZQ81TIOW3CW52 | Long             | EC               | CORP              | US        |     38400 | NS      | $792960.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ITRON INC                                                                       | COMMON STOCK                          | CUSIP: 465741106<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | EC               | CORP              | US        |     10902 | NS      | $552186.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TEREX CORP                                                                      | COMMON STOCK                          | CUSIP: 880779103<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | EC               | CORP              | US        |     14406 | NS      | $615424.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MODINE MANUFACTURING CO                                                         | COMMON STOCK                          | CUSIP: 607828100<br>LEI: Z35SZFYJR8GZZRSIUU09 | Long             | EC               | CORP              | US        |     18514 | NS      | $367688.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AVID TECHNOLOGY INC                                                             | COMMON STOCK                          | CUSIP: 05367P100<br>LEI: 549300PQGW3DXKJTQ914 | Long             | EC               | CORP              | US        |     17348 | NS      | $461283.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| O-I GLASS INC                                                                   | COMMON STOCK                          | CUSIP: 67098H104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31652 | NS      | $524473.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SPROUT SOCIAL INC                                                               | COMMON STOCK                          | CUSIP: 85209W109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9355 | NS      | $528183.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                             | COMMON STOCK                          | CUSIP: 68902V107<br>LEI: 549300ZLBKR8VSU25153 | Long             | EC               | CORP              | US        |     10000 | NS      | $783100.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | COMMON STOCK                          | CUSIP: 14448C104<br>LEI: 549300JE3W6CWY2NAN77 | Long             | EC               | CORP              | US        |     20755 | NS      | $856143.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KEROS THERAPEUTICS INC                                                          | COMMON STOCK                          | CUSIP: 492327101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2334 | NS      | $112078.68    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INARI MEDICAL INC                                                               | COMMON STOCK                          | CUSIP: 45332Y109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1596 | NS      | $101441.76    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ADEIA INC                                                                       | COMMON STOCK                          | CUSIP: 00676P107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     29123 | NS      | $276086.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SUMO LOGIC INC                                                                  | COMMON STOCK                          | CUSIP: 86646P103<br>LEI: 549300L85NQSIULERR88 | Long             | EC               | CORP              | US        |     34543 | NS      | $279798.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SNOWFLAKE INC                                                                   | COMMON STOCK                          | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |      6051 | NS      | $868560.54    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VONTIER CORP                                                                    | COMMON STOCK                          | CUSIP: 928881101<br>LEI: 549300VVSQLG4P5K4639 | Long             | EC               | CORP              | US        |     66820 | NS      | $1291630.60   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| PROG HOLDINGS INC                                                               | COMMON STOCK                          | CUSIP: 74319R101<br>LEI: 549300DHYTLBOVRXIG52 | Long             | EC               | CORP              | US        |      6203 | NS      | $104768.67    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALIFORNIA RESOURCES CORP                                                       | COMMON STOCK                          | CUSIP: 13057Q305<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | EC               | CORP              | US        |     12668 | NS      | $551184.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHORD ENERGY CORP                                                               | COMMON STOCK                          | CUSIP: 674215207<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | EC               | CORP              | US        |      4249 | NS      | $581305.69    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DYNE THERAPEUTICS INC                                                           | COMMON STOCK                          | CUSIP: 26818M108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10639 | NS      | $123306.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DOORDASH INC                                                                    | COMMON STOCK                          | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Long             | EC               | CORP              | US        |     15600 | NS      | $761592.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AIRBNB INC                                                                      | COMMON STOCK                          | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |     33699 | NS      | $2881264.50   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| TOAST INC                                                                       | COMMON STOCK                          | CUSIP: 888787108<br>LEI: 549300TN1PZNLCD4I551 | Long             | EC               | CORP              | US        |     44000 | NS      | $793320.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMALGAMATED FINANCIAL CORP                                                      | COMMON STOCK                          | CUSIP: 022671101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9949 | NS      | $229224.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ROBLOX CORP                                                                     | COMMON STOCK                          | CUSIP: 771049103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24200 | NS      | $688732.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GINKGO BIOWORKS HOLDINGS INC                                                    | COMMON STOCK                          | CUSIP: 37611X100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    426700 | NS      | $721123.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VIMEO INC                                                                       | COMMON STOCK                          | CUSIP: 92719V100<br>LEI: 25490061AWYWC90UIJ68 | Long             | EC               | CORP              | US        |     23681 | NS      | $81225.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WEATHERFORD INTERNATIONAL PLC                                                   | COMMON STOCK                          | CUSIP: G48833118<br>LEI: 529900LPBDSCQDJKHQ39 | Long             | EC               | CORP              | US        |     15277 | NS      | $777904.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ENOVIX CORP                                                                     | COMMON STOCK                          | CUSIP: 293594107<br>LEI: 549300EC7NZGWORHYJ53 | Long             | EC               | CORP              | US        |      7753 | NS      | $96447.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | COMMON STOCK                          | CUSIP: 46817M107<br>LEI: 213800WXW2KG1N4CO374 | Long             | EC               | CORP              | US        |     17079 | NS      | $594178.41    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ALEXANDER  AND  BALDWIN INC                                                     | COMMON STOCK                          | CUSIP: 014491104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15537 | NS      | $291008.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ADT INC                                                                         | COMMON STOCK                          | CUSIP: 00090Q103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41800 | NS      | $379126.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ZSCALER INC                                                                     | COMMON STOCK                          | CUSIP: 98980G102<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | EC               | CORP              | US        |      5400 | NS      | $604260.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIGHTSPIRE CAPITAL INC                                                         | COMMON STOCK                          | CUSIP: 10949T109<br>LEI: 549300BOIFLLMVU37752 | Long             | EC               | CORP              | US        |     15672 | NS      | $97636.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DROPBOX INC                                                                     | COMMON STOCK                          | CUSIP: 26210C104<br>LEI: 549300JCDF7UAR6TJR51 | Long             | EC               | CORP              | US        |     34567 | NS      | $773609.46    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ALBERTSONS COS INC                                                              | COMMON STOCK                          | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |     38100 | NS      | $790194.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                                                    | COMMON STOCK                          | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     11430 | NS      | $6390855.90   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GRAFTECH INTERNATIONAL LTD                                                      | COMMON STOCK                          | CUSIP: 384313508<br>LEI: 549300GY32W00XP57351 | Long             | EC               | CORP              | US        |     82394 | NS      | $392195.44    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SMARTSHEET INC                                                                  | COMMON STOCK                          | CUSIP: 83200N103<br>LEI: 549300N9WF42OK9VL589 | Long             | EC               | CORP              | US        |     27349 | NS      | $1076456.64   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| DOCUSIGN INC                                                                    | COMMON STOCK                          | CUSIP: 256163106<br>LEI: 549300Q7PVDWRZ39JG09 | Long             | EC               | CORP              | US        |     16710 | NS      | $926068.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| INSPIRE MEDICAL SYSTEMS INC                                                     | COMMON STOCK                          | CUSIP: 457730109<br>LEI: 549300XQQCQ7HCJKTW25 | Long             | EC               | CORP              | US        |      3636 | NS      | $915835.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | COMMON STOCK                          | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |    123295 | NS      | $3538566.50   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TALOS ENERGY INC                                                                | COMMON STOCK                          | CUSIP: 87484T108<br>LEI: 549300OKFHZ84SFJFT95 | Long             | EC               | CORP              | US        |     25500 | NS      | $481440.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WYNDHAM HOTELS  AND  RESORTS INC                                                | COMMON STOCK                          | CUSIP: 98311A105<br>LEI: 549300FE3MQ4RVXXC673 | Long             | EC               | CORP              | US        |     10700 | NS      | $763017.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BJ'S WHOLESALE CLUB HOLDINGS INC                                                | COMMON STOCK                          | CUSIP: 05550J101<br>LEI: 549300UCIWH1C93V0J03 | Long             | EC               | CORP              | US        |     54548 | NS      | $3608895.68   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMO INC                                                                        | COMMON STOCK                          | CUSIP: 257554105<br>LEI: 549300X57AGT5JULJ761 | Long             | EC               | CORP              | US        |     24009 | NS      | $341888.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CUSHMAN  AND  WAKEFIELD PLC                                                     | COMMON STOCK                          | CUSIP: G2717B108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30485 | NS      | $379843.10    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| KINIKSA PHARMACEUTICALS LTD                                                     | COMMON STOCK                          | CUSIP: G5269C101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6614 | NS      | $99077.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ESSENTIAL PROPERTIES REALTY TRUST INC                                           | COMMON STOCK                          | CUSIP: 29670E107<br>LEI: 2549009LXQLVYCGLZO50 | Long             | EC               | CORP              | US        |     27451 | NS      | $644274.97    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CRINETICS PHARMACEUTICALS INC                                                   | COMMON STOCK                          | CUSIP: 22663K107<br>LEI: 549300Q1CNFXK5P31D28 | Long             | EC               | CORP              | US        |      6446 | NS      | $117961.80    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARLO TECHNOLOGIES INC                                                           | COMMON STOCK                          | CUSIP: 04206A101<br>LEI: 549300T4EUX2OQ75HV52 | Long             | EC               | CORP              | US        |     28401 | NS      | $99687.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHWEST NATURAL HOLDING CO                                                    | COMMON STOCK                          | CUSIP: 66765N105<br>LEI: 254900PSJL6ZEC8FR782 | Long             | EC               | CORP              | US        |      6445 | NS      | $306717.55    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RESIDEO TECHNOLOGIES INC                                                        | COMMON STOCK                          | CUSIP: 76118Y104<br>LEI: 5493006TKFPYISY2DS54 | Long             | EC               | CORP              | US        |      6770 | NS      | $111366.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCOSA INC                                                                      | COMMON STOCK                          | CUSIP: 039653100<br>LEI: 549300WFHLTCZV7D6V29 | Long             | EC               | CORP              | US        |      1622 | NS      | $88139.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                 | COMMON STOCK                          | CUSIP: 70932M107<br>LEI: 549300W1D516HBDEU871 | Long             | EC               | CORP              | US        |      9661 | NS      | $547392.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL MONEY EXPRESS INC                                                 | COMMON STOCK                          | CUSIP: 46005L101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11862 | NS      | $289076.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | COMMON STOCK                          | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |     19161 | NS      | $6348805.74   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| ARVINAS INC                                                                     | COMMON STOCK                          | CUSIP: 04335A105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2390 | NS      | $81761.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRONOX HOLDINGS PLC                                                             | COMMON STOCK                          | CUSIP: G9087Q102<br>LEI: 549300NRVC84SGJSXV06 | Long             | EC               | CORP              | US        |     37731 | NS      | $517292.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DOW INC                                                                         | COMMON STOCK                          | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |     16188 | NS      | $815713.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PINTEREST INC                                                                   | COMMON STOCK                          | CUSIP: 72352L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32300 | NS      | $784244.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NGM BIOPHARMACEUTICALS INC                                                      | COMMON STOCK                          | CUSIP: 62921N105<br>LEI: 5493008V5DSDZIGQOP17 | Long             | EC               | CORP              | US        |      8364 | NS      | $41987.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | COMMON STOCK                          | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    118634 | NS      | $124565.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | COMMON STOCK                          | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |    301951 | NS      | $7467248.23   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                                 | COMMON STOCK                          | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13480 | NS      | $82632.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSMEDICS GROUP INC                                                           | COMMON STOCK                          | CUSIP: 89377M109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10181 | NS      | $628371.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH PLAINS FINANCIAL INC                                                      | COMMON STOCK                          | CUSIP: 83946P107<br>LEI: 549300SNEBP48642N493 | Long             | EC               | CORP              | US        |      1861 | NS      | $51233.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KONTOOR BRANDS INC                                                              | COMMON STOCK                          | CUSIP: 50050N103<br>LEI: 549300M0CPXV65RFF271 | Long             | EC               | CORP              | US        |      2929 | NS      | $117130.71    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CORTEVA INC                                                                     | COMMON STOCK                          | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |    166884 | NS      | $9809441.52   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| ADAPTIVE BIOTECHNOLOGIES CORP                                                   | COMMON STOCK                          | CUSIP: 00650F109<br>LEI: 549300ZTF7OT1FW66Q96 | Long             | EC               | CORP              | US        |     57859 | NS      | $442042.76    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIDGEBIO PHARMA INC                                                            | COMMON STOCK                          | CUSIP: 10806X102<br>LEI: 54930028YG89VTY2J114 | Long             | EC               | CORP              | US        |      9601 | NS      | $73159.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CAMBIUM NETWORKS CORP                                                           | COMMON STOCK                          | CUSIP: G17766109<br>LEI: 549300OYSIGK6OT5WL04 | Long             | EC               | CORP              | US        |      5233 | NS      | $113399.11    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CASTLE BIOSCIENCES INC                                                          | COMMON STOCK                          | CUSIP: 14843C105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2229 | NS      | $52470.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KARUNA THERAPEUTICS INC                                                         | COMMON STOCK                          | CUSIP: 48576A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3543 | NS      | $696199.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| IGM BIOSCIENCES INC                                                             | COMMON STOCK                          | CUSIP: 449585108<br>LEI: 5493008XCQES2N0VY969 | Long             | EC               | CORP              | US        |      4264 | NS      | $72530.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RAPT THERAPEUTICS INC                                                           | COMMON STOCK                          | CUSIP: 75382E109<br>LEI: 549300MB473BIU78ES48 | Long             | EC               | CORP              | US        |      6163 | NS      | $122027.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VIR BIOTECHNOLOGY INC                                                           | COMMON STOCK                          | CUSIP: 92764N102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     21602 | NS      | $546746.62    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HOSTESS BRANDS INC                                                              | COMMON STOCK                          | CUSIP: 44109J106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25078 | NS      | $562750.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RED ROCK RESORTS INC                                                            | COMMON STOCK                          | CUSIP: 75700L108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13874 | NS      | $555098.74    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMMUNICATIONS INC                                                      | COMMON STOCK                          | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | EC               | CORP              | US        |      8975 | NS      | $3043422.50   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| US FOODS HOLDING CORP                                                           | COMMON STOCK                          | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |     10700 | NS      | $364014.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GMS INC                                                                         | COMMON STOCK                          | CUSIP: 36251C103<br>LEI: 52990057RENOQO4U0D72 | Long             | EC               | CORP              | US        |      7648 | NS      | $380870.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDLAND STATES BANCORP INC                                                      | COMMON STOCK                          | CUSIP: 597742105<br>LEI: 5493006RHXW9TTBWYC94 | Long             | EC               | CORP              | US        |      3053 | NS      | $81270.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTIVE CORP                                                                    | COMMON STOCK                          | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Long             | EC               | CORP              | US        |     73641 | NS      | $4731434.25   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| ADVANSIX INC                                                                    | COMMON STOCK                          | CUSIP: 00773T101<br>LEI: 5493009TPRODMCAZLF67 | Long             | EC               | CORP              | US        |      8320 | NS      | $316326.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ATKORE INC                                                                      | COMMON STOCK                          | CUSIP: 047649108<br>LEI: 52990002TI38AM4RPV48 | Long             | EC               | CORP              | US        |      6805 | NS      | $771823.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDPACE HOLDINGS INC                                                            | COMMON STOCK                          | CUSIP: 58506Q109<br>LEI: 549300H8TYEUVTW14A54 | Long             | EC               | CORP              | US        |       784 | NS      | $166529.44    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TRADE DESK INC/THE                                                              | COMMON STOCK                          | CUSIP: 88339J105<br>LEI: 549300GXPD31VT3E0P46 | Long             | EC               | CORP              | US        |     15500 | NS      | $694865.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DONNELLEY FINANCIAL SOLUTIONS INC                                               | COMMON STOCK                          | CUSIP: 25787G100<br>LEI: 549300O1NPY4J56QCU04 | Long             | EC               | CORP              | US        |      2844 | NS      | $109920.60    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FULGENT GENETICS INC                                                            | COMMON STOCK                          | CUSIP: 359664109<br>LEI: 549300CL6P01M68QJ404 | Long             | EC               | CORP              | US        |      9516 | NS      | $283386.48    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTRA CORP                                                                     | COMMON STOCK                          | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |     32144 | NS      | $745740.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ALCOA CORP                                                                      | COMMON STOCK                          | CUSIP: 013872106<br>LEI: 549300T12EZ1F6PWWU29 | Long             | EC               | CORP              | US        |     19834 | NS      | $901851.98    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTIER OILFIELD SOLUTIONS INC                                                  | COMMON STOCK                          | CUSIP: 65290C105<br>LEI: 529900L27H2D4QT0IT24 | Long             | EC               | CORP              | US        |     16305 | NS      | $150658.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LAUREATE EDUCATION INC                                                          | COMMON STOCK                          | CUSIP: 518613203<br>LEI: 5JL7TMOH5TY3IUYSUP91 | Long             | EC               | CORP              | US        |     42522 | NS      | $409061.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OKTA INC                                                                        | COMMON STOCK                          | CUSIP: 679295105<br>LEI: 549300N8J06I8MRHU620 | Long             | EC               | CORP              | US        |     15800 | NS      | $1079614.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| WARRIOR MET COAL INC                                                            | COMMON STOCK                          | CUSIP: 93627C101<br>LEI: 549300152B1S9YKBYV79 | Long             | EC               | CORP              | US        |     17288 | NS      | $598856.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INGERSOLL RAND INC                                                              | COMMON STOCK                          | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |     66725 | NS      | $3486381.25   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| APPIAN CORP                                                                     | COMMON STOCK                          | CUSIP: 03782L101<br>LEI: 529900NIARIFW7HGU386 | Long             | EC               | CORP              | US        |      4118 | NS      | $134082.08    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CARS.COM INC                                                                    | COMMON STOCK                          | CUSIP: 14575E105<br>LEI: 5493002G6J07LNGX4M98 | Long             | EC               | CORP              | US        |     13419 | NS      | $184779.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE USA INC                                                                  | COMMON STOCK                          | CUSIP: 02156K103<br>LEI: 54930064K3612MGCER95 | Long             | EC               | CORP              | US        |    162700 | NS      | $748420.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DELEK US HOLDINGS INC                                                           | COMMON STOCK                          | CUSIP: 24665A103<br>LEI: 5493003O53JMENV1N385 | Long             | EC               | CORP              | US        |     18348 | NS      | $495396.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SIMPLY GOOD FOODS CO/THE                                                        | COMMON STOCK                          | CUSIP: 82900L102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10669 | NS      | $405742.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TPG RE FINANCE TRUST INC                                                        | COMMON STOCK                          | CUSIP: 87266M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16825 | NS      | $114241.75    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SAFEHOLD INC                                                                    | COMMON STOCK                          | CUSIP: 78645L100<br>LEI: 549300MHMP6BIE0XV355 | Long             | EC               | CORP              | US        |      2478 | NS      | $70920.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GRANITE POINT MORTGAGE TRUST INC                                                | COMMON STOCK                          | CUSIP: 38741L107<br>LEI: 529900VX2HQZ76AYIE02 | Long             | EC               | CORP              | US        |     16983 | NS      | $91028.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LIGHTWAVE LOGIC INC                                                             | COMMON STOCK                          | CUSIP: 532275104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30276 | NS      | $130489.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ROKU INC                                                                        | COMMON STOCK                          | CUSIP: 77543R102<br>LEI: 549300KR6ITU0YIR1T71 | Long             | EC               | CORP              | US        |      7000 | NS      | $284900.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHA METALLURGICAL RESOURCES INC                                               | COMMON STOCK                          | CUSIP: 020764106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3754 | NS      | $549548.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CARGURUS INC                                                                    | COMMON STOCK                          | CUSIP: 141788109<br>LEI: 54930027BKQN6B7X7G78 | Long             | EC               | CORP              | US        |     21407 | NS      | $299912.07    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MONGODB INC                                                                     | COMMON STOCK                          | CUSIP: 60937P106<br>LEI: 549300TPTG69WKWE1Z37 | Long             | EC               | CORP              | US        |      5028 | NS      | $989711.52    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| TRINET GROUP INC                                                                | COMMON STOCK                          | CUSIP: 896288107<br>LEI: 5299003FJVBETSFKE990 | Long             | EC               | CORP              | US        |      7453 | NS      | $505313.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | COMMON STOCK                          | CUSIP: 02005N100<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EC               | CORP              | US        |     28700 | NS      | $701715.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NOW INC                                                                         | COMMON STOCK                          | CUSIP: 67011P100<br>LEI: 549300AVH5SOCFVVDW91 | Long             | EC               | CORP              | US        |     38499 | NS      | $488937.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ARISTA NETWORKS INC                                                             | COMMON STOCK                          | CUSIP: 040413106<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |      5900 | NS      | $715965.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DORIAN LPG LTD                                                                  | COMMON STOCK                          | CUSIP: Y2106R110<br>LEI: 549300WP1W2WGMC7F395 | Long             | EC               | CORP              | US        |     11524 | NS      | $218379.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VERITIV CORP                                                                    | COMMON STOCK                          | CUSIP: 923454102<br>LEI: 529900VQARHWQROHAS58 | Long             | EC               | CORP              | US        |      3693 | NS      | $449475.03    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | COMMON STOCK                          | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |     22322 | NS      | $733500.92    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RYERSON HOLDING CORP                                                            | COMMON STOCK                          | CUSIP: 783754104<br>LEI: 549300JMA41B3ZHOVE45 | Long             | EC               | CORP              | US        |     10041 | NS      | $303840.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES INC                                                       | COMMON STOCK                          | CUSIP: 49338L103<br>LEI: 549300GLKVIO8YRCYN02 | Long             | EC               | CORP              | US        |      4500 | NS      | $769815.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AVANOS MEDICAL INC                                                              | COMMON STOCK                          | CUSIP: 05350V106<br>LEI: 549300YCXWOM7NEWMQ58 | Long             | EC               | CORP              | US        |      9109 | NS      | $246489.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                         | COMMON STOCK                          | CUSIP: 29357K103<br>LEI: 549300O8XOCQSB49UO63 | Long             | EC               | CORP              | US        |      3364 | NS      | $129076.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIBROGEN INC                                                                    | COMMON STOCK                          | CUSIP: 31572Q808<br>LEI: 549300Q914ULWWY95822 | Long             | EC               | CORP              | US        |     32011 | NS      | $512816.22    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| URBAN EDGE PROPERTIES                                                           | COMMON STOCK                          | CUSIP: 91704F104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7040 | NS      | $99193.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTA OUTDOOR INC                                                               | COMMON STOCK                          | CUSIP: 928377100<br>LEI: 549300QI2D33ESTJLN81 | Long             | EC               | CORP              | US        |     13995 | NS      | $341058.15    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FOUNDATION INC                                                            | COMMON STOCK                          | CUSIP: 32026V104<br>LEI: 254900TQZQ6LBCK77E82 | Long             | EC               | CORP              | US        |      7012 | NS      | $100481.96    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GODADDY INC                                                                     | COMMON STOCK                          | CUSIP: 380237107<br>LEI: 549300J8H1TB0I2CB447 | Long             | EC               | CORP              | US        |      9800 | NS      | $733236.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES MANAGEMENT CORP                                                            | COMMON STOCK                          | CUSIP: 03990B101<br>LEI: 529900JUV61FH7B8VW38 | Long             | EC               | CORP              | US        |      9800 | NS      | $670712.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PLC                                               | COMMON STOCK                          | CUSIP: G4863A108<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | EC               | CORP              | US        |     25628 | NS      | $581243.04    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| VIRTU FINANCIAL INC                                                             | COMMON STOCK                          | CUSIP: 928254101<br>LEI: 5493001OPW2K42CH3884 | Long             | EC               | CORP              | US        |     44800 | NS      | $914368.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NV5 GLOBAL INC                                                                  | COMMON STOCK                          | CUSIP: 62945V109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1049 | NS      | $138803.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLE HOSPITALITY REIT INC                                                      | COMMON STOCK                          | CUSIP: 03784Y200<br>LEI: 549300EVZAR0FBZO4F16 | Long             | EC               | CORP              | US        |     16198 | NS      | $255604.44    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                                           | COMMON STOCK                          | CUSIP: 516544103<br>LEI: 5299005HUB5IOJGO7S39 | Long             | EC               | CORP              | US        |      9343 | NS      | $476119.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GLAUKOS CORP                                                                    | COMMON STOCK                          | CUSIP: 377322102<br>LEI: 5299004JA1LHE21M6T14 | Long             | EC               | CORP              | US        |      3079 | NS      | $134490.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TOPBUILD CORP                                                                   | COMMON STOCK                          | CUSIP: 89055F103<br>LEI: 5493007YSKHOL4RWII46 | Long             | EC               | CORP              | US        |      5400 | NS      | $845046.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTROCK CO                                                                     | COMMON STOCK                          | CUSIP: 96145D105<br>LEI: 5493004Z9TCQW68YVL89 | Long             | EC               | CORP              | US        |     21022 | NS      | $739133.52    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TELADOC HEALTH INC                                                              | COMMON STOCK                          | CUSIP: 87918A105<br>LEI: 549300I2PVFBC9MFAC61 | Long             | EC               | CORP              | US        |     28700 | NS      | $678755.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ CO/THE                                                              | COMMON STOCK                          | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Long             | EC               | CORP              | US        |     19400 | NS      | $789774.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                             | COMMON STOCK                          | CUSIP: 70450Y103<br>LEI: 5493005X2GO78EFZ3E94 | Long             | EC               | CORP              | US        |      9600 | NS      | $683712.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTERCRAFT BOAT HOLDINGS INC                                                   | COMMON STOCK                          | CUSIP: 57637H103<br>LEI: 549300IXWX41555YJ117 | Long             | EC               | CORP              | US        |      4575 | NS      | $118355.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| IMMUNITYBIO INC                                                                 | COMMON STOCK                          | CUSIP: 45256X103<br>LEI: 529900J9XLBR4HFL4B83 | Long             | EC               | CORP              | US        |     47959 | NS      | $243152.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PURE STORAGE INC                                                                | COMMON STOCK                          | CUSIP: 74624M102<br>LEI: 549300NPDB0BZTK3WO90 | Long             | EC               | CORP              | US        |    118786 | NS      | $3178713.36   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BANCSHARES INC/THE                                                        | COMMON STOCK                          | CUSIP: 318916103<br>LEI: 5493006DL5RXJODMAF36 | Long             | EC               | CORP              | US        |      3432 | NS      | $109858.32    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RMR GROUP INC/THE                                                               | COMMON STOCK                          | CUSIP: 74967R106<br>LEI: 549300JP4L34E48UJM16 | Long             | EC               | CORP              | US        |      3825 | NS      | $108056.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ZURN ELKAY WATER SOLUTIONS CORP                                                 | COMMON STOCK                          | CUSIP: 98983L108<br>LEI: 549300AM3633XDFU1Q85 | Long             | EC               | CORP              | US        |     20716 | NS      | $438143.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MRC GLOBAL INC                                                                  | COMMON STOCK                          | CUSIP: 55345K103<br>LEI: 529900TSBPOLCLI2L582 | Long             | EC               | CORP              | US        |     17557 | NS      | $203310.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS INC                                                              | COMMON STOCK                          | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |    104857 | NS      | $12618491.38  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICENOW INC                                                                  | COMMON STOCK                          | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      2100 | NS      | $815367.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PALO ALTO NETWORKS INC                                                          | COMMON STOCK                          | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Long             | EC               | CORP              | US        |     39936 | NS      | $5572669.44   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| BLOOMIN' BRANDS INC                                                             | COMMON STOCK                          | CUSIP: 094235108<br>LEI: E1UJ2GO305B5FXGV7N04 | Long             | EC               | CORP              | US        |      6596 | NS      | $132711.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL BANK HOLDINGS CORP                                                     | COMMON STOCK                          | CUSIP: 633707104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3200 | NS      | $134624.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALYS INC                                                                      | COMMON STOCK                          | CUSIP: 74758T303<br>LEI: 549300EMBXYOW9W1XA17 | Long             | EC               | CORP              | US        |      4900 | NS      | $549927.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DAVE  AND  BUSTER'S ENTERTAINMENT INC                                           | COMMON STOCK                          | CUSIP: 238337109<br>LEI: 529900WTVU85QZLYHR86 | Long             | EC               | CORP              | US        |      5240 | NS      | $185705.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ANYWHERE REAL ESTATE INC                                                        | COMMON STOCK                          | CUSIP: 75605Y106<br>LEI: 5493004HBTOTE9DI9P12 | Long             | EC               | CORP              | US        |     32092 | NS      | $205067.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMBARELLA INC                                                                   | COMMON STOCK                          | CUSIP: G037AX101<br>LEI: 254900XN7F4DG0CEKC02 | Long             | EC               | CORP              | US        |      1784 | NS      | $146698.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WORKDAY INC                                                                     | COMMON STOCK                          | CUSIP: 98138H101<br>LEI: 549300J0DYC0N31V7G13 | Long             | EC               | CORP              | US        |      5400 | NS      | $903582.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCEPT PHARMACEUTICALS INC                                                   | COMMON STOCK                          | CUSIP: 45845P108<br>LEI: 254900JMB8TX5P688V24 | Long             | EC               | CORP              | US        |      9575 | NS      | $118442.75    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPIRIT REALTY CAPITAL INC                                                       | COMMON STOCK                          | CUSIP: 84860W300<br>LEI: 549300LTU6LVPZSHMJ25 | Long             | EC               | CORP              | US        |     18500 | NS      | $738705.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PBF ENERGY INC                                                                  | COMMON STOCK                          | CUSIP: 69318G106<br>LEI: 2549003PBEDCSZMZIY02 | Long             | EC               | CORP              | US        |     15331 | NS      | $625198.18    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GROUP INC/THE                                                           | COMMON STOCK                          | CUSIP: 14316J108<br>LEI: 529900NGGVF94UK6PG95 | Long             | EC               | CORP              | US        |    106223 | NS      | $3169694.32   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                                      | COMMON STOCK                          | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     88263 | NS      | $14264183.43  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| TRI POINTE HOMES INC                                                            | COMMON STOCK                          | CUSIP: 87265H109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26592 | NS      | $494345.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOISE CASCADE CO                                                                | COMMON STOCK                          | CUSIP: 09739D100<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | EC               | CORP              | US        |      8249 | NS      | $566458.83    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TAYLOR MORRISON HOME CORP                                                       | COMMON STOCK                          | CUSIP: 87724P106<br>LEI: 5299009UDLLGLKOOJE30 | Long             | EC               | CORP              | US        |     15384 | NS      | $466904.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ENANTA PHARMACEUTICALS INC                                                      | COMMON STOCK                          | CUSIP: 29251M106<br>LEI: 529900SSN4DODDQSN594 | Long             | EC               | CORP              | US        |      8867 | NS      | $412492.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| IQVIA HOLDINGS INC                                                              | COMMON STOCK                          | CUSIP: 46266C105<br>LEI: 549300W3R20NM4KQPH86 | Long             | EC               | CORP              | US        |     13150 | NS      | $2694303.50   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ARMADA HOFFLER PROPERTIES INC                                                   | COMMON STOCK                          | CUSIP: 04208T108<br>LEI: 549300WQRSIV6XZT9313 | Long             | EC               | CORP              | US        |      8666 | NS      | $99659.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CUSTOMERS BANCORP INC                                                           | COMMON STOCK                          | CUSIP: 23204G100<br>LEI: 549300WLBCHYKZ53FN68 | Long             | EC               | CORP              | US        |     11911 | NS      | $337557.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PTC THERAPEUTICS INC                                                            | COMMON STOCK                          | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Long             | EC               | CORP              | US        |     16729 | NS      | $638545.93    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MURPHY USA INC                                                                  | COMMON STOCK                          | CUSIP: 626755102<br>LEI: 549300Y081F8XIKQIO72 | Long             | EC               | CORP              | US        |       459 | NS      | $128308.86    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| IVERIC BIO INC                                                                  | COMMON STOCK                          | CUSIP: 46583P102<br>LEI: 549300GZXI59U71XPM70 | Long             | EC               | CORP              | US        |      6403 | NS      | $137088.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RINGCENTRAL INC                                                                 | COMMON STOCK                          | CUSIP: 76680R206<br>LEI: 549300C8EH0H1614VE84 | Long             | EC               | CORP              | US        |     22100 | NS      | $782340.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RE/MAX HOLDINGS INC                                                             | COMMON STOCK                          | CUSIP: 75524W108<br>LEI: 54930033W2KS56JHAN30 | Long             | EC               | CORP              | US        |      5385 | NS      | $100376.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GAMING AND LEISURE PROPERTIES INC                                               | COMMON STOCK                          | CUSIP: 36467J108<br>LEI: 5493006GWRDBCZYWTM57 | Long             | EC               | CORP              | US        |     92208 | NS      | $4803114.72   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIXMOR PROPERTY GROUP INC                                                      | COMMON STOCK                          | CUSIP: 11120U105<br>LEI: 5299007UXW6Y0W2EGZ95 | Long             | EC               | CORP              | US        |     33251 | NS      | $753800.17    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ESSENT GROUP LTD                                                                | COMMON STOCK                          | CUSIP: G3198U102<br>LEI: 254900QUO860OUT6ZF83 | Long             | EC               | CORP              | US        |     16843 | NS      | $654855.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KARYOPHARM THERAPEUTICS INC                                                     | COMMON STOCK                          | CUSIP: 48576U106<br>LEI: 549300J1VANRCNTYST87 | Long             | EC               | CORP              | US        |     66661 | NS      | $226647.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                     | COMMON STOCK                          | CUSIP: 575385109<br>LEI: 549300H0H07ZFT4JYM32 | Long             | EC               | CORP              | US        |      1809 | NS      | $145823.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HILTON WORLDWIDE HOLDINGS INC                                                   | COMMON STOCK                          | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     23618 | NS      | $2984370.48   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| MARCUS  AND  MILLICHAP INC                                                      | COMMON STOCK                          | CUSIP: 566324109<br>LEI: 549300B2HE8ULXNB1N48 | Long             | EC               | CORP              | US        |      7072 | NS      | $243630.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MR COOPER GROUP INC                                                             | COMMON STOCK                          | CUSIP: 62482R107<br>LEI: 549300KD8C6DPXYC2M26 | Long             | EC               | CORP              | US        |     13849 | NS      | $555760.37    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| XENCOR INC                                                                      | COMMON STOCK                          | CUSIP: 98401F105<br>LEI: 549300V5IF65437JKG30 | Long             | EC               | CORP              | US        |      6571 | NS      | $171108.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| A10 NETWORKS INC                                                                | COMMON STOCK                          | CUSIP: 002121101<br>LEI: 549300UQD4IWUML81Q35 | Long             | EC               | CORP              | US        |     30572 | NS      | $508412.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OUTFRONT MEDIA INC                                                              | COMMON STOCK                          | CUSIP: 69007J106<br>LEI: 549300RZWDYU5722I639 | Long             | EC               | CORP              | US        |     32207 | NS      | $533992.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                                                    | COMMON STOCK                          | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    151604 | NS      | $13451822.92  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| NAVIENT CORP                                                                    | COMMON STOCK                          | CUSIP: 63938C108<br>LEI: 54930067J0ZNOEBRW338 | Long             | EC               | CORP              | US        |     36997 | NS      | $608600.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HERC HOLDINGS INC                                                               | COMMON STOCK                          | CUSIP: 42704L104<br>LEI: 549300TP80QLITMSBP82 | Long             | EC               | CORP              | US        |       965 | NS      | $126965.05    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EMPLOYERS HOLDINGS INC                                                          | COMMON STOCK                          | CUSIP: 292218104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3168 | NS      | $136635.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE US INC                                                                 | COMMON STOCK                          | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     39938 | NS      | $5591320.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SUPER MICRO COMPUTER INC                                                        | COMMON STOCK                          | CUSIP: 86800U104<br>LEI: 54930022CZO1N2UGVW07 | Long             | EC               | CORP              | US        |      8398 | NS      | $689475.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVER FINANCIAL SERVICES                                                     | COMMON STOCK                          | CUSIP: 254709108<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | EC               | CORP              | US        |     49863 | NS      | $4878097.29   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE INC                                                                  | COMMON STOCK                          | CUSIP: 09260D107<br>LEI: 5299004LW4QWGZUB8Y96 | Long             | EC               | CORP              | US        |      8163 | NS      | $605612.97    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | COMMON STOCK                          | CUSIP: G51502105<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | US        |    119130 | NS      | $7624320.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| PROS HOLDINGS INC                                                               | COMMON STOCK                          | CUSIP: 74346Y103<br>LEI: 549300LPE1KNL5RWKQ48 | Long             | EC               | CORP              | US        |     10042 | NS      | $243618.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTA BEAUTY INC                                                                 | COMMON STOCK                          | CUSIP: 90384S303<br>LEI: 529900CIV6HN8M28YM82 | Long             | EC               | CORP              | US        |      1700 | NS      | $797419.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS CORP                                             | COMMON STOCK                          | CUSIP: 76131N101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     27362 | NS      | $411250.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MSCI INC                                                                        | COMMON STOCK                          | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |      7293 | NS      | $3392484.81   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ECHOSTAR CORP                                                                   | COMMON STOCK                          | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Long             | EC               | CORP              | US        |     14130 | NS      | $235688.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TITAN MACHINERY INC                                                             | COMMON STOCK                          | CUSIP: 88830R101<br>LEI: 549300835ZM8G0BT5C94 | Long             | EC               | CORP              | US        |      5137 | NS      | $204093.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VISA INC                                                                        | COMMON STOCK                          | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     37175 | NS      | $7723478.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | COMMON STOCK                          | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    117616 | NS      | $11903915.36  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| HILLENBRAND INC                                                                 | COMMON STOCK                          | CUSIP: 431571108<br>LEI: U246OE781574J2BUD366 | Long             | EC               | CORP              | US        |     12710 | NS      | $542335.70    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INTREPID POTASH INC                                                             | COMMON STOCK                          | CUSIP: 46121Y201<br>LEI: 549300OZ696E2PRRTO45 | Long             | EC               | CORP              | US        |      3154 | NS      | $91055.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HERITAGE-CRYSTAL CLEAN INC                                                      | COMMON STOCK                          | CUSIP: 42726M106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4202 | NS      | $136480.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | COMMON STOCK                          | CUSIP: 49271V100<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | EC               | CORP              | US        |    114624 | NS      | $4087491.84   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| SAFE BULKERS INC                                                                | COMMON STOCK                          | CUSIP: Y7388L103<br>LEI: 549300V6ZM2HJJYQQO85 | Long             | EC               | CORP              | MC        |     38964 | NS      | $113385.24    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MYR GROUP INC                                                                   | COMMON STOCK                          | CUSIP: 55405W104<br>LEI: 529900G1IMMZHOQ17I54 | Long             | EC               | CORP              | US        |      1306 | NS      | $120243.42    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEARWATER PAPER CORP                                                           | COMMON STOCK                          | CUSIP: 18538R103<br>LEI: 549300HCVV19GXN4P292 | Long             | EC               | CORP              | US        |      4243 | NS      | $160427.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VIRTUS INVESTMENT PARTNERS INC                                                  | COMMON STOCK                          | CUSIP: 92828Q109<br>LEI: 549300HWF93HB8BDM648 | Long             | EC               | CORP              | US        |      1547 | NS      | $296157.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | COMMON STOCK                          | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Long             | EC               | CORP              | US        |     17966 | NS      | $2381572.96   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| KENNEDY-WILSON HOLDINGS INC                                                     | COMMON STOCK                          | CUSIP: 489398107<br>LEI: 549300MOI1T78144X610 | Long             | EC               | CORP              | US        |      6675 | NS      | $104997.75    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SELECT MEDICAL HOLDINGS CORP                                                    | COMMON STOCK                          | CUSIP: 81619Q105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4078 | NS      | $101256.74    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DOLLAR GENERAL CORP                                                             | COMMON STOCK                          | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |      3075 | NS      | $757218.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTINET INC                                                                    | COMMON STOCK                          | CUSIP: 34959E109<br>LEI: 549300O0QJWDBAS0QX03 | Long             | EC               | CORP              | US        |     14620 | NS      | $714771.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TERRENO REALTY CORP                                                             | COMMON STOCK                          | CUSIP: 88146M101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1824 | NS      | $103730.88    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALIX INC                                                                       | COMMON STOCK                          | CUSIP: 13100M509<br>LEI: 5299002RQRZ4SXSCSJ58 | Long             | EC               | CORP              | US        |      5871 | NS      | $401752.53    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MAXLINEAR INC                                                                   | COMMON STOCK                          | CUSIP: 57776J100<br>LEI: 549300EMOI0SM2IY4F64 | Long             | EC               | CORP              | US        |     15305 | NS      | $519604.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SS AND C TECHNOLOGIES HOLDINGS INC                                              | COMMON STOCK                          | CUSIP: 78467J100<br>LEI: 529900POY8H7NPPNKK71 | Long             | EC               | CORP              | US        |     15057 | NS      | $783867.42    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PIEDMONT OFFICE REALTY TRUST INC                                                | COMMON STOCK                          | CUSIP: 720190206<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     22673 | NS      | $207911.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CODEXIS INC                                                                     | COMMON STOCK                          | CUSIP: 192005106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     44239 | NS      | $206153.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHA  AND  OMEGA SEMICONDUCTOR LTD                                             | COMMON STOCK                          | CUSIP: G6331P104<br>LEI: 5493001FE7J03YOV2V35 | Long             | EC               | CORP              | US        |      7838 | NS      | $223931.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TESLA INC                                                                       | COMMON STOCK                          | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |     68953 | NS      | $8493630.54   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTEON CORP                                                                    | COMMON STOCK                          | CUSIP: 92839U206<br>LEI: 549300MOVLYHRW4GGW78 | Long             | EC               | CORP              | US        |      4738 | NS      | $619872.54    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS CO                                                               | COMMON STOCK                          | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |    230256 | NS      | $7745811.84   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| BOOZ ALLEN HAMILTON HOLDING CORP                                                | COMMON STOCK                          | CUSIP: 099502106<br>LEI: 529900JPV47PIUWMA015 | Long             | EC               | CORP              | US        |     19500 | NS      | $2038140.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                                                            | COMMON STOCK                          | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Long             | EC               | CORP              | US        |     11700 | NS      | $859950.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN ASSETS TRUST INC                                                       | COMMON STOCK                          | CUSIP: 024013104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2048 | NS      | $54272.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA HEALTHCARE INC                                                              | COMMON STOCK                          | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |     14643 | NS      | $3513734.28   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| STAG INDUSTRIAL INC                                                             | COMMON STOCK                          | CUSIP: 85254J102<br>LEI: 549300QWYX2W6FASVQ07 | Long             | EC               | CORP              | US        |     21783 | NS      | $703808.73    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| THERMON GROUP HOLDINGS INC                                                      | COMMON STOCK                          | CUSIP: 88362T103<br>LEI: 529900ZNZBBLDE77MZ38 | Long             | EC               | CORP              | US        |      6677 | NS      | $134074.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                         | COMMON STOCK                          | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     60186 | NS      | $7005048.54   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| SUNCOKE ENERGY INC                                                              | COMMON STOCK                          | CUSIP: 86722A103<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | EC               | CORP              | US        |     22476 | NS      | $193967.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US SILICA HOLDINGS INC                                                          | COMMON STOCK                          | CUSIP: 90346E103<br>LEI: 529900HOXGPM9F75C193 | Long             | EC               | CORP              | US        |     21400 | NS      | $267500.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HOMESTREET INC                                                                  | COMMON STOCK                          | CUSIP: 43785V102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4124 | NS      | $113739.92    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLISON TRANSMISSION HOLDINGS INC                                               | COMMON STOCK                          | CUSIP: 01973R101<br>LEI: 529900RP7DJ882LI9T83 | Long             | EC               | CORP              | US        |     27500 | NS      | $1144000.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ENPHASE ENERGY INC                                                              | COMMON STOCK                          | CUSIP: 29355A107<br>LEI: 5493008U7KIGMI59Z314 | Long             | EC               | CORP              | US        |      3000 | NS      | $794880.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | COMMON STOCK - ADR                    | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     78036 | NS      | $5290840.80   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| JD.COM INC                                                                      | COMMON STOCK - ADR                    | CUSIP: 47215P106<br>LEI: 549300HVTWB0GJZ16V92 | Long             | EC               | CORP              | CN        |     13125 | NS      | $736706.25    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PDD HOLDINGS INC                                                                | COMMON STOCK - ADR                    | CUSIP: N/A<br>LEI: 5493000573DS7005T657       | Long             | EC               | CORP              | CN        |     15101 | NS      | $1231486.55   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSOCEAN INC                                                                  | CONV. NOTE                            | CUSIP: 893830BJ7<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | US        |    106000 | PA      | $101892.50    | 0.00%             | 2023-01-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                           | CONV. NOTE                            | CUSIP: 62957HAB1<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    280000 | PA      | $257600.00    | 0.01%             | 2024-01-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                               | CONVERTIBLE BONDS                     | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    125000 | PA      | $78312.50     | 0.00%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US INC                                                                 | CONVERTIBLE PREF                      | CUSIP: 901375105<br>LEI: 549300QHIJYOHPACPG31 | Long             | EP               | CORP              | US        |      1995 | NS      | $2282319.90   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| DANAHER CORP                                                                    | CONVERTIBLE PREF                      | CUSIP: 235851409<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EP               | CORP              | US        |      1250 | NS      | $1696657.30   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0NE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    146036 | PA      | $150782.55    | 0.01%             | 2029-08-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                                  | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    358932 | PA      | $195645.42    | 0.01%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    419530 | PA      | $427951.69    | 0.02%             | 2029-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR12 TRUST                  | CORP CMO                              | CUSIP: 92922F3N6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    274506 | PA      | $232217.55    | 0.01%             | 2035-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR7                         | CORP CMO                              | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    543617 | PA      | $426342.81    | 0.02%             | 2047-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     46272 | PA      | $46576.21     | 0.00%             | 2024-07-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      4823 | PA      | $4878.68      | 0.00%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     26286 | PA      | $27223.23     | 0.00%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     28827 | PA      | $29641.29     | 0.00%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R4                                   | CORP CMO                              | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    105866 | PA      | $102474.83    | 0.00%             | 2047-08-26      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                                 | CORP CMO                              | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    453690 | PA      | $370386.51    | 0.02%             | 2046-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    538401 | PA      | $567933.01    | 0.02%             | 2028-04-25      | Floating      | 10.09%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0GW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    304334 | PA      | $314910.83    | 0.01%             | 2028-04-25      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0HW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    294066 | PA      | $312528.10    | 0.01%             | 2028-07-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    412096 | PA      | $433556.70    | 0.02%             | 2028-08-25      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    278467 | PA      | $296656.58    | 0.01%             | 2028-08-25      | Floating      | 11.34%                | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR9 TRUST                   | CORP CMO                              | CUSIP: 92922FU89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109797 | PA      | $99432.23     | 0.00%             | 2045-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR12 TRUST                  | CORP CMO                              | CUSIP: 92922FZV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    207945 | PA      | $189598.65    | 0.01%             | 2044-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2007-HY2 TRUST                   | CORP CMO                              | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    223509 | PA      | $198360.17    | 0.01%             | 2036-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR11 TRUST                  | CORP CMO                              | CUSIP: 92922F2K3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155617 | PA      | $147084.53    | 0.01%             | 2045-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                                | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    695073 | PA      | $548967.41    | 0.02%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-59                                                  | CORP CMO                              | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    286243 | PA      | $250061.21    | 0.01%             | 2035-11-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                         | CORP CMO                              | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    372000 | PA      | $367214.26    | 0.01%             | 2041-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R02                                    | CORP CMO                              | CUSIP: 20754KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55815 | PA      | $54715.33     | 0.00%             | 2041-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                                    | CORP CMO                              | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7415 | PA      | $7287.20      | 0.00%             | 2041-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CORP CMO                              | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    154719 | PA      | $152204.68    | 0.01%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-65CB                                                | CORP CMO                              | CUSIP: 12668AY90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    501462 | PA      | $339391.34    | 0.01%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     71835 | PA      | $69996.16     | 0.00%             | 2042-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KPV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    168000 | PA      | $159429.38    | 0.01%             | 2042-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CORP CMO                              | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98099 | PA      | $96627.38     | 0.00%             | 2042-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                         | CORP CMO                              | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    245084 | PA      | $241408.04    | 0.01%             | 2042-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                                | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $900000.00    | 0.04%             | 2023-05-29      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R05                                    | CORP CMO                              | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    581000 | PA      | $562154.74    | 0.02%             | 2042-04-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     53204 | PA      | $53789.05     | 0.00%             | 2042-06-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    270452 | PA      | $270452.40    | 0.01%             | 2042-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                       | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    783000 | PA      | $783000.00    | 0.03%             | 2023-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                         | CORP CMO                              | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    540328 | PA      | $523777.62    | 0.02%             | 2032-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                            | CORP CMO                              | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145614 | PA      | $143435.58    | 0.01%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II SERIES 2022-1                  | CORP CMO                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |    450000 | PA      | $450000.00    | 0.02%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                    | CORP CMO                              | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    171241 | PA      | $170862.08    | 0.01%             | 2042-09-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-2                               | CORP CMO                              | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    304526 | PA      | $296627.13    | 0.01%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                    | CORP CMO                              | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    294953 | PA      | $292909.22    | 0.01%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2020-GS1                                            | CORP CMO                              | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    260207 | PA      | $248286.78    | 0.01%             | 2059-10-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                         | CORP CMO                              | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-CBDO         | CORP              | US        |     35438 | PA      | $34890.48     | 0.00%             | 2050-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUST                                                 | CORP CMO                              | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6676 | PA      | $6511.06      | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2020-2                                          | CORP CMO                              | CUSIP: 76123MAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    189000 | PA      | $178547.17    | 0.01%             | 2060-05-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                                   | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    185450 | PA      | $183131.90    | 0.01%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2020-GS5                                            | CORP CMO                              | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133498 | PA      | $129673.42    | 0.01%             | 2060-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-5                                                | CORP CMO                              | CUSIP: 89173CAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177000 | PA      | $159552.23    | 0.01%             | 2056-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                                      | CORP CMO                              | CUSIP: 85573MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    407000 | PA      | $310848.81    | 0.01%             | 2065-04-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-2                                      | CORP CMO                              | CUSIP: 85573DCA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    323000 | PA      | $279093.03    | 0.01%             | 2060-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA5                                         | CORP CMO                              | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39010 | PA      | $39198.54     | 0.00%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     47000 | PA      | $48543.81     | 0.00%             | 2029-09-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    437000 | PA      | $432042.28    | 0.02%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1                                    | CORP CMO                              | CUSIP: 65246PAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    389000 | PA      | $369392.46    | 0.02%             | 2024-05-07      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL4 TRUST                                                            | CORP CMO                              | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182544 | PA      | $171591.33    | 0.01%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2021-1 LTD                                                 | CORP CMO                              | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $143611.17    | 0.01%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST 2020-1                                        | CORP CMO                              | CUSIP: 12062RAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    285000 | PA      | $243786.12    | 0.01%             | 2055-02-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                         | CORP CMO                              | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73941 | PA      | $70703.70     | 0.00%             | 2041-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                            | CORP CMO                              | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    183405 | PA      | $165981.81    | 0.01%             | 2061-07-27      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711X2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     42049 | PA      | $41418.46     | 0.00%             | 2031-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                    | CORP CMO                              | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26306 | PA      | $26117.13     | 0.00%             | 2041-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                               | CORP CMO                              | CUSIP: 12530BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1129000 | PA      | $1067591.43   | 0.04%             | 2031-10-27      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD                                                             | CORP CMO                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-CBDO         | CORP              | BM        |    227125 | PA      | $223112.03    | 0.01%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                           | CORP CMO                              | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |    161802 | PA      | $157697.38    | 0.01%             | 2047-02-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-1                                                    | CORP CMO                              | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58676 | PA      | $53931.96     | 0.00%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA19                                                | CORP CMO                              | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240725 | PA      | $181331.63    | 0.01%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FWDSECURITIZATION TRUST 2019-INV1                                               | CORP CMO                              | CUSIP: 302980AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    495436 | PA      | $443113.81    | 0.02%             | 2049-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                                    | CORP CMO                              | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73307 | PA      | $67148.97     | 0.00%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     47256 | PA      | $46832.33     | 0.00%             | 2029-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2019-4 LTD                                                        | CORP CMO                              | CUSIP: 07876LAC3<br>LEI: 254900KXN235YISGF415 | Long             | ABS-CBDO         | CORP              | BM        |    218949 | PA      | $217237.54    | 0.01%             | 2029-10-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                           | CORP CMO                              | CUSIP: 35564ABN0<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |   1199321 | PA      | $1173112.20   | 0.05%             | 2047-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-GS7                                            | CORP CMO                              | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    270994 | PA      | $266705.72    | 0.01%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1                                   | CORP CMO                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-CBDO         | CORP              | US        |     47729 | PA      | $46648.00     | 0.00%             | 2039-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    398579 | PA      | $421253.05    | 0.02%             | 2028-09-25      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    293938 | PA      | $312268.91    | 0.01%             | 2028-09-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     63678 | PA      | $66641.55     | 0.00%             | 2028-10-25      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    615211 | PA      | $646896.87    | 0.03%             | 2028-04-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    649885 | PA      | $685618.92    | 0.03%             | 2029-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    542233 | PA      | $557176.25    | 0.02%             | 2029-01-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     73099 | PA      | $76635.19     | 0.00%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XDS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    308780 | PA      | $316526.16    | 0.01%             | 2029-04-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    423396 | PA      | $436079.44    | 0.02%             | 2029-05-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0KQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    254721 | PA      | $264211.58    | 0.01%             | 2028-12-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                               | CORP CMO                              | CUSIP: 17307GQZ4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-CBDO         | CORP              | US        |    124188 | PA      | $119832.69    | 0.00%             | 2035-05-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORP MED TERM NOTE                    | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    270000 | PA      | $256095.17    | 0.01%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC  AND  GAS CO                                            | CORP MED TERM NOTE                    | CUSIP: 74456QAV8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75911.22     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | CORP. NOTE                            | CUSIP: 59217GAX7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    155000 | PA      | $154947.23    | 0.01%             | 2023-01-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP                                | CORP. NOTE                            | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72000 | PA      | $71370.00     | 0.00%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | CORP. NOTE                            | CUSIP: 46625HJJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1146000 | PA      | $1140612.12   | 0.05%             | 2023-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                                            | CORP. NOTE                            | CUSIP: 69369EAE9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $198000.00    | 0.01%             | 2023-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                                      | CORP. NOTE                            | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $227873.19    | 0.01%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GOOGLE LLC                                                                      | CORP. NOTE                            | CUSIP: 38259PAD4<br>LEI: 7ZW8QJWVPR4P1J1KQY45 | Long             | DBT              | CORP              | US        |    335000 | PA      | $335328.75    | 0.01%             | 2024-02-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                     | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    159000 | PA      | $159625.88    | 0.01%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORP. NOTE                            | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155037.44    | 0.01%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC                                                                  | CORP. NOTE                            | CUSIP: 304071AA1<br>LEI: 549300JGURHUEU25AZ92 | Long             | DBT              | CORP              | US        |    364000 | PA      | $355052.57    | 0.01%             | 2024-08-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORP. NOTE                            | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $153323.59    | 0.01%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MERCK  AND  CO INC                                                              | CORP. NOTE                            | CUSIP: 58933YAR6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    122000 | PA      | $116908.03    | 0.00%             | 2025-02-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | CORP. NOTE                            | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $380071.62    | 0.02%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRI POINTE GROUP INC / TRI POINTE HOMES INC                                     | CORP. NOTE                            | CUSIP: 962178AN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $144290.95    | 0.01%             | 2024-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $176418.18    | 0.01%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                | CORP. NOTE                            | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $193962.00    | 0.01%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | CORP. NOTE                            | CUSIP: 80281LAA3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    280000 | PA      | $266784.42    | 0.01%             | 2025-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $786942.30    | 0.03%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | CORP. NOTE                            | CUSIP: 780082AD5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    285000 | PA      | $281192.83    | 0.01%             | 2026-01-27      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CORP. NOTE                            | CUSIP: 606822AD6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    255000 | PA      | $243963.51    | 0.01%             | 2026-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORP. NOTE                            | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100815.07    | 0.00%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PULTEGROUP INC                                                                  | CORP. NOTE                            | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $80284.41     | 0.00%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORP. NOTE                            | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157155.12    | 0.01%             | 2026-03-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | CORP. NOTE                            | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $205868.97    | 0.01%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORP. NOTE                            | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $94182.44     | 0.00%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                                 | CORP. NOTE                            | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    155000 | PA      | $150121.78    | 0.01%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | CORP. NOTE                            | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $190550.18    | 0.01%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | CORP. NOTE                            | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    565000 | PA      | $532060.99    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                   | CORP. NOTE                            | CUSIP: 893647BB2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179996.63    | 0.01%             | 2026-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                            | CORP. NOTE                            | CUSIP: 15137NAA1<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |    360000 | PA      | $343350.00    | 0.01%             | 2024-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORP. NOTE                            | CUSIP: 629377CC4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16856.35     | 0.00%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORP. NOTE                            | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    930000 | PA      | $867180.90    | 0.04%             | 2026-08-08      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORP. NOTE                            | CUSIP: 960413AT9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    638000 | PA      | $599470.51    | 0.02%             | 2026-08-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | CORP. NOTE                            | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    347000 | PA      | $320616.44    | 0.01%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORP. NOTE                            | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     62000 | PA      | $60792.48     | 0.00%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    623000 | PA      | $586403.20    | 0.02%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                      | CORP. NOTE                            | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    190000 | PA      | $176799.07    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | CORP. NOTE                            | CUSIP: 478375AR9<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    202000 | PA      | $196154.61    | 0.01%             | 2026-02-14      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI                                                        | CORP. NOTE                            | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    494000 | PA      | $467269.73    | 0.02%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                                          | CORP. NOTE                            | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $371763.40    | 0.02%             | 2027-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1223479.97   | 0.05%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORP. NOTE                            | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67457.95     | 0.00%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                      | CORP. NOTE                            | CUSIP: 335934AL9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    465000 | PA      | $452603.20    | 0.02%             | 2025-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                                 | CORP. NOTE                            | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48617.36     | 0.00%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                                 | CORP. NOTE                            | CUSIP: 12429TAE4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157201.84    | 0.01%             | 2025-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $198181.86    | 0.01%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| USI INC/NY                                                                      | CORP. NOTE                            | CUSIP: 91739VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $236019.39    | 0.01%             | 2025-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AIR METHODS CORP                                                                | CORP. NOTE                            | CUSIP: 00215JAA7<br>LEI: 54930081QGNZXVDOZF63 | Long             | DBT              | CORP              | US        |    265000 | PA      | $13250.00     | 0.00%             | 2025-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SUGARHOUSE HSP GAMING PROP MEZZ LP / SUGARHOUSE HSP GAMING FINANCE CORP         | CORP. NOTE                            | CUSIP: 865033AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $200697.75    | 0.01%             | 2025-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORP. NOTE                            | CUSIP: 037833CU2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    275000 | PA      | $267734.05    | 0.01%             | 2024-05-11      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                         | CORP. NOTE                            | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     96000 | PA      | $90703.27     | 0.00%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                           | CORP. NOTE                            | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58515.43     | 0.00%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC                  | CORP. NOTE                            | CUSIP: 48250NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $139200.00    | 0.01%             | 2027-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND INT'L LTD/LONDON                                                | CORP. NOTE                            | CUSIP: 00182EBF5<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185436.49    | 0.01%             | 2027-07-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORP. NOTE                            | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    600000 | PA      | $542394.26    | 0.02%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $221400.00    | 0.01%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORP. NOTE                            | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    710000 | PA      | $667164.95    | 0.03%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67831.29     | 0.00%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP              | CORP. NOTE                            | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $61070.15     | 0.00%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 2027A0JT7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    580000 | PA      | $536013.73    | 0.02%             | 2027-09-19      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                                          | CORP. NOTE                            | CUSIP: 05565QDN5<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $376105.60    | 0.02%             | 2027-09-19      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE                                                                  | CORP. NOTE                            | CUSIP: 210383AG0<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $240817.50    | 0.01%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                           | CORP. NOTE                            | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    195000 | PA      | $179400.00    | 0.01%             | 2024-11-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                                                         | CORP. NOTE                            | CUSIP: 740212AL9<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |    545000 | PA      | $527287.50    | 0.02%             | 2026-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                 | CORP. NOTE                            | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    465000 | PA      | $423282.38    | 0.02%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                        | CORP. NOTE                            | CUSIP: 588056AW1<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $217853.45    | 0.01%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD/NEW YORK                                            | CORP. NOTE                            | CUSIP: 63254AAY4<br>LEI: 549300E2IPL06NDXMZ63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248800.00    | 0.01%             | 2023-04-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                           | CORP. NOTE                            | CUSIP: 62957HAF2<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    265000 | PA      | $252706.65    | 0.01%             | 2025-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | CORP. NOTE                            | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1513609.34   | 0.06%             | 2023-01-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                               | CORP. NOTE                            | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    335000 | PA      | $295838.50    | 0.01%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                      | CORP. NOTE                            | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    250000 | PA      | $263076.50    | 0.01%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                      | CORP. NOTE                            | CUSIP: 335934AR6<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $189404.32    | 0.01%             | 2026-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK  AND  TRUST CO                                              | CORP. NOTE                            | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    649000 | PA      | $659560.32    | 0.03%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP                      | CORP. NOTE                            | CUSIP: 91740PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $388512.45    | 0.02%             | 2026-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                                   | CORP. NOTE                            | CUSIP: 538034AN9<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    285000 | PA      | $269521.23    | 0.01%             | 2026-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                           | CORP. NOTE                            | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    283000 | PA      | $254551.98    | 0.01%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $187659.88    | 0.01%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | CORP. NOTE                            | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    468000 | PA      | $442302.33    | 0.02%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                           | CORP. NOTE                            | CUSIP: 44332PAD3<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    465000 | PA      | $455230.35    | 0.02%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OSHKOSH CORP                                                                    | CORP. NOTE                            | CUSIP: 688239AF9<br>LEI: 549300FEKNPCFSA2B506 | Long             | DBT              | CORP              | US        |    146000 | PA      | $138753.32    | 0.01%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $205565.69    | 0.01%             | 2024-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORP. NOTE                            | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $191687.84    | 0.01%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                            | CORP. NOTE                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104596.80    | 0.00%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                        | CORP. NOTE                            | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    165000 | PA      | $164295.31    | 0.01%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                  | CORP. NOTE                            | CUSIP: 88167AAL5<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    260000 | PA      | $254821.55    | 0.01%             | 2024-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORP. NOTE                            | CUSIP: 91324PDK5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    740000 | PA      | $708660.63    | 0.03%             | 2028-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | CORP. NOTE                            | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    379000 | PA      | $365360.48    | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PONTUS LTD                                                           | CORP. NOTE                            | CUSIP: 89382PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    128800 | PA      | $126224.00    | 0.01%             | 2025-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                    | CORP. NOTE                            | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     90000 | PA      | $86689.80     | 0.00%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    295000 | PA      | $284208.10    | 0.01%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | CORP. NOTE                            | CUSIP: 26442UAF1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    186000 | PA      | $183984.27    | 0.01%             | 2023-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORP. NOTE                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    240000 | PA      | $237330.48    | 0.01%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | CORP. NOTE                            | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    335000 | PA      | $318211.46    | 0.01%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | CORP. NOTE                            | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    255000 | PA      | $242635.05    | 0.01%             | 2028-08-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC                                                  | CORP. NOTE                            | CUSIP: 10373QAC4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     24000 | PA      | $22917.67     | 0.00%             | 2028-09-21      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORP. NOTE                            | CUSIP: 459506AK7<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    251000 | PA      | $236232.59    | 0.01%             | 2028-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| STEVENS HOLDING CO INC                                                          | CORP. NOTE                            | CUSIP: 86024TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    365000 | PA      | $365912.50    | 0.01%             | 2026-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC                                                  | CORP. NOTE                            | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    270000 | PA      | $255928.68    | 0.01%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC           | CORP. NOTE                            | CUSIP: 013092AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $209333.67    | 0.01%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                                         | CORP. NOTE                            | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    227500 | PA      | $221384.80    | 0.01%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                   | CORP. NOTE                            | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    895000 | PA      | $882640.05    | 0.04%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                   | CORP. NOTE                            | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    105000 | PA      | $96903.45     | 0.00%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                   | CORP. NOTE                            | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    170000 | PA      | $131750.00    | 0.01%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP                      | CORP. NOTE                            | CUSIP: 91740PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $107525.03    | 0.00%             | 2027-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                  | CORP. NOTE                            | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $203694.93    | 0.01%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    115000 | PA      | $104697.73    | 0.00%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MERCK  AND  CO INC                                                              | CORP. NOTE                            | CUSIP: 58933YAU9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18562.50     | 0.00%             | 2024-03-07      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                 | CORP. NOTE                            | CUSIP: 15138AAC4<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    440000 | PA      | $414584.75    | 0.02%             | 2027-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORP. NOTE                            | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    129000 | PA      | $121170.18    | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     84000 | PA      | $83403.52     | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                     | CORP. NOTE                            | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    860000 | PA      | $740184.80    | 0.03%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                           | CORP. NOTE                            | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $201788.17    | 0.01%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                            | CORP. NOTE                            | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110499.60    | 0.00%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | CORP. NOTE                            | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    501000 | PA      | $486338.91    | 0.02%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                        | CORP. NOTE                            | CUSIP: 45174HBD8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    453499 | PA      | $385668.02    | 0.02%             | 2027-05-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORP. NOTE                            | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    444000 | PA      | $427632.37    | 0.02%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                           | CORP. NOTE                            | CUSIP: 032177AH0<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161272.20    | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                         | CORP. NOTE                            | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200067.93    | 0.01%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    204000 | PA      | $195648.36    | 0.01%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139214.03    | 0.01%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                       | CORP. NOTE                            | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246800.00    | 0.01%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                               | CORP. NOTE                            | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    280000 | PA      | $261170.00    | 0.01%             | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    220000 | PA      | $210587.48    | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    225000 | PA      | $214577.64    | 0.01%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                     | CORP. NOTE                            | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83214.90     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW INC                                                              | CORP. NOTE                            | CUSIP: 81104PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $102637.50    | 0.00%             | 2027-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC                          | CORP. NOTE                            | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    240000 | PA      | $207888.74    | 0.01%             | 2026-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CORP. NOTE                            | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $389925.00    | 0.02%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                           | CORP. NOTE                            | CUSIP: 88033GCZ1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $978740.23    | 0.04%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                           | CORP. NOTE                            | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    550000 | PA      | $511631.97    | 0.02%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BMW FINANCE NV                                                                  | CORP. NOTE                            | CUSIP: 05600LAC0<br>LEI: 5299006ZHG3IXU0PNJ56 | Long             | DBT              | CORP              | NL        |    321000 | PA      | $278945.46    | 0.01%             | 2029-08-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | CORP. NOTE                            | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    243000 | PA      | $241396.38    | 0.01%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                            | CORP. NOTE                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    360000 | PA      | $322200.00    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                           | CORP. NOTE                            | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    325000 | PA      | $270562.50    | 0.01%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143910.81    | 0.01%             | 2024-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA/FRANCE                                                         | CORP. NOTE                            | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $156624.00    | 0.01%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                       | CORP. NOTE                            | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74726.27     | 0.00%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRANITE US HOLDINGS CORP                                                        | CORP. NOTE                            | CUSIP: 38748YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $405693.75    | 0.02%             | 2027-10-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CORP. NOTE                            | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $346061.10    | 0.01%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORP. NOTE                            | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    505000 | PA      | $457787.90    | 0.02%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                                       | CORP. NOTE                            | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    600000 | PA      | $486000.00    | 0.02%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                                        | CORP. NOTE                            | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66465.73     | 0.00%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC                               | CORP. NOTE                            | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |    320000 | PA      | $285504.00    | 0.01%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY CORP                                                       | CORP. NOTE                            | CUSIP: 36257BAA7<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    158000 | PA      | $152172.37    | 0.01%             | 2027-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                   | CORP. NOTE                            | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    305000 | PA      | $286410.25    | 0.01%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    820000 | PA      | $749476.94    | 0.03%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    142000 | PA      | $123599.82    | 0.01%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC           | CORP. NOTE                            | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $469079.35    | 0.02%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNATIONAL INC                                              | CORP. NOTE                            | CUSIP: 80874YBC3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104930.10    | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNATIONAL INC                                              | CORP. NOTE                            | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    365000 | PA      | $350400.00    | 0.01%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                      | CORP. NOTE                            | CUSIP: 380355AD9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $67151.00     | 0.00%             | 2024-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                        | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |    285000 | PA      | $255436.77    | 0.01%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                            | CORP. NOTE                            | CUSIP: 68245XAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    335000 | PA      | $299960.99    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNIVAR SOLUTIONS USA INC/WASHINGTON                                             | CORP. NOTE                            | CUSIP: 91337CAA4<br>LEI: 5493008FTB9VZW6CVA82 | Long             | DBT              | CORP              | US        |    265000 | PA      | $251312.75    | 0.01%             | 2027-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                                | CORP. NOTE                            | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    115000 | PA      | $107108.70    | 0.00%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                         | CORP. NOTE                            | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33469.99     | 0.00%             | 2027-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | CORP. NOTE                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158116.51    | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNATIONAL INC                                              | CORP. NOTE                            | CUSIP: 20451NAG6<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |    305000 | PA      | $292800.00    | 0.01%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | CORP. NOTE                            | CUSIP: 110122CZ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1022714.79   | 0.04%             | 2023-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $194186.29    | 0.01%             | 2028-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBE9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    165000 | PA      | $79200.00     | 0.00%             | 2028-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    780000 | PA      | $764341.15    | 0.03%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                           | CORP. NOTE                            | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $357084.00    | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $215169.20    | 0.01%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                    | CORP. NOTE                            | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    660000 | PA      | $588705.61    | 0.02%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CMG MEDIA CORP                                                                  | CORP. NOTE                            | CUSIP: 88146LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $681193.50    | 0.03%             | 2027-12-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $287355.08    | 0.01%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | CORP. NOTE                            | CUSIP: 59217GEE5<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399698.64    | 0.02%             | 2023-01-13      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES LTD                                                           | CORP. NOTE                            | CUSIP: 629571AA8<br>LEI: 5493008TXYN3II3PU369 | Long             | DBT              | CORP              | US        |    190000 | PA      | $179055.80    | 0.01%             | 2026-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     79000 | PA      | $74397.84     | 0.00%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | CORP. NOTE                            | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    240000 | PA      | $217074.81    | 0.01%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP              | CORP. NOTE                            | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $348612.13    | 0.01%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC                        | CORP. NOTE                            | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $382267.20    | 0.02%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                            | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |    445000 | PA      | $405175.31    | 0.02%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    148000 | PA      | $125423.40    | 0.01%             | 2030-01-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                        | CORP. NOTE                            | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    505000 | PA      | $298097.32    | 0.01%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY CORP                                                       | CORP. NOTE                            | CUSIP: 36485MAK5<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    145000 | PA      | $128032.10    | 0.01%             | 2027-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                           | CORP. NOTE                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    154000 | PA      | $139792.74    | 0.01%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                             | CORP. NOTE                            | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    330000 | PA      | $286895.98    | 0.01%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AG ISSUER LLC                                                                   | CORP. NOTE                            | CUSIP: 00119LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $192980.64    | 0.01%             | 2028-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | CORP. NOTE                            | CUSIP: 74340XBN0<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42080.77     | 0.00%             | 2027-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    114000 | PA      | $95135.18     | 0.00%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                             | CORP. NOTE                            | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    215000 | PA      | $188984.09    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                             | CORP. NOTE                            | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    145000 | PA      | $121828.90    | 0.00%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                        | CORP. NOTE                            | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    255000 | PA      | $194437.50    | 0.01%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    295000 | PA      | $251517.68    | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    108000 | PA      | $97828.00     | 0.00%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    862000 | PA      | $811910.65    | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                            | CORP. NOTE                            | CUSIP: 983133AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $69611.95     | 0.00%             | 2025-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    140000 | PA      | $124372.26    | 0.01%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                                | CORP. NOTE                            | CUSIP: 172441BC0<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45441.84     | 0.00%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                  | CORP. NOTE                            | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    285000 | PA      | $283896.19    | 0.01%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                            | CORP. NOTE                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    280000 | PA      | $270417.96    | 0.01%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                    | CORP. NOTE                            | CUSIP: 475795AE0<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88857.73     | 0.00%             | 2025-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                    | CORP. NOTE                            | CUSIP: 64952WDP5<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1303965.67   | 0.05%             | 2023-05-05      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | CORP. NOTE                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    468000 | PA      | $447125.71    | 0.02%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                                 | CORP. NOTE                            | CUSIP: 57763RAA5<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73496.85     | 0.00%             | 2024-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    165000 | PA      | $156337.50    | 0.01%             | 2028-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                     | CORP. NOTE                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    715000 | PA      | $637393.90    | 0.03%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | CORP. NOTE                            | CUSIP: 254687FW1<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     78000 | PA      | $69404.44     | 0.00%             | 2028-01-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                               | CORP. NOTE                            | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |    144000 | PA      | $144332.85    | 0.01%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                                   | CORP. NOTE                            | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117426.02    | 0.00%             | 2027-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOXER PARENT CO INC                                                             | CORP. NOTE                            | CUSIP: 103186AB8<br>LEI: 5493006T045HLTF7YX04 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63213.25     | 0.00%             | 2025-10-02      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | CORP. NOTE                            | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    270000 | PA      | $263144.58    | 0.01%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                                                | CORP. NOTE                            | CUSIP: 44988MAC9<br>LEI: 549300HVW4WNWYBXN830 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119700.00    | 0.00%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                               | CORP. NOTE                            | CUSIP: 651229BB1<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131287.50    | 0.01%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORP. NOTE                            | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    172000 | PA      | $152974.88    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                          | CORP. NOTE                            | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $354540.89    | 0.01%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                        | CORP. NOTE                            | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76234.04     | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                    | CORP. NOTE                            | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    410000 | PA      | $395572.10    | 0.02%             | 2027-06-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                       | CORP. NOTE                            | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     26000 | PA      | $27694.81     | 0.00%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                           | CORP. NOTE                            | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    545000 | PA      | $429296.50    | 0.02%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WATCO COS LLC / WATCO FINANCE CORP                                              | CORP. NOTE                            | CUSIP: 941130AB2<br>LEI: 549300UK74AMHGBXZG45 | Long             | DBT              | CORP              | US        |    735000 | PA      | $698250.00    | 0.03%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORP. NOTE                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42701.57     | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | CORP. NOTE                            | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    155000 | PA      | $153754.04    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | CORP. NOTE                            | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    291000 | PA      | $248644.94    | 0.01%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC / CRC FINCO INC                                   | CORP. NOTE                            | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    585000 | PA      | $572660.05    | 0.02%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORP. NOTE                            | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    320000 | PA      | $317898.08    | 0.01%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORP. NOTE                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    298000 | PA      | $320888.14    | 0.01%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                                                          | CORP. NOTE                            | CUSIP: N/A<br>LEI: 254900K869UN2ZWVB351       | Long             | DBT              | CORP              | DE        |    110000 | PA      | $104152.92    | 0.00%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TRIPADVISOR INC                                                                 | CORP. NOTE                            | CUSIP: 896945AA0<br>LEI: 549300XVG45PT5BART17 | Long             | DBT              | CORP              | US        |    305000 | PA      | $301350.64    | 0.01%             | 2025-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | CORP. NOTE                            | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    217000 | PA      | $198869.85    | 0.01%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | CORP. NOTE                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    260000 | PA      | $242676.20    | 0.01%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE CO                                                                | CORP. NOTE                            | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    235000 | PA      | $204538.78    | 0.01%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                   | CORP. NOTE                            | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180856.80    | 0.01%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                    | CORP. NOTE                            | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21451.35     | 0.00%             | 2029-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                                | CORP. NOTE                            | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $154928.15    | 0.01%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC                        | CORP. NOTE                            | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $103582.15    | 0.00%             | 2027-08-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                      | CORP. NOTE                            | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $251248.55    | 0.01%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORP. NOTE                            | CUSIP: 674599EB7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94655.98     | 0.00%             | 2025-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                             | CORP. NOTE                            | CUSIP: 38869AAC1<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127804.17    | 0.01%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCJ8<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189511.70    | 0.01%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC   | CORP. NOTE                            | CUSIP: 45827MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    205000 | PA      | $165223.94    | 0.01%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    328000 | PA      | $266234.24    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC                                                             | CORP. NOTE                            | CUSIP: 641062AQ7<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |    985000 | PA      | $939963.67    | 0.04%             | 2024-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD                                                  | CORP. NOTE                            | CUSIP: 86563VAQ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $776003.92    | 0.03%             | 2023-09-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| BIG RIVER STEEL LLC / BRS FINANCE CORP                                          | CORP. NOTE                            | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    263000 | PA      | $250566.87    | 0.01%             | 2029-01-31      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                  | CORP. NOTE                            | CUSIP: 893830BQ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | US        |    215000 | PA      | $215537.50    | 0.01%             | 2027-01-30      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                           | CORP. NOTE                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $465286.72    | 0.02%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                 | CORP. NOTE                            | CUSIP: 70932MAA5<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    225000 | PA      | $202775.48    | 0.01%             | 2025-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                            | CORP. NOTE                            | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $454999.30    | 0.02%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                             | CORP. NOTE                            | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $151376.54    | 0.01%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                           | CORP. NOTE                            | CUSIP: 82453AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $188958.00    | 0.01%             | 2026-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORP                                                                   | CORP. NOTE                            | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Long             | DBT              | CORP              | US        |    225000 | PA      | $193500.00    | 0.01%             | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23468.96     | 0.00%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                    | CORP. NOTE                            | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $151839.93    | 0.01%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | CORP. NOTE                            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    245000 | PA      | $201105.80    | 0.01%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                                      | CORP. NOTE                            | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |    440000 | PA      | $363072.67    | 0.01%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $42750.00     | 0.00%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    188000 | PA      | $166941.87    | 0.01%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    230000 | PA      | $182969.89    | 0.01%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                            | CORP. NOTE                            | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $359858.10    | 0.01%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                                              | CORP. NOTE                            | CUSIP: 12597YAA7<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |    150000 | PA      | $111399.69    | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                                | CORP. NOTE                            | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    755000 | PA      | $590486.55    | 0.02%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                                | CORP. NOTE                            | CUSIP: 039524AB9<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    195000 | PA      | $156487.50    | 0.01%             | 2028-12-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                          | CORP. NOTE                            | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    270000 | PA      | $186357.21    | 0.01%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                           | CORP. NOTE                            | CUSIP: 62957HAH8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     73000 | PA      | $73911.66     | 0.00%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                             | CORP. NOTE                            | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |    175000 | PA      | $111361.53    | 0.00%             | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77171.40     | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20912.00     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                            | CORP. NOTE                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |    570000 | PA      | $542924.01    | 0.02%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    165000 | PA      | $145061.81    | 0.01%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                           | CORP. NOTE                            | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $104325.00    | 0.00%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TOWNSQUARE MEDIA INC                                                            | CORP. NOTE                            | CUSIP: 892231AB7<br>LEI: 549300XBA8C68H0DR538 | Long             | DBT              | CORP              | US        |    310000 | PA      | $275125.47    | 0.01%             | 2026-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    472000 | PA      | $420465.03    | 0.02%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                           | CORP. NOTE                            | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $97249.75     | 0.00%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP                                      | CORP. NOTE                            | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $155059.95    | 0.01%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    137000 | PA      | $120639.27    | 0.00%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| URBAN ONE INC                                                                   | CORP. NOTE                            | CUSIP: 91705JAC9<br>LEI: 549300PLGIGPBRQUP240 | Long             | DBT              | CORP              | US        |    360000 | PA      | $304311.60    | 0.01%             | 2028-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                           | CORP. NOTE                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    109000 | PA      | $109600.17    | 0.00%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |    475000 | PA      | $400788.33    | 0.02%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                        | CORP. NOTE                            | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $158841.90    | 0.01%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                   | CORP. NOTE                            | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    235000 | PA      | $206628.45    | 0.01%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    195000 | PA      | $100222.78    | 0.00%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BEASLEY MEZZANINE HOLDINGS LLC                                                  | CORP. NOTE                            | CUSIP: 07403VAA7<br>LEI: 549300VK8LJV1TK18D38 | Long             | DBT              | CORP              | US        |    360000 | PA      | $216000.00    | 0.01%             | 2026-02-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                                                                | CORP. NOTE                            | CUSIP: 876511AF3<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |    195000 | PA      | $171471.16    | 0.01%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP                                 | CORP. NOTE                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    860000 | PA      | $722728.88    | 0.03%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                                                             | CORP. NOTE                            | CUSIP: 77314EAA6<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |    610000 | PA      | $475800.00    | 0.02%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CORP. NOTE                            | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $182502.33    | 0.01%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORP. NOTE                            | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    785000 | PA      | $752271.11    | 0.03%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                                          | CORP. NOTE                            | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |    320000 | PA      | $283299.20    | 0.01%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                         | CORP. NOTE                            | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    500000 | PA      | $395398.39    | 0.02%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| KLEOPATRA HOLDINGS 2 SCA                                                        | CORP. NOTE                            | CUSIP: L5841GAA1<br>LEI: 222100ALG258IKQWWE73 | Long             | DBT              | CORP              | LU        |    170000 | PA      | $99337.28     | 0.00%             | 2026-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORP. NOTE                            | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    228000 | PA      | $196992.87    | 0.01%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                   | CORP. NOTE                            | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |    385000 | PA      | $274905.40    | 0.01%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SPANISH BROADCASTING SYSTEM INC                                                 | CORP. NOTE                            | CUSIP: 846425AQ9<br>LEI: 5493005DKYB1X4C9LH64 | Long             | DBT              | CORP              | US        |    215000 | PA      | $123625.00    | 0.01%             | 2026-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                          | CORP. NOTE                            | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    205000 | PA      | $185012.50    | 0.01%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                            | CORP. NOTE                            | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |    335000 | PA      | $286425.00    | 0.01%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORP. NOTE                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $153244.80    | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA-PACIFIC CORP                                                          | CORP. NOTE                            | CUSIP: 546347AM7<br>LEI: 549300C7E2UAO5BVRR75 | Long             | DBT              | CORP              | US        |    235000 | PA      | $203003.90    | 0.01%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC     | CORP. NOTE                            | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $206057.10    | 0.01%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE CORP                                                               | CORP. NOTE                            | CUSIP: 69356NAA2<br>LEI: PAOOWF3GUFM46FBSP561 | Long             | DBT              | CORP              | US        |    360000 | PA      | $319800.36    | 0.01%             | 2026-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORP. NOTE                            | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    420000 | PA      | $337280.17    | 0.01%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                      | CORP. NOTE                            | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    335000 | PA      | $278468.75    | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OWENS  AND  MINOR INC                                                           | CORP. NOTE                            | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    265000 | PA      | $211284.50    | 0.01%             | 2029-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                      | CORP. NOTE                            | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    355000 | PA      | $288402.00    | 0.01%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                                | CORP. NOTE                            | CUSIP: 172441BD8<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    230000 | PA      | $191580.11    | 0.01%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                    | CORP. NOTE                            | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    105000 | PA      | $92400.00     | 0.00%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                    | CORP. NOTE                            | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    115000 | PA      | $99762.50     | 0.00%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                      | CORP. NOTE                            | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    140000 | PA      | $128716.67    | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                      | CORP. NOTE                            | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    250000 | PA      | $219581.25    | 0.01%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                 | CORP. NOTE                            | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $214779.62    | 0.01%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                 | CORP. NOTE                            | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $225986.93    | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AUDACY CAPITAL CORP                                                             | CORP. NOTE                            | CUSIP: 29365DAB5<br>LEI: 549300S5JUSXRHNCHD80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $69283.65     | 0.00%             | 2029-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    243000 | PA      | $199833.13    | 0.01%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    216000 | PA      | $187461.69    | 0.01%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                         | CORP. NOTE                            | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |    600000 | PA      | $517500.00    | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | CORP. NOTE                            | CUSIP: 25160PAF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    835000 | PA      | $748288.81    | 0.03%             | 2026-03-19      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| TRINSEO MATERIALS OPERATING SCA / TRINSEO MATERIALS FINANCE INC                 | CORP. NOTE                            | CUSIP: 89668QAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    275000 | PA      | $178123.00    | 0.01%             | 2029-04-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC                                                           | CORP. NOTE                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    330000 | PA      | $288750.00    | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                                                      | CORP. NOTE                            | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    175000 | PA      | $157281.25    | 0.01%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                               | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $477187.47    | 0.02%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ARETEC ESCROW ISSUER INC                                                        | CORP. NOTE                            | CUSIP: 040133AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $235191.46    | 0.01%             | 2029-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TMS INTERNATIONAL CORP/DE                                                       | CORP. NOTE                            | CUSIP: 87261QAC7<br>LEI: 549300L4K0F1YF8WKF23 | Long             | DBT              | CORP              | US        |    280000 | PA      | $200272.80    | 0.01%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ORGANON  AND  CO / ORGANON FOREIGN DEBT CO-ISSUER BV                            | CORP. NOTE                            | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $438273.00    | 0.02%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                       | CORP. NOTE                            | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |    255000 | PA      | $221184.45    | 0.01%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                   | CORP. NOTE                            | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    240000 | PA      | $209340.00    | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA/FRANCE                                                         | CORP. NOTE                            | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $149948.64    | 0.01%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                             | CORP. NOTE                            | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83423.34     | 0.00%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                             | CORP. NOTE                            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78362.61     | 0.00%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HOLDINGS INC                                                          | CORP. NOTE                            | CUSIP: 78433BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    520000 | PA      | $446198.82    | 0.02%             | 2028-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HOLDINGS INC                                                          | CORP. NOTE                            | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $120821.92    | 0.00%             | 2029-05-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                             | CORP. NOTE                            | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    570000 | PA      | $507955.50    | 0.02%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                      | CORP. NOTE                            | CUSIP: 380355AF4<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |    135000 | PA      | $119475.00    | 0.00%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                       | CORP. NOTE                            | CUSIP: 073685AH2<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    260000 | PA      | $216057.74    | 0.01%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTNERS HOLDINGS LLC                                        | CORP. NOTE                            | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |    435000 | PA      | $397585.65    | 0.02%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC                               | CORP. NOTE                            | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |    265000 | PA      | $216624.25    | 0.01%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CARRIAGE SERVICES INC                                                           | CORP. NOTE                            | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $170731.10    | 0.01%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HERENS HOLDCO SARL                                                              | CORP. NOTE                            | CUSIP: 427169AA5<br>LEI: 2221002FZ55AMAUX4G64 | Long             | DBT              | CORP              | LU        |    305000 | PA      | $227960.05    | 0.01%             | 2028-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                     | CORP. NOTE                            | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $283046.26    | 0.01%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORP. NOTE                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    335000 | PA      | $282145.64    | 0.01%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORP. NOTE                            | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $151600.85    | 0.01%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORP. NOTE                            | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     53000 | PA      | $43282.47     | 0.00%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE  AND  DOCK CORP                                              | CORP. NOTE                            | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |    475000 | PA      | $369265.00    | 0.02%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                      | CORP. NOTE                            | CUSIP: 56085RAA8<br>LEI: 25490044R1FR5N8FIT62 | Long             | DBT              | CORP              | US        |    525000 | PA      | $391750.25    | 0.02%             | 2029-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY CORP                                                       | CORP. NOTE                            | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $178760.65    | 0.01%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                           | CORP. NOTE                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    215000 | PA      | $186254.50    | 0.01%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |    420000 | PA      | $267137.57    | 0.01%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                               | CORP. NOTE                            | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    250000 | PA      | $243482.50    | 0.01%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAN4<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $183802.50    | 0.01%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                                | CORP. NOTE                            | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    255000 | PA      | $189360.45    | 0.01%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                                                         | CORP. NOTE                            | CUSIP: 740212AM7<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $111720.81    | 0.00%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                  | CORP. NOTE                            | CUSIP: 097751BV2<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    335000 | PA      | $325021.80    | 0.01%             | 2026-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                             | CORP. NOTE                            | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    225000 | PA      | $195817.50    | 0.01%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    180000 | PA      | $153948.81    | 0.01%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP              | CORP. NOTE                            | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $234134.40    | 0.01%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                    | CORP. NOTE                            | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62320.05     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                          | CORP. NOTE                            | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    265000 | PA      | $227820.50    | 0.01%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                     | CORP. NOTE                            | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52723.20     | 0.00%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                 | CORP. NOTE                            | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $75260.70     | 0.00%             | 2028-06-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                 | CORP. NOTE                            | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    390000 | PA      | $267305.55    | 0.01%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RAPTOR ACQUISITION CORP / RAPTOR CO-ISSUER LLC                                  | CORP. NOTE                            | CUSIP: 75383KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $62188.02     | 0.00%             | 2026-11-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM CO                                                             | CORP. NOTE                            | CUSIP: 13123XBD3<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    265000 | PA      | $252620.20    | 0.01%             | 2028-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | CORP. NOTE                            | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    990000 | PA      | $777702.52    | 0.03%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                           | CORP. NOTE                            | CUSIP: 35640YAG2<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    125000 | PA      | $97281.38     | 0.00%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| EVERI HOLDINGS INC                                                              | CORP. NOTE                            | CUSIP: 30034TAA1<br>LEI: 5299006DK5S7BG10K532 | Long             | DBT              | CORP              | US        |    370000 | PA      | $317817.62    | 0.01%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET  AND  CO                                                      | CORP. NOTE                            | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |    395000 | PA      | $310075.00    | 0.01%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                     | CORP. NOTE                            | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |    340000 | PA      | $275034.89    | 0.01%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                | CORP. NOTE                            | CUSIP: 031921AB5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | DBT              | CORP              | US        |     95000 | PA      | $80573.94     | 0.00%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                           | CORP. NOTE                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    390000 | PA      | $331677.88    | 0.01%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MILLENNIUM ESCROW CORP                                                          | CORP. NOTE                            | CUSIP: 60041CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $99207.93     | 0.00%             | 2026-08-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION INC                                                       | CORP. NOTE                            | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |    395000 | PA      | $331946.15    | 0.01%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION INC                                                       | CORP. NOTE                            | CUSIP: 57767XAB6<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |    420000 | PA      | $347326.35    | 0.01%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CORP. NOTE                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $89466.00     | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                    | CORP. NOTE                            | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    155000 | PA      | $138959.05    | 0.01%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    170000 | PA      | $142201.73    | 0.01%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                                   | CORP. NOTE                            | CUSIP: 23331ABQ1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    590000 | PA      | $507375.95    | 0.02%             | 2026-10-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                               | CORP. NOTE                            | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    270000 | PA      | $236250.00    | 0.01%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $102590.52    | 0.00%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORP. NOTE                            | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $154388.47    | 0.01%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORP                                                                    | CORP. NOTE                            | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    520000 | PA      | $410783.82    | 0.02%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                           | CORP. NOTE                            | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    310000 | PA      | $250253.70    | 0.01%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORP. NOTE                            | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    195000 | PA      | $158826.97    | 0.01%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                     | CORP. NOTE                            | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |    110000 | PA      | $92537.50     | 0.00%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                          | CORP. NOTE                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    240000 | PA      | $218884.56    | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                            | CORP. NOTE                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    570000 | PA      | $484500.00    | 0.02%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | CORP. NOTE                            | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    440000 | PA      | $354011.89    | 0.01%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORP                                                 | CORP. NOTE                            | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $386909.25    | 0.02%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                                                                    | CORP. NOTE                            | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |    430000 | PA      | $408500.00    | 0.02%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                          | CORP. NOTE                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    655000 | PA      | $607224.30    | 0.02%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                       | CORP. NOTE                            | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171785.20    | 0.01%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                       | CORP. NOTE                            | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    215000 | PA      | $164063.71    | 0.01%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                       | CORP. NOTE                            | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     85000 | PA      | $69173.85     | 0.00%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                 | CORP. NOTE                            | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    225000 | PA      | $178428.35    | 0.01%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORP                                                   | CORP. NOTE                            | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    260000 | PA      | $197393.61    | 0.01%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                                                   | CORP. NOTE                            | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    355000 | PA      | $299641.54    | 0.01%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                     | CORP. NOTE                            | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    240000 | PA      | $184047.36    | 0.01%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA INC                                                | CORP. NOTE                            | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |    380000 | PA      | $328586.00    | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                           | CORP. NOTE                            | CUSIP: 92943GAC5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137900.00    | 0.01%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                           | CORP. NOTE                            | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    250000 | PA      | $221532.50    | 0.01%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA/FRANCE                                                         | CORP. NOTE                            | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    275000 | PA      | $209695.75    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $410487.41    | 0.02%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ROCKCLIFF ENERGY II LLC                                                         | CORP. NOTE                            | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    560000 | PA      | $512372.00    | 0.02%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COBRA ACQUISITIONCO LLC                                                         | CORP. NOTE                            | CUSIP: 19106CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $147500.00    | 0.01%             | 2029-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                             | CORP. NOTE                            | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    190000 | PA      | $150911.30    | 0.01%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                                                             | CORP. NOTE                            | CUSIP: 50221DAA7<br>LEI: 254900FPK7P5WNA66Y10 | Long             | DBT              | CORP              | US        |    365000 | PA      | $301530.60    | 0.01%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                             | CORP. NOTE                            | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    170000 | PA      | $137013.20    | 0.01%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OT MERGER CORP                                                                  | CORP. NOTE                            | CUSIP: 688777AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $204050.00    | 0.01%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                               | CORP. NOTE                            | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    430000 | PA      | $365500.00    | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    450000 | PA      | $397440.00    | 0.02%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                                          | CORP. NOTE                            | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61229.70     | 0.00%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MINSUR SA                                                                       | CORP. NOTE                            | CUSIP: P6811TAB1<br>LEI: 254900C69MVC7SXO2G61 | Long             | DBT              | CORP              | PE        |    410000 | PA      | $357212.50    | 0.01%             | 2031-10-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORP. NOTE                            | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $155934.04    | 0.01%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                               | CORP. NOTE                            | CUSIP: 49456BAU5<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    115000 | PA      | $101492.15    | 0.00%             | 2026-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                  | CORP. NOTE                            | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1065000 | PA      | $948432.70    | 0.04%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                     | CORP. NOTE                            | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $75837.60     | 0.00%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HOLDING III CORP                                          | CORP. NOTE                            | CUSIP: 69291HAA3<br>LEI: 254900DIL842DEXPYJ91 | Long             | DBT              | CORP              | US        |    455000 | PA      | $295608.95    | 0.01%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                             | CORP. NOTE                            | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127496.86    | 0.01%             | 2030-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORP. NOTE                            | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $96868.53     | 0.00%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORP. NOTE                            | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $167606.25    | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KONTOOR BRANDS INC                                                              | CORP. NOTE                            | CUSIP: 50050NAA1<br>LEI: 549300M0CPXV65RFF271 | Long             | DBT              | CORP              | US        |    290000 | PA      | $235987.50    | 0.01%             | 2029-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                     | CORP. NOTE                            | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    645000 | PA      | $574783.82    | 0.02%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | CORP. NOTE                            | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36638.75     | 0.00%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                           | CORP. NOTE                            | CUSIP: 44332PAG6<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61136.77     | 0.00%             | 2029-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                           | CORP. NOTE                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96869.47     | 0.00%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                 | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    280000 | PA      | $226100.00    | 0.01%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                                                            | CORP. NOTE                            | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    380000 | PA      | $311322.60    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                         | CORP. NOTE                            | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    580000 | PA      | $464725.00    | 0.02%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | CORP. NOTE                            | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    495000 | PA      | $419523.55    | 0.02%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC              | CORP. NOTE                            | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $84693.00     | 0.00%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MIWD HOLDCO II LLC / MIWD FINANCE CORP                                          | CORP. NOTE                            | CUSIP: 55337PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $83595.76     | 0.00%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                            | CORP. NOTE                            | CUSIP: 201723AQ6<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    140000 | PA      | $123879.92    | 0.01%             | 2030-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CORP. NOTE                            | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    530000 | PA      | $399639.69    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |    210000 | PA      | $144822.30    | 0.01%             | 2027-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                          | CORP. NOTE                            | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    405000 | PA      | $298457.53    | 0.01%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMC ENTERTAINMENT HOLDINGS INC                                                  | CORP. NOTE                            | CUSIP: 00165CBA1<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |    135000 | PA      | $72550.35     | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VIBRANTZ TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |    295000 | PA      | $222624.89    | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES HOLDINGS LP/SCIENTIFIC GAMES US FINCO INC                      | CORP. NOTE                            | CUSIP: 80874DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $164716.50    | 0.01%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                    | CORP. NOTE                            | CUSIP: 62886HBE0<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |    125000 | PA      | $107812.50    | 0.00%             | 2027-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                    | CORP. NOTE                            | CUSIP: 62886HBG5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     95000 | PA      | $72200.00     | 0.00%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                            | CORP. NOTE                            | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $34662.50     | 0.00%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HOLDINGS LLC                                                      | CORP. NOTE                            | CUSIP: 55617LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $30370.55     | 0.00%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORP. NOTE                            | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    120000 | PA      | $109594.92    | 0.00%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    450000 | PA      | $405238.26    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    937000 | PA      | $771867.56    | 0.03%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 2027A0KK4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    182000 | PA      | $165456.04    | 0.01%             | 2027-03-14      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| OWENS  AND  MINOR INC                                                           | CORP. NOTE                            | CUSIP: 690732AG7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    345000 | PA      | $296493.00    | 0.01%             | 2030-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                 | CORP. NOTE                            | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     95000 | PA      | $87993.75     | 0.00%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CDI ESCROW ISSUER INC                                                           | CORP. NOTE                            | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $317725.00    | 0.01%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                     | CORP. NOTE                            | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92040.50     | 0.00%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | CORP. NOTE                            | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    230000 | PA      | $209485.76    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $132654.13    | 0.01%             | 2030-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | CORP. NOTE                            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    411000 | PA      | $389902.42    | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORP. NOTE                            | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    104000 | PA      | $100476.90    | 0.00%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                             | CORP. NOTE                            | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    275000 | PA      | $257890.33    | 0.01%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                        | CORP. NOTE                            | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117405.78    | 0.00%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                           | CORP. NOTE                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    345000 | PA      | $328716.00    | 0.01%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $137596.87    | 0.01%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORP. NOTE                            | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $234329.00    | 0.01%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM CO                                                             | CORP. NOTE                            | CUSIP: 13123XBF8<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    490000 | PA      | $448350.00    | 0.02%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                    | CORP. NOTE                            | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114684.00    | 0.00%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC / CDK GLOBAL INC                                             | CORP. NOTE                            | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $185843.15    | 0.01%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MALLINCKRODT INTERNATIONAL FINANCE SA / MALLINCKRODT CB LLC                     | CORP. NOTE                            | CUSIP: 561233AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    193000 | PA      | $128345.00    | 0.01%             | 2025-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    355000 | PA      | $344932.72    | 0.01%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $1121452.90   | 0.05%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| CAMELOT RETURN MERGER SUB INC                                                   | CORP. NOTE                            | CUSIP: 13323NAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $59645.95     | 0.00%             | 2028-08-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                                     | CORP. NOTE                            | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78202.56     | 0.00%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORP. NOTE                            | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    124000 | PA      | $115568.01    | 0.00%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                         | CORP. NOTE                            | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |    260000 | PA      | $246408.59    | 0.01%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                 | CORP. NOTE                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    145000 | PA      | $142100.00    | 0.01%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    205000 | PA      | $204003.59    | 0.01%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP HOLDINGS INC                                               | CORP. NOTE                            | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    570000 | PA      | $480100.30    | 0.02%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                     | CORP. NOTE                            | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71932.00     | 0.00%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| 1375209 BC LTD                                                                  | CORP. NOTE                            | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24343.75     | 0.00%             | 2028-01-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     44000 | PA      | $34313.16     | 0.00%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |      8000 | PA      | $4749.17      | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | CORP. NOTE                            | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    108000 | PA      | $111359.48    | 0.00%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | CORP. NOTE                            | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255258.40    | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                            | CORP. NOTE                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    495000 | PA      | $466537.50    | 0.02%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | CORP. NOTE                            | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111287.05    | 0.00%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                                                        | CORP. NOTE                            | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |    330000 | PA      | $328768.42    | 0.01%             | 2027-12-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                            | CORP. NOTE                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    325000 | PA      | $326719.25    | 0.01%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                            | CORP. NOTE                            | CUSIP: 16115QAG5<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46152.45     | 0.00%             | 2031-01-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| INTELLIGENT PACKAGING HOLDCO ISSUER LP                                          | CORP. PIK BOND                        | CUSIP: 45827CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    150000 | PA      | $103500.00    | 0.00%             | 2026-01-15      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                                                  | CORP. PIK BOND                        | CUSIP: 00191AAD8<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $139106.49    | 0.01%             | 2027-06-30      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BCPE ULYSSES INTERMEDIATE INC                                                   | CORP. PIK BOND                        | CUSIP: 05553LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $67970.19     | 0.00%             | 2027-04-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORPORATE BONDS                       | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    221000 | PA      | $175617.81    | 0.01%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TCI COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $223718.79    | 0.01%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                             | CORPORATE BONDS                       | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    880000 | PA      | $913387.20    | 0.04%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | CORPORATE BONDS                       | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |     30000 | PA      | $33161.52     | 0.00%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CROWN CORK  AND  SEAL CO INC                                                    | CORPORATE BONDS                       | CUSIP: 228255AH8<br>LEI: 7HLDMDH0ZXNUH6PT7Z42 | Long             | DBT              | CORP              | US        |    165000 | PA      | $169869.15    | 0.01%             | 2026-12-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP                                                               | CORPORATE BONDS                       | CUSIP: 25179SAD2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    120000 | PA      | $135412.23    | 0.01%             | 2031-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | CORPORATE BONDS                       | CUSIP: 012873AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $76815.01     | 0.00%             | 2030-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | CORPORATE BONDS                       | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $218199.24    | 0.01%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP                                                               | CORPORATE BONDS                       | CUSIP: 251799AA0<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    170000 | PA      | $192935.83    | 0.01%             | 2032-04-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |    305000 | PA      | $343916.18    | 0.01%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AY0<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |    106000 | PA      | $119102.95    | 0.00%             | 2031-02-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| PULTEGROUP INC                                                                  | CORPORATE BONDS                       | CUSIP: 745867AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    311000 | PA      | $345614.72    | 0.01%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | CORPORATE BONDS                       | CUSIP: 77509NAF0<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    166000 | PA      | $193272.44    | 0.01%             | 2032-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| DRESDNER FUNDING TRUST I                                                        | CORPORATE BONDS                       | CUSIP: 26156FAA1<br>LEI: 549300ZEO4BKB37E3J03 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103000.00    | 0.00%             | 2031-06-30      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | CORPORATE BONDS                       | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $155968.34    | 0.01%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EMBARQ CORP                                                                     | CORPORATE BONDS                       | CUSIP: 29078EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $255750.00    | 0.01%             | 2036-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FINANCE CORP                                                 | CORPORATE BONDS                       | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    375000 | PA      | $250455.80    | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORPORATE BONDS                       | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    600000 | PA      | $471959.50    | 0.02%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                            | CORPORATE BONDS                       | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    120000 | PA      | $98700.00     | 0.00%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    170000 | PA      | $112245.05    | 0.00%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORPORATE BONDS                       | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     55000 | PA      | $42209.24     | 0.00%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    195000 | PA      | $181517.76    | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60551.38     | 0.00%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                           | CORPORATE BONDS                       | CUSIP: 81105DAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $224422.51    | 0.01%             | 2031-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CORPORATE BONDS                       | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $177581.25    | 0.01%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORPORATE BONDS                       | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    160000 | PA      | $132212.51    | 0.01%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORPORATE BONDS                       | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    240000 | PA      | $151837.31    | 0.01%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS  AND  CO                                                           | CORPORATE BONDS                       | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |    565000 | PA      | $448434.85    | 0.02%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP OF COS INC/THE                                                | CORPORATE BONDS                       | CUSIP: 460690BT6<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     32000 | PA      | $25257.97     | 0.00%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                      | CORPORATE BONDS                       | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    120000 | PA      | $95202.60     | 0.00%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    487000 | PA      | $339677.80    | 0.01%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    799000 | PA      | $565293.07    | 0.02%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    305000 | PA      | $225148.97    | 0.01%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     55000 | PA      | $39184.16     | 0.00%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    397000 | PA      | $323139.50    | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                       | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    665000 | PA      | $530620.13    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                      | CORPORATE BONDS                       | CUSIP: 44701QBF8<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    130000 | PA      | $100890.87    | 0.00%             | 2031-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                                | CORPORATE BONDS                       | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    365000 | PA      | $317550.00    | 0.01%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAL8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    320000 | PA      | $209733.53    | 0.01%             | 2051-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    320000 | PA      | $203192.06    | 0.01%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                        | CORPORATE BONDS                       | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    145000 | PA      | $117555.53    | 0.00%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                  | CORPORATE BONDS                       | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $111446.74    | 0.00%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                    | CORPORATE BONDS                       | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    200000 | PA      | $163278.49    | 0.01%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                             | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $834781.07    | 0.03%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORPORATE BONDS                       | CUSIP: 960413AY8<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    202000 | PA      | $133406.58    | 0.01%             | 2041-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORPORATE BONDS                       | CUSIP: 960413AZ5<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    403000 | PA      | $248117.64    | 0.01%             | 2051-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORPORATE BONDS                       | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    715000 | PA      | $537000.75    | 0.02%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                                       | CORPORATE BONDS                       | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    120000 | PA      | $90443.98     | 0.00%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    107000 | PA      | $64698.29     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1018000 | PA      | $679254.07    | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    476000 | PA      | $365810.64    | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    117000 | PA      | $92980.69     | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     80000 | PA      | $57463.03     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORPORATE BONDS                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    600000 | PA      | $469056.46    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC                                                              | CORPORATE BONDS                       | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    715000 | PA      | $515264.75    | 0.02%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                                | CORPORATE BONDS                       | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $353762.50    | 0.01%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                     | CORPORATE BONDS                       | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20567.50     | 0.00%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    345000 | PA      | $255537.43    | 0.01%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                             | CORPORATE BONDS                       | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    190000 | PA      | $152412.93    | 0.01%             | 2031-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                               | CORPORATE BONDS                       | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    255000 | PA      | $208309.50    | 0.01%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                               | CORPORATE BONDS                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $77962.86     | 0.00%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORPORATE BONDS                       | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $139892.34    | 0.01%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1036000 | PA      | $813515.89    | 0.03%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORPORATE BONDS                       | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    191000 | PA      | $149656.47    | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                            | CORPORATE BONDS                       | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     95000 | PA      | $82643.02     | 0.00%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                       | CORPORATE BONDS                       | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |    116000 | PA      | $105560.00    | 0.00%             | 2032-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | CORPORATE BONDS                       | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49649.79     | 0.00%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HOLDINGS LLC                                                      | CORPORATE BONDS                       | CUSIP: 55617LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $117674.20    | 0.00%             | 2032-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | US        |     56000 | PA      | $48039.02     | 0.00%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CABOT CORP                                                                      | CORPORATE BONDS                       | CUSIP: 127055AM3<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |    175000 | PA      | $161804.86    | 0.01%             | 2032-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORPORATE BONDS                       | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    143000 | PA      | $135985.55    | 0.01%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                      | CORPORATE BONDS                       | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    286000 | PA      | $256850.88    | 0.01%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | CORPORATE BONDS                       | CUSIP: 254687EZ5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    194000 | PA      | $242420.12    | 0.01%             | 2045-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 941053AJ9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | US        |    265000 | PA      | $242448.68    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    315000 | PA      | $305550.00    | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: U74079AP6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    515000 | PA      | $510255.12    | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORPORATE BONDS                       | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    150000 | PA      | $132411.00    | 0.01%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    320000 | PA      | $300007.93    | 0.01%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CORPORATE BONDS                       | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    399000 | PA      | $360803.73    | 0.01%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORPORATE BONDS                       | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    160000 | PA      | $141495.73    | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    317000 | PA      | $285567.80    | 0.01%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    118000 | PA      | $107721.15    | 0.00%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | CORPORATE BONDS                       | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    350000 | PA      | $276210.92    | 0.01%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                | CORPORATE BONDS                       | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    490000 | PA      | $444042.90    | 0.02%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                 | CORPORATE BONDS                       | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    240000 | PA      | $220200.00    | 0.01%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    519000 | PA      | $441915.89    | 0.02%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    240000 | PA      | $207702.30    | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                            | CORPORATE BONDS                       | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $334280.70    | 0.01%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CORPORATE BONDS                       | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1034898.00   | 0.04%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1162800.00   | 0.05%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    800000 | PA      | $782876.59    | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $159708.79    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                       | CORPORATE BONDS                       | CUSIP: 23291KAK1<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    155000 | PA      | $116186.92    | 0.00%             | 2049-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    224000 | PA      | $162454.71    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                            | CORPORATE BONDS                       | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    325000 | PA      | $265817.68    | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAP9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17097.93     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | CORPORATE BONDS                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    275000 | PA      | $251304.85    | 0.01%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                           | CORPORATE BONDS                       | CUSIP: 032177AJ6<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    165000 | PA      | $140662.50    | 0.01%             | 2030-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    151000 | PA      | $128278.21    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    154000 | PA      | $130417.34    | 0.01%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORPORATE BONDS                       | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    625000 | PA      | $551053.66    | 0.02%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                    | CORPORATE BONDS                       | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    580000 | PA      | $514207.71    | 0.02%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORPORATE BONDS                       | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    195000 | PA      | $202238.40    | 0.01%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC           | CORPORATE BONDS                       | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $254351.10    | 0.01%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | CORPORATE BONDS                       | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    113000 | PA      | $94141.90     | 0.00%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                     | CORPORATE BONDS                       | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40818.39     | 0.00%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    110000 | PA      | $94872.38     | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CORPORATE BONDS                       | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $127360.00    | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $124653.89    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | CORPORATE BONDS                       | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    157000 | PA      | $127410.83    | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                     | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    159000 | PA      | $151161.30    | 0.01%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     60000 | PA      | $39482.94     | 0.00%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                      | CORPORATE BONDS                       | CUSIP: 75513ECA7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60647.69     | 0.00%             | 2040-10-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                      | CORPORATE BONDS                       | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    380000 | PA      | $309671.34    | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CORPORATE BONDS                       | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $144380.70    | 0.01%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | CORPORATE BONDS                       | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    190000 | PA      | $176964.95    | 0.01%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                    | CORPORATE BONDS                       | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     45000 | PA      | $37750.68     | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | CORPORATE BONDS                       | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    295000 | PA      | $166184.65    | 0.01%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    150000 | PA      | $121936.03    | 0.00%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                        | CORPORATE BONDS                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    430000 | PA      | $353735.20    | 0.01%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                  | CORPORATE BONDS                       | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    315000 | PA      | $240980.22    | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                      | CORPORATE BONDS                       | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     90000 | PA      | $67725.30     | 0.00%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     87000 | PA      | $66910.83     | 0.00%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    155000 | PA      | $160173.90    | 0.01%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    140000 | PA      | $105311.64    | 0.00%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAP9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    280000 | PA      | $194190.64    | 0.01%             | 2040-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     83000 | PA      | $65849.90     | 0.00%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     47000 | PA      | $31813.79     | 0.00%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                 | CORPORATE BONDS                       | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    115000 | PA      | $96427.50     | 0.00%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                     | CORPORATE BONDS                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    245000 | PA      | $211182.00    | 0.01%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                       | CORPORATE BONDS                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    385000 | PA      | $361285.16    | 0.01%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                            | CORPORATE BONDS                       | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    160000 | PA      | $129569.60    | 0.01%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                              | CORPORATE BONDS                       | CUSIP: 09261BAA8<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    120000 | PA      | $87206.36     | 0.00%             | 2031-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | CORPORATE BONDS                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    220000 | PA      | $180344.83    | 0.01%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     76000 | PA      | $73247.06     | 0.00%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                    | CORPORATE BONDS                       | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    240000 | PA      | $233004.00    | 0.01%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                                                      | CORPORATE BONDS                       | CUSIP: 278865AV2<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    750000 | PA      | $695996.96    | 0.03%             | 2026-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144375.00    | 0.01%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORPORATE BONDS                       | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    113000 | PA      | $103654.46    | 0.00%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                             | CORPORATE BONDS                       | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    205000 | PA      | $183413.50    | 0.01%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CORPORATE BONDS                       | CUSIP: 12527GAH6<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    280000 | PA      | $271015.36    | 0.01%             | 2026-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | CORPORATE BONDS                       | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1248016.88   | 0.05%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | CORPORATE BONDS                       | CUSIP: 717081EA7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    305000 | PA      | $288577.58    | 0.01%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | CORPORATE BONDS                       | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $201896.22    | 0.01%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 26138EAX7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    126000 | PA      | $117251.78    | 0.00%             | 2027-06-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | CORPORATE BONDS                       | CUSIP: 61746BEG7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    470000 | PA      | $397744.76    | 0.02%             | 2047-01-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                      | CORPORATE BONDS                       | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    165000 | PA      | $152250.95    | 0.01%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORPORATE BONDS                       | CUSIP: 037833CH1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    655000 | PA      | $603094.75    | 0.02%             | 2047-02-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126493.39    | 0.01%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214DK6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     94000 | PA      | $88446.22     | 0.00%             | 2027-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORPORATE BONDS                       | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21200.74     | 0.00%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO/THE                                                         | CORPORATE BONDS                       | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    255000 | PA      | $239173.92    | 0.01%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                                | CORPORATE BONDS                       | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $261716.55    | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORPORATE BONDS                       | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    122000 | PA      | $120527.23    | 0.00%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                             | CORPORATE BONDS                       | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    830000 | PA      | $767219.71    | 0.03%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    476000 | PA      | $440775.81    | 0.02%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORPORATE BONDS                       | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    184000 | PA      | $172954.66    | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    290000 | PA      | $269195.94    | 0.01%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    319000 | PA      | $296299.11    | 0.01%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORPORATE BONDS                       | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    555000 | PA      | $518674.58    | 0.02%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC / HILTON WORLDWIDE FINANCE CORP                    | CORPORATE BONDS                       | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $185606.43    | 0.01%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | CORPORATE BONDS                       | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    445000 | PA      | $410606.82    | 0.02%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CORPORATE BONDS                       | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $234856.25    | 0.01%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                            | CORPORATE BONDS                       | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    355000 | PA      | $329205.33    | 0.01%             | 2027-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI                                                        | CORPORATE BONDS                       | CUSIP: 11134LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1147000 | PA      | $1043472.69   | 0.04%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | CORPORATE BONDS                       | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    535000 | PA      | $493403.57    | 0.02%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $102582.76    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    569000 | PA      | $454561.78    | 0.02%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    435000 | PA      | $420030.07    | 0.02%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    735000 | PA      | $537208.38    | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                     | CORPORATE BONDS                       | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    113000 | PA      | $103960.00    | 0.00%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | CORPORATE BONDS                       | CUSIP: 438516BS4<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    155000 | PA      | $128081.54    | 0.01%             | 2047-11-21      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                                  | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    640000 | PA      | $612812.80    | 0.02%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CD4<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    142000 | PA      | $132635.10    | 0.01%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                    | CORPORATE BONDS                       | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |    115000 | PA      | $86557.05     | 0.00%             | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                      | CORPORATE BONDS                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17997.80     | 0.00%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232341.59    | 0.01%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    755000 | PA      | $605822.10    | 0.02%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SA                                                         | CORPORATE BONDS                       | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    520000 | PA      | $399638.21    | 0.02%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CORPORATE BONDS                       | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    736000 | PA      | $670447.48    | 0.03%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CORPORATE BONDS                       | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    357000 | PA      | $310215.75    | 0.01%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORPORATE BONDS                       | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     67000 | PA      | $61211.75     | 0.00%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORPORATE BONDS                       | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $284281.11    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    462000 | PA      | $468250.86    | 0.02%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    743000 | PA      | $680781.18    | 0.03%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | CORPORATE BONDS                       | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    212000 | PA      | $200709.71    | 0.01%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1264000 | PA      | $1215315.49   | 0.05%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                      | CORPORATE BONDS                       | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    445000 | PA      | $425912.92    | 0.02%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 037411BE4<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    300000 | PA      | $270018.27    | 0.01%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | CORPORATE BONDS                       | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    132000 | PA      | $115039.91    | 0.00%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    434000 | PA      | $405937.82    | 0.02%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP OF COS INC/THE                                                | CORPORATE BONDS                       | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    698000 | PA      | $667841.34    | 0.03%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | CORPORATE BONDS                       | CUSIP: 025537AM3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    510000 | PA      | $487056.86    | 0.02%             | 2028-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | CORPORATE BONDS                       | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    385000 | PA      | $356495.57    | 0.01%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MARSH  AND  MCLENNAN COS INC                                                    | CORPORATE BONDS                       | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    212000 | PA      | $204768.31    | 0.01%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MARSH  AND  MCLENNAN COS INC                                                    | CORPORATE BONDS                       | CUSIP: 571748BJ0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    175000 | PA      | $160848.87    | 0.01%             | 2049-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    115000 | PA      | $102390.20    | 0.00%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                          | CORPORATE BONDS                       | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6109 | PA      | $6073.77      | 0.00%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORPORATE BONDS                       | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1041701.46   | 0.04%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | CORPORATE BONDS                       | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $70402.25     | 0.00%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | CORPORATE BONDS                       | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    305000 | PA      | $307436.42    | 0.01%             | 2037-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORPORATE BONDS                       | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    122000 | PA      | $130176.83    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    190000 | PA      | $206418.35    | 0.01%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1022000 | PA      | $1055057.89   | 0.04%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                         | CORPORATE BONDS                       | CUSIP: 263901AB6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     80000 | PA      | $86200.15     | 0.00%             | 2039-04-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     87000 | PA      | $90374.64     | 0.00%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                                                | CORPORATE BONDS                       | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    465000 | PA      | $469268.24    | 0.02%             | 2039-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | CORPORATE BONDS                       | CUSIP: 85771PAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    110000 | PA      | $108018.87    | 0.00%             | 2040-08-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    305000 | PA      | $252757.31    | 0.01%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                           | CORPORATE BONDS                       | CUSIP: 133131AS1<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189563.45    | 0.01%             | 2023-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CORPORATE BONDS                       | CUSIP: 209111FB4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    130000 | PA      | $108798.53    | 0.00%             | 2042-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    226000 | PA      | $213662.41    | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | CORPORATE BONDS                       | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    155000 | PA      | $154665.21    | 0.01%             | 2023-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                         | CORPORATE BONDS                       | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44751.92     | 0.00%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                               | CORPORATE BONDS                       | CUSIP: 26875PAK7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    415000 | PA      | $413369.01    | 0.02%             | 2023-03-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORPORATE BONDS                       | CUSIP: 91324PBZ4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    245000 | PA      | $244420.34    | 0.01%             | 2023-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORPORATE BONDS                       | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    245000 | PA      | $206661.52    | 0.01%             | 2042-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CORPORATE BONDS                       | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    240000 | PA      | $201249.35    | 0.01%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    310000 | PA      | $309249.80    | 0.01%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORPORATE BONDS                       | CUSIP: 037833AL4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    314000 | PA      | $270787.24    | 0.01%             | 2043-05-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FINANCE CORP                                                 | CORPORATE BONDS                       | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80680.30     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CORPORATE BONDS                       | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    814000 | PA      | $696398.01    | 0.03%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | CORPORATE BONDS                       | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    280000 | PA      | $252571.20    | 0.01%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                             | CORPORATE BONDS                       | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    105000 | PA      | $78233.24     | 0.00%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST SERIES 2013                                              | CORPORATE BONDS                       | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    124711 | PA      | $112079.84    | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    185000 | PA      | $178747.65    | 0.01%             | 2024-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO III LLC                                                    | CORPORATE BONDS                       | CUSIP: 48250AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $138852.18    | 0.01%             | 2044-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | CORPORATE BONDS                       | CUSIP: 29250NAJ4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    355000 | PA      | $295159.38    | 0.01%             | 2044-06-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNATIONAL INC                                              | CORPORATE BONDS                       | CUSIP: 20451NAE1<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96125.00     | 0.00%             | 2024-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | CORPORATE BONDS                       | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    327000 | PA      | $314088.93    | 0.01%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    335000 | PA      | $307615.41    | 0.01%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | CORPORATE BONDS                       | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48766.22     | 0.00%             | 2045-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                                              | CORPORATE BONDS                       | CUSIP: 771196BH4<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    550000 | PA      | $474942.30    | 0.02%             | 2044-11-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | CORPORATE BONDS                       | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     78000 | PA      | $75366.44     | 0.00%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORPORATE BONDS                       | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53366.11     | 0.00%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK  AND  CO INC                                                              | CORPORATE BONDS                       | CUSIP: 58933YAT2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    395000 | PA      | $324871.15    | 0.01%             | 2045-02-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAN2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    140000 | PA      | $113709.03    | 0.00%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                         | CORPORATE BONDS                       | CUSIP: 68233JBB9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    405000 | PA      | $325586.34    | 0.01%             | 2045-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP                      | CORPORATE BONDS                       | CUSIP: 64128XAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $125055.71    | 0.01%             | 2045-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    547000 | PA      | $462441.52    | 0.02%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORPORATE BONDS                       | CUSIP: 037833BH2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    262000 | PA      | $242126.14    | 0.01%             | 2045-05-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                    | CORPORATE BONDS                       | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    280000 | PA      | $268797.36    | 0.01%             | 2025-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECHNOLOGIES LLC                                                      | CORPORATE BONDS                       | CUSIP: 20337YAA5<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |     84000 | PA      | $76440.00     | 0.00%             | 2025-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     57000 | PA      | $54655.39     | 0.00%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $342674.15    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORPORATE BONDS                       | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    270000 | PA      | $257420.26    | 0.01%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                           | CORPORATE BONDS                       | CUSIP: 66989HAK4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    650000 | PA      | $570246.51    | 0.02%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                               | CORPORATE BONDS                       | CUSIP: 448579AF9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    337000 | PA      | $331163.47    | 0.01%             | 2026-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                               | CORPORATE BONDS                       | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    365000 | PA      | $343390.27    | 0.01%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC / OMNICOM CAPITAL INC                                         | CORPORATE BONDS                       | CUSIP: 68217FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $374116.52    | 0.02%             | 2026-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    112000 | PA      | $106493.52    | 0.00%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | CORPORATE BONDS                       | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    135000 | PA      | $126335.62    | 0.01%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORPORATE BONDS                       | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    240000 | PA      | $199429.95    | 0.01%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAR3<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    129000 | PA      | $119658.25    | 0.00%             | 2026-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                    | CORPORATE BONDS                       | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     48000 | PA      | $45721.32     | 0.00%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORPORATE BONDS                       | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $124990.45    | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | CORPORATE BONDS                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    230000 | PA      | $197889.25    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                       | CORPORATE BONDS                       | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105468.00    | 0.00%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    121000 | PA      | $108587.48    | 0.00%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    262000 | PA      | $238052.47    | 0.01%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | CORPORATE BONDS                       | CUSIP: 02079KAC1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    305000 | PA      | $280412.10    | 0.01%             | 2026-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV                                       | CORPORATE STEP UP                     | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    195000 | PA      | $229955.20    | 0.01%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | CORPORATE STEP UP                     | CUSIP: 478375AN8<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    250000 | PA      | $207708.50    | 0.01%             | 2064-07-02      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7394264.83   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7752819.18   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $373089.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5395608.93   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11666964.08  | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2672728.80   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $8235483.20   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2290170.23   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $588192.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2989555.03   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4182586.79   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7654459.64   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7289811.62   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7324205.52   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5829645.18   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $12562172.41  | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9653840.11   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1885110.30   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6467027.36   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5208506.67   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1916313.47   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $6785204.73   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4688465.45   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $3453862.79   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |   6864000 | NC      | $44616.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |  46100000 | NC      | $380786.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOTHAM FUNDING CORP                                                             | DISC. CP                              | CUSIP: N/A<br>LEI: 549300Z2ZR7VTUMRPR17       | Long             | ABS-APCP         | CORP              | US        |  12650000 | PA      | $12578054.54  | 0.51%             | 2023-02-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL CANADA LTD                                                | DISC. CP                              | CUSIP: N/A<br>LEI: 5299005IX98ZZ9LSGK46       | Long             | STIV             | CORP              | CA        |  11970000 | PA      | $11949573.92  | 0.49%             | 2023-01-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FUNDING CO LLC                                                  | DISC. CP                              | CUSIP: N/A<br>LEI: 549300S0NSJYSOB32S63       | Long             | ABS-APCP         | CORP              | US        |  12500000 | PA      | $12424220.13  | 0.51%             | 2023-02-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                                                          | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DE               | CORP              | US        |        89 | NC      | $8674830.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                     | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |       117 | NC      | $10359765.00  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                     | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |       414 | NC      | $79922700.00  | 3.26%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                     | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |      1157 | NC      | $223358850.00 | 9.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                     | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         3 | NC      | $732780.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ISHARES RUSSELL 1000 VALUE ETF                                                  | EXCHANGE TRADED FUND                  | CUSIP: 464287598<br>LEI: 549300KLSYN5NN4YNM90 | Long             | EC               | RF                | US        |     26295 | NS      | $3987636.75   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ISHARES CORE MSCI EMERGING MARKETS ETF                                          | EXCHANGE TRADED FUND                  | CUSIP: 46434G103<br>LEI: 5493007C24Z3ZDJ0VD06 | Long             | EC               | RF                | US        |     19943 | NS      | $931338.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137F6TK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3295775 | PA      | $636718.98    | 0.03%             | 2050-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FVPZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2442022 | PA      | $426019.73    | 0.02%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FHLMC CMO IO                          | CUSIP: 3137H2MF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3989392 | PA      | $893085.47    | 0.04%             | 2049-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FYPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6550131 | PA      | $854691.93    | 0.03%             | 2041-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7051414 | PA      | $1352743.19   | 0.06%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H3LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5201624 | PA      | $809684.76    | 0.03%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H1X50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4040506 | PA      | $768948.75    | 0.03%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H0LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3132936 | PA      | $651813.44    | 0.03%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137BABH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3587045 | PA      | $333243.66    | 0.01%             | 2044-04-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137F9DD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2301688 | PA      | $498704.14    | 0.02%             | 2051-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: N/A<br>LEI: S6XOOCT0IEG5ABCC6L87       | Long             | ABS-MBS          | USGSE             | US        |   2953831 | PA      | $583795.08    | 0.02%             | 2044-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H2CD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3852945 | PA      | $687916.34    | 0.03%             | 2051-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3127892 | PA      | $663806.77    | 0.03%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1532229 | PA      | $1460058.07   | 0.06%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140X45B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396963 | PA      | $1331490.85   | 0.05%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140X4VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218808 | PA      | $1164351.97   | 0.05%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KLMT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2045606 | PA      | $1751117.68   | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KKLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214211 | PA      | $1039411.26   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140X7Y29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3298362 | PA      | $2821463.60   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140QGPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5598480 | PA      | $4788140.67   | 0.20%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XBS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1632367 | PA      | $1389972.58   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XB2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1754010 | PA      | $1491359.97   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140LV6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700051 | PA      | $1444417.97   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762576 | PA      | $682400.49    | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140HBJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266115 | PA      | $251938.12    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446837 | PA      | $1301050.37   | 0.05%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140J5JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    967033 | PA      | $873823.30    | 0.04%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WH6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162776 | PA      | $146374.24    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WG5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212653 | PA      | $191491.03    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EXBB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305158 | PA      | $274790.91    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WGX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369095 | PA      | $332826.96    | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327267 | PA      | $294290.77    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1274633 | PA      | $1147791.10   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636570 | PA      | $574416.92    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31412UJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       509 | PA      | $503.98       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31414NH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17476 | PA      | $17296.05     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962810 | PA      | $884649.23    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XHB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943346 | PA      | $866765.19    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KPNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474487 | PA      | $410183.05    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140L4G45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255562 | PA      | $1081675.82   | 0.04%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XB3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385493 | PA      | $1194910.70   | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464998 | PA      | $443204.84    | 0.02%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1373713 | PA      | $1265736.59   | 0.05%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE TRUST 2002-W8                                                        | FNMA CMO IO                           | CUSIP: 31392DQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197800 | PA      | $1186.26      | 0.00%             | 2042-06-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BDKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5406180 | PA      | $665360.78    | 0.03%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 31392AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199653 | PA      | $997.69       | 0.00%             | 2041-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AXB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3436020 | PA      | $399903.81    | 0.02%             | 2047-09-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BJRV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2813731 | PA      | $490658.35    | 0.02%             | 2051-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 31392BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83980 | PA      | $520.41       | 0.00%             | 2045-03-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BHW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4584498 | PA      | $603529.78    | 0.02%             | 2049-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BHKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5271224 | PA      | $573509.21    | 0.02%             | 2041-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B5ZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2712070 | PA      | $284866.30    | 0.01%             | 2049-08-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6133 | PA      | $5571.95      | 0.00%             | 2043-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $17279599.40  | 0.70%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $9663671.60   | 0.39%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $7345969.20   | 0.30%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $10602968.20  | 0.43%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1927812.40   | 0.08%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1877499.00   | 0.08%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $14657500.80  | 0.60%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56000000 | PA      | $55221275.20  | 2.25%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1972188.40   | 0.08%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $11170161.20  | 0.45%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $16956250.00  | 0.69%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6782500.00   | 0.28%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $25074230.00  | 1.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132AATC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153720 | PA      | $148806.51    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290874 | PA      | $261564.84    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4292288 | PA      | $3845032.45   | 0.16%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133A8Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110121 | PA      | $95231.43     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133APQJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939269 | PA      | $798033.17    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133AAZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163420 | PA      | $141272.24    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133A8F85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262840 | PA      | $227300.84    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133AKPL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760963 | PA      | $647965.71    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12442 | PA      | $13021.14     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34127 | PA      | $35714.91     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217826 | PA      | $195287.17    | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36441 | PA      | $38136.35     | 0.00%             | 2048-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50238 | PA      | $52574.98     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44401 | PA      | $46467.12     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223016 | PA      | $201142.01    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117357 | PA      | $105846.46    | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K54B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17504 | PA      | $17165.45     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42420 | PA      | $38057.33     | 0.00%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121938 | PA      | $109673.24    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103565 | PA      | $92978.59     | 0.00%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3078570 | PA      | $2766759.28   | 0.11%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3743689 | PA      | $3363342.28   | 0.14%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4820081 | PA      | $4333389.48   | 0.18%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32708 | PA      | $29469.21     | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JUUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18302 | PA      | $19016.68     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25989 | PA      | $27198.14     | 0.00%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22529 | PA      | $23577.12     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15352 | PA      | $16040.98     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JSE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12520 | PA      | $13008.73     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AQDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65006 | PA      | $63599.62     | 0.00%             | 2067-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ALRA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50329 | PA      | $49431.21     | 0.00%             | 2067-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196UJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65890 | PA      | $64531.31     | 0.00%             | 2067-03-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196RRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45557 | PA      | $44801.31     | 0.00%             | 2067-05-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44085 | PA      | $46136.27     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617HXVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12894 | PA      | $12644.14     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12437 | PA      | $12401.70     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4U70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22195 | PA      | $21668.06     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2696460 | PA      | $107319.10    | 0.00%             | 2065-10-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382JP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2399161 | PA      | $362360.18    | 0.01%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174290 | PA      | $36492.86     | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1519792 | PA      | $62463.44     | 0.00%             | 2065-10-20      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382WEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4882642 | PA      | $723607.61    | 0.03%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9097254 | PA      | $332075.34    | 0.01%             | 2066-07-20      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4733359.50   | 0.19%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6792249.80   | 0.28%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $15141500.50  | 0.62%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                        | GOVERNMENT BOND                       | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    360000 | PA      | $341544.96    | 0.01%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                            | GOVERNMENT BOND                       | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    370000 | PA      | $319538.29    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                       | GOVERNMENT BOND                       | CUSIP: V73789AW5<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    435000 | PA      | $386062.50    | 0.02%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: P75744AE5<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    230000 | PA      | $226262.50    | 0.01%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780BX3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    690000 | PA      | $677064.57    | 0.03%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    271000 | PA      | $265108.64    | 0.01%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: P75744AJ4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    230000 | PA      | $223387.50    | 0.01%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                                   | GOVERNMENT BOND                       | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    427000 | PA      | $369720.51    | 0.02%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    246000 | PA      | $204198.45    | 0.01%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    605000 | PA      | $610493.79    | 0.02%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                          | GOVERNMENT BOND                       | CUSIP: Y7276LDF2<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    300000 | PA      | $311619.00    | 0.01%             | 2045-07-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                          | GOVERNMENT BOND                       | CUSIP: Y7276LDE5<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    320000 | PA      | $330876.80    | 0.01%             | 2025-07-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                          | GOVERNMENT BOND                       | CUSIP: Y7276LDD7<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    540000 | PA      | $483910.20    | 0.02%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                       | GOVERNMENT BOND                       | CUSIP: V73789AC9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    350000 | PA      | $337750.00    | 0.01%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                           | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    830000 | PA      | $639948.51    | 0.03%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                                   | GOVERNMENT BOND                       | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    400000 | PA      | $297000.00    | 0.01%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780BL9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    285000 | PA      | $283316.51    | 0.01%             | 2023-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ORIENTAL REPUBLIC OF URUGUAY                                                    | GOVERNMENT BOND                       | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    240000 | PA      | $303140.37    | 0.01%             | 2036-03-21      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: 25714PEN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    430000 | PA      | $387882.36    | 0.02%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    925000 | PA      | $906465.78    | 0.04%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                           | GOVERNMENT BOND                       | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    820000 | PA      | $656220.29    | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                              | GOVERNMENT BOND                       | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    490000 | PA      | $397512.50    | 0.02%             | 2033-01-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | GOVERNMENT BOND                       | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    720000 | PA      | $637005.60    | 0.03%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    200000 | PA      | $176000.00    | 0.01%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                                               | GOVERNMENT BOND                       | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    760000 | PA      | $644100.00    | 0.03%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                             | GOVERNMENT BOND                       | CUSIP: V7691DAX4<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    300000 | PA      | $247500.00    | 0.01%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       426 | NC      | $45978047.09  | 1.87%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        30 | NC      | $3237890.64   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       167 | NC      | $22430187.50  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         6 | NC      | $805875.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       256 | NC      | $28748000.00  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         6 | NC      | $709687.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       228 | NC      | $46757812.73  | 1.90%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       115 | NC      | $14414531.25  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31395V3D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6430 | PA      | $6942.13      | 0.00%             | 2034-06-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21613 | PA      | $27339.30     | 0.00%             | 2035-03-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31396WCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18637 | PA      | $29290.45     | 0.00%             | 2037-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31394V2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11503 | PA      | $12305.34     | 0.00%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6322 | PA      | $11627.18     | 0.00%             | 2036-07-25      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396FLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24950 | PA      | $37731.01     | 0.00%             | 2035-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30459000 | NC      | $137674.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 104001000 | NC      | $470084.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36155000 | NC      | $15546.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2929000 | NC      | $8376.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  41259000 | NC      | $786396.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13721000 | NC      | $748892.18    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17576000 | NC      | $334998.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL/UNITED STATES                                       | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: N/A<br>LEI: N/A                        | Long             | COMM             | CORP              | US        |  14525000 | NS      | $12452157.59  | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $5718.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $346.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1386.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     23000 | NC      | $3985.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3466.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $477.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $2862.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     15596 | NC      | $2099.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40000 | NC      | $6932.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $1302.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     55000 | NC      | $17534.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1272.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     44450 | NC      | $16046.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    354000 | NC      | $29346.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    138000 | NC      | $43994.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $6694.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $14626.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $15302.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1244.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     45000 | NC      | $7155.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40585 | NC      | $14651.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8697 | NC      | $3139.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $1908.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $1555.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $186.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $372.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18348 | NC      | $2469.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     25124 | NC      | $9069.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3498.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     39000 | NC      | $6758.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $6996.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3865 | NC      | $1395.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $191.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $191.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $372.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $186.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     43000 | NC      | $6837.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $9381.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5199.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $4770.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    330000 | NC      | $57189.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     27063 | NC      | $3642.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $15621.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1376 | NC      | $185.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2293 | NC      | $308.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $186.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     93000 | NC      | $14787.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    144000 | NC      | $26035.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3498.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    276000 | NC      | $49900.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    240000 | NC      | $43392.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $18080.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $6328.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |       634 | NC      | $155.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    343902 | NC      | $131576.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      4786 | NC      | $1831.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    382000 | NC      | $81786.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    164000 | NC      | $9348.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $4503.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     78000 | NC      | $16699.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    299000 | NC      | $99746.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     42000 | NC      | $14011.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $16346.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     10550 | NC      | $1420.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2752 | NC      | $370.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    153000 | NC      | $51040.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $8778.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     51278 | NC      | $19618.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    102555 | NC      | $39237.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $8006.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    243000 | NC      | $13851.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $32198.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $26354.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $16896.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |      6764 | NC      | $2441.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $31880.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     34000 | NC      | $7279.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40000 | NC      | $12752.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $15621.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $15621.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1244.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     51000 | NC      | $16258.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     47349 | NC      | $17093.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $6846.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1712.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3853.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $7468.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     97000 | NC      | $30923.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      9663 | NC      | $3488.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    188702 | NC      | $72197.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       634 | NC      | $155.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    441000 | NC      | $147117.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     11467 | NC      | $1543.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    410000 | NC      | $87781.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $5337.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      6153 | NC      | $2354.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $12846.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $5718.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1446.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     40000 | NC      | $7232.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $9040.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    169000 | NC      | $30555.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3772.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      9633 | NC      | $1296.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      2000 | NC      | $377.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     26000 | NC      | $4903.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     27000 | NC      | $4881.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $2892.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     34000 | NC      | $6147.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     56000 | NC      | $9704.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $904.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     28000 | NC      | $5062.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2599.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APOLLO HOSPITALS ENTERPRISE LTD                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3358005YT7JQCWYLTG43       | Long             | EC               | CORP              | IN        |     23011 | NS      | $1245425.52   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SQUARE ENIX HOLDINGS CO LTD                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900KCRNRDF8DIA489       | Long             | EC               | CORP              | JP        |     35300 | NS      | $1648803.72   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK CENTRAL ASIA TBK PT                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900BR956G2OHVOM21       | Long             | EC               | CORP              | ID        |   4025400 | NS      | $2210834.75   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| HAMAMATSU PHOTONICS KK                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     14500 | NS      | $698262.72    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ISRAEL DISCOUNT BANK LTD                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300XWZ7BG5G23OF51       | Long             | EC               | CORP              | IL        |    148068 | NS      | $778440.62    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL CONTAINER TERMINAL SERVICES INC                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900FU1MWK0I0Q4J61       | Long             | EC               | CORP              | PH        |    371400 | NS      | $1332914.63   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JARDINE MATHESON HOLDINGS LTD                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2138009KENVUNWOLPK41       | Long             | EC               | CORP              | HK        |     12000 | NS      | $610800.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA RESOURCES GAS GROUP LTD                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900A0E1J5JSOKEK83       | Long             | EC               | CORP              | HK        |    170100 | NS      | $638519.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ONO PHARMACEUTICAL CO LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900G26L4NG4GFJZ86       | Long             | EC               | CORP              | JP        |     91800 | NS      | $2156502.59   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| VALE INDONESIA TBK PT                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299002HHYBH7C6WBQ62       | Long             | EC               | CORP              | ID        |   1034500 | NS      | $471813.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| QANTAS AIRWAYS LTD                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: YLXNW6TI6QSK1H8H0N82       | Long             | EC               | CORP              | AU        |    384173 | NS      | $1572001.08   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SONIC HEALTHCARE LTD                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300NQQ5L2NONWR862       | Long             | EC               | CORP              | AU        |     76661 | NS      | $1564273.73   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SCSK CORP                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900SNGFXMSUBB7864       | Long             | EC               | CORP              | JP        |     39900 | NS      | $608350.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TECHTRONIC INDUSTRIES CO LTD                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HZW2SBE758OK89       | Long             | EC               | CORP              | HK        |     46000 | NS      | $513308.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZRAHI TEFAHOT BANK LTD                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: YZO9YEGEO4VYDZMDWF93       | Long             | EC               | CORP              | IL        |     24023 | NS      | $778418.74    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HANSOL CHEMICAL CO LTD                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |      3946 | NS      | $578871.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EURAZEO SE                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500C656AA39O94N60       | Long             | EC               | CORP              | FR        |      4572 | NS      | $284346.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUINOR ASA                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: OW6OFBNCKXC4US5C7523       | Long             | EC               | CORP              | NO        |     78522 | NS      | $2819700.27   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL SPA                                                                        | ORDINARY SHARES                       | CUSIP: T3679P115<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | EC               | CORP              | IT        |    182729 | NS      | $983878.89    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGO GROUP INTERNATIONAL HOLDINGS LTD                                           | ORDINARY SHARES                       | CUSIP: G0464B107<br>LEI: 549300M4T8Y5TTWI6O03 | Long             | EC               | CORP              | BM        |      5192 | NS      | $134213.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SAPIENS INTERNATIONAL CORP NV                                                   | ORDINARY SHARES                       | CUSIP: G7T16G103<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |      5215 | NS      | $96373.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TEEKAY CORP                                                                     | ORDINARY SHARES                       | CUSIP: Y8564W103<br>LEI: YHKQM2RIPKZYOZ6RVZ46 | Long             | EC               | CORP              | BM        |     24036 | NS      | $109123.44    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MCDONALD'S CO JAPAN LTD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900FY9FV0AYNRC729       | Long             | EC               | CORP              | JP        |     26200 | NS      | $997173.12    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SINBON ELECTRONICS CO LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |    137000 | NS      | $1225781.26   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUESCOPE STEEL LTD                                                             | ORDINARY SHARES                       | CUSIP: Q1415L102<br>LEI: 529900H6UQI16XACWC95 | Long             | EC               | CORP              | AU        |    107468 | NS      | $1232176.11   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FLUTTER ENTERTAINMENT PLC                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 635400EG4YIJLJMZJ782       | Long             | EC               | CORP              | IE        |     13704 | NS      | $1870465.35   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BYD CO LTD                                                                      | ORDINARY SHARES                       | CUSIP: Y1023R104<br>LEI: 5299005557VL7ULJ7A69 | Long             | EC               | CORP              | CN        |     71000 | NS      | $1751929.74   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | EC               | CORP              | GB        |     34339 | NS      | $1969430.68   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK MANDIRI PERSERO PT                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300RSKQN4Z5ZSGH94       | Long             | EC               | CORP              | ID        |   3431500 | NS      | $2187739.68   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| RENESAS ELECTRONICS CORP                                                        | ORDINARY SHARES                       | CUSIP: J4881U109<br>LEI: 5299000EPC47VJQOFB81 | Long             | EC               | CORP              | JP        |    298800 | NS      | $2694527.58   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ASSURED GUARANTY LTD                                                            | ORDINARY SHARES                       | CUSIP: G0585R106<br>LEI: 549300BBOQUJEPH87M14 | Long             | EC               | CORP              | BM        |     53718 | NS      | $3344482.68   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA MENGNIU DAIRY CO LTD                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2549005Q343BSJ8RSS21       | Long             | EC               | CORP              | HK        |    350000 | NS      | $1587352.43   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                            | ORDINARY SHARES                       | CUSIP: G87572163<br>LEI: 254900N4SLUMW4XUYY11 | Long             | EC               | CORP              | CN        |    116411 | NS      | $4981298.20   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PING AN INSURANCE GROUP CO OF CHINA LTD                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900M9MC28JLN35U89       | Long             | EC               | CORP              | CN        |    301000 | NS      | $1991768.57   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TATA CONSULTANCY SERVICES LTD                                                   | ORDINARY SHARES                       | CUSIP: Y85279100<br>LEI: 335800ZJKU9GPQRE2U66 | Long             | EC               | CORP              | IN        |     80885 | NS      | $3184070.83   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BIOMERIEUX                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300AK8Y0LBIQ4T071       | Long             | EC               | CORP              | FR        |      5021 | NS      | $526293.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | Long             | EC               | CORP              | JP        |    143000 | NS      | $2067528.95   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLAR LNG LTD                                                                   | ORDINARY SHARES                       | CUSIP: G9456A100<br>LEI: 213800C2VSFZG3EZLO34 | Long             | EC               | CORP              | BM        |     22959 | NS      | $523235.61    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GOODMAN GROUP                                                                   | ORDINARY SHARES                       | CUSIP: Q4229W132<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |    174764 | NS      | $2065633.30   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| LI NING CO LTD                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900T77L2FV3FZ3U81       | Long             | EC               | CORP              | CN        |    209500 | NS      | $1818424.95   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| VICINITY LTD                                                                    | ORDINARY SHARES                       | CUSIP: Q9395F102<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |    635975 | NS      | $866007.33    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANDAI NAMCO HOLDINGS INC                                                       | ORDINARY SHARES                       | CUSIP: J48454102<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     38400 | NS      | $2432624.20   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| LEENO INDUSTRIAL INC                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |      6965 | NS      | $856510.48    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HANA FINANCIAL GROUP INC                                                        | ORDINARY SHARES                       | CUSIP: Y29975102<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |     79601 | NS      | $2647071.61   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| COPA HOLDINGS SA                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900BB9UQJV6QQHA59       | Long             | EC               | CORP              | PA        |     13009 | NS      | $1081958.53   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| IPSEN SA                                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300M6SGDPB4Z94P11       | Long             | EC               | CORP              | FR        |      4476 | NS      | $481528.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ABU DHABI ISLAMIC BANK PJSC                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493006DOLY8O98XHD74       | Long             | EC               | CORP              | AE        |    301479 | NS      | $747828.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SHENZHOU INTERNATIONAL GROUP HOLDINGS LTD                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900B4W41TCUKJFM73       | Long             | EC               | CORP              | CN        |    139000 | NS      | $1563548.55   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TOTVS SA                                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BR        |    225655 | NS      | $1180470.87   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| PARTNERS GROUP HOLDING AG                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300I3IVVWZWDHI788       | Long             | EC               | CORP              | CH        |      5493 | NS      | $4852303.47   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| LEGRAND SA                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500XXRPGD7HCAFA90       | Long             | EC               | CORP              | FR        |     30125 | NS      | $2412742.31   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| PHOENIX MILLS LTD/THE                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 33580037PCXCE5PNQU51       | Long             | EC               | CORP              | IN        |     35374 | NS      | $608237.82    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SWEDISH ORPHAN BIOVITRUM AB                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300124Y3MQI87PT35       | Long             | EC               | CORP              | SE        |      9159 | NS      | $189326.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EXPERIAN PLC                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 635400RXXHHYT1JTSZ26       | Long             | EC               | CORP              | IE        |    106171 | NS      | $3610638.56   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA REAL ESTATE HOLDINGS INC                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     31200 | NS      | $672782.69    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NINTENDO CO LTD                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800FEEXU6I9M0ZF27       | Long             | EC               | CORP              | JP        |     71800 | NS      | $3026498.02   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EC               | CORP              | ES        |    488182 | NS      | $2944182.90   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMSUNG SDI CO LTD                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884002AESDO4YW87G32       | Long             | EC               | CORP              | KR        |      3592 | NS      | $1678823.25   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGLO AMERICAN PLC                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300S9XF92D1X8ME43       | Long             | EC               | CORP              | GB        |    119839 | NS      | $4689020.85   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROCHINA CO LTD                                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900RPY4YG47TRSV05       | Long             | EC               | CORP              | CN        |   2452000 | NS      | $1121477.94   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| DBS GROUP HOLDINGS LTD                                                          | ORDINARY SHARES                       | CUSIP: Y20246107<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |    263900 | NS      | $6683207.40   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| HERMES INTERNATIONAL                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500Y4IJGHJE2MTJ13       | Long             | EC               | CORP              | FR        |      1935 | NS      | $2993057.06   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493003UOETFYRONLG31       | Long             | EC               | CORP              | IN        |    100188 | NS      | $3084719.85   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EC               | CORP              | GB        |    492110 | NS      | $943093.23    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BAE SYSTEMS PLC                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 8SVCSVKSGDWMW2QHOH83       | Long             | EC               | CORP              | GB        |    271484 | NS      | $2809482.81   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CIE DE SAINT-GOBAIN                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: NFONVGN05Z0FMN5PEC35       | Long             | EC               | CORP              | FR        |     55420 | NS      | $2708154.79   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MURATA MANUFACTURING CO LTD                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900QZG6DL8ZRI7140       | Long             | EC               | CORP              | JP        |     27900 | NS      | $1400527.28   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CHUGAI PHARMACEUTICAL CO LTD                                                    | ORDINARY SHARES                       | CUSIP: J06930101<br>LEI: 529900T9LAII161DCN95 | Long             | EC               | CORP              | JP        |     75900 | NS      | $1947814.69   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HIROSE ELECTRIC CO LTD                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |      1400 | NS      | $177080.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | ORDINARY SHARES                       | CUSIP: J44497105<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |    809600 | NS      | $5484108.50   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BOERSE AG                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900G3SW56SHYNPR95       | Long             | EC               | CORP              | DE        |     16596 | NS      | $2867300.02   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| TOKYO GAS CO., LTD                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800678EIJLOQSWZ83       | Long             | EC               | CORP              | JP        |     69800 | NS      | $1374832.37   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AXA SA                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: F5WCUMTUM4RKZ1MAIE39       | Long             | EC               | CORP              | FR        |    229744 | NS      | $6407689.16   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| REPSOL SA                                                                       | ORDINARY SHARES                       | CUSIP: E8471S130<br>LEI: BSYCX13Y0NOTV14V9N85 | Long             | EC               | CORP              | ES        |     81470 | NS      | $1295061.37   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NIPPON YUSEN KK                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800YPW4XM0ZN5I149       | Long             | EC               | CORP              | JP        |     56400 | NS      | $1336513.26   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ASM INTERNATIONAL NV                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 7245001I22ND6ZFHX623       | Long             | EC               | CORP              | NL        |       505 | NS      | $127386.97    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| L'OREAL SA                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900JI1GG6F7RKVI53       | Long             | EC               | CORP              | FR        |      9948 | NS      | $3552450.21   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| DASSAULT SYSTEMES SE                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 96950065LBWY0APQIM86       | Long             | EC               | CORP              | FR        |     47306 | NS      | $1696142.71   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SANOFI                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300E9PC51EN656011       | Long             | EC               | CORP              | FR        |     68287 | NS      | $6567104.96   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| SEKISUI CHEMICAL CO LTD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900KQIVT7NWFNMI70       | Long             | EC               | CORP              | JP        |     30200 | NS      | $424558.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AP MOLLER-MAERSK A/S                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300D2K6PKKKXVNN73       | Long             | EC               | CORP              | DK        |       781 | NS      | $1756092.01   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| LVMH MOET HENNESSY LOUIS VUITTON SA                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: IOG4E947OATN0KJYSD45       | Long             | EC               | CORP              | FR        |     11687 | NS      | $8505782.35   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| INDUSTRIVARDEN AB                                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300TM1DLIQI3B3T37       | Long             | EC               | CORP              | SE        |     17860 | NS      | $433883.57    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INDUSTRIA DE DISENO TEXTIL SA                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300TTCXZOGZM2EY83       | Long             | EC               | CORP              | ES        |    100758 | NS      | $2680230.30   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MISUMI GROUP INC                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800SJWGE5BEK2V032       | Long             | EC               | CORP              | JP        |      9100 | NS      | $199625.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PTT EXPLORATION  AND  PRODUCTION PCL                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2549001O8YYGP5N7Q076       | Long             | EC               | CORP              | TH        |    107600 | NS      | $548329.72    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASSA ABLOY AB                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300YECS8HKCIMMB67       | Long             | EC               | CORP              | SE        |     27655 | NS      | $592861.76    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASAHI GROUP HOLDINGS LTD                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800KAJ02XNHLCJW79       | Long             | EC               | CORP              | JP        |     87000 | NS      | $2730516.61   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FUJITSU, LTD                                                                    | ORDINARY SHARES                       | CUSIP: J15708159<br>LEI: 3538000246DHJLRTUZ24 | Long             | EC               | CORP              | JP        |     20100 | NS      | $2697816.98   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ROCHE HOLDING AG                                                                | ORDINARY SHARES                       | CUSIP: H69293217<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |     17984 | NS      | $5650085.98   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE POST AG                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 8ER8GIG7CSMVD8VUFE78       | Long             | EC               | CORP              | DE        |     63682 | NS      | $2398163.07   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MARUBENI CORP                                                                   | ORDINARY SHARES                       | CUSIP: J39788138<br>LEI: 4P4N3ORD02UGQT1T1W12 | Long             | EC               | CORP              | JP        |    226100 | NS      | $2610038.86   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ZURICH INSURANCE GROUP AG                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900QVNRBND50TXP03       | Long             | EC               | CORP              | CH        |      2375 | NS      | $1136065.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| IMPERIAL BRANDS PLC                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300DFVPOB67JL3A42       | Long             | EC               | CORP              | GB        |    103194 | NS      | $2583704.97   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| JD SPORTS FASHION PLC                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800HROV6Y9MUU8375       | Long             | EC               | CORP              | GB        |   2195733 | NS      | $3348691.65   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| SPIRAX-SARCO ENGINEERING PLC                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800WFVZQMHOZP2W17       | Long             | EC               | CORP              | GB        |      9243 | NS      | $1186154.68   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON STOCK EXCHANGE GROUP PLC                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800QAUUUP6I445N30       | Long             | EC               | CORP              | GB        |     33281 | NS      | $2871174.47   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN NATIONAL RAILWAY CO                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3SU7BEP7TH9YEQOZCS77       | Long             | EC               | CORP              | CA        |     26335 | NS      | $3128302.36   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO FINANCIERO BANORTE SAB DE CV                                              | ORDINARY SHARES                       | CUSIP: P49501201<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |    377067 | NS      | $2713667.21   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| DASSAULT AVIATION SA                                                            | ORDINARY SHARES                       | CUSIP: F24539102<br>LEI: 969500CVFTUT88V8QN95 | Long             | EC               | CORP              | FR        |      2957 | NS      | $500753.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| THALES SA                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900FNDVTQJOVVPZ19       | Long             | EC               | CORP              | FR        |     37149 | NS      | $4744099.09   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLSBERG AS                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299001O0WJQYB5GYZ19       | Long             | EC               | CORP              | DK        |      2356 | NS      | $313102.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JERONIMO MARTINS SGPS SA                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 259400A8SZP10GB5IB19       | Long             | EC               | CORP              | PT        |     78918 | NS      | $1704760.65   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| KESKO OYJ                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 743700OX6HSVMCAHPB95       | Long             | EC               | CORP              | FI        |     28395 | NS      | $626753.42    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| L E LUNDBERGFORETAGEN AB                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900BPSFZS6O3A9R04       | Long             | EC               | CORP              | SE        |      4834 | NS      | $205731.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GEA GROUP AG                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300PHUU0ZZWO8EO07       | Long             | EC               | CORP              | DE        |     22319 | NS      | $912650.04    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| OMV AG                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300V62YJ9HTLRI486       | Long             | EC               | CORP              | AT        |     13560 | NS      | $698185.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SONOVA HOLDING AG                                                               | ORDINARY SHARES                       | CUSIP: H62042124<br>LEI: 5299004A0QNX7FBNHS61 | Long             | EC               | CORP              | CH        |      5829 | NS      | $1382468.72   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| KONGSBERG GRUPPEN ASA                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5967007LIEEXZXJ9HK73       | Long             | EC               | CORP              | NO        |      7405 | NS      | $314135.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RHEINMETALL AG                                                                  | ORDINARY SHARES                       | CUSIP: D65111102<br>LEI: 5299001OU9CSE29O6S05 | Long             | EC               | CORP              | DE        |     12330 | NS      | $2455607.39   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTUM OYJ                                                                      | ORDINARY SHARES                       | CUSIP: X2978Z118<br>LEI: 635400IUIZZIUJSAMF76 | Long             | EC               | CORP              | FI        |     70636 | NS      | $1175014.68   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LONZA GROUP AG                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300EFW4H2TCZ71055       | Long             | EC               | CORP              | CH        |      7570 | NS      | $3709476.01   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ICICI BANK LTD                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: R7RX8ER1V4666J8D1I38       | Long             | EC               | CORP              | IN        |    496049 | NS      | $5341535.74   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| INDIAN HOTELS CO LTD                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 33580076CH5SBY5HWA22       | Long             | EC               | CORP              | IN        |    244837 | NS      | $943035.30    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SUN PHARMACEUTICAL INDUSTRIES LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800KJ7GE29LB4SS73       | Long             | EC               | CORP              | IN        |     81253 | NS      | $983521.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FARADAY TECHNOLOGY CORP                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |    214000 | NS      | $992175.17    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| KDDI CORP                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299003FU7V4I45FU310       | Long             | EC               | CORP              | JP        |     90400 | NS      | $2742858.88   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ARISTOCRAT LEISURE LTD                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900TE2HO3OZKYKC27       | Long             | EC               | CORP              | AU        |    104621 | NS      | $2173976.90   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| PAN PACIFIC INTERNATIONAL HOLDINGS CORP                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900QLHJM2E18A5763       | Long             | EC               | CORP              | JP        |     83000 | NS      | $1551348.67   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SHELL PLC                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 21380068P1DRHMJ8KU70       | Long             | EC               | CORP              | GB        |    230739 | NS      | $6488422.05   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| SHELL PLC                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 21380068P1DRHMJ8KU70       | Long             | EC               | CORP              | GB        |    172201 | NS      | $4881123.89   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| TELSTRA GROUP LTD                                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 894500WRW54CVN62K416       | Long             | EC               | CORP              | AU        |    875813 | NS      | $2379226.63   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | EC               | CORP              | DE        |     26417 | NS      | $299408.15    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PUBLICIS GROUPE SA                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | EC               | CORP              | FR        |     15088 | NS      | $959688.97    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESTOR AB                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300VEBQPHRZBKUX38       | Long             | EC               | CORP              | SE        |    160582 | NS      | $2901751.53   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAGEO PLC                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800ZVIELEA55JMJ32       | Long             | EC               | CORP              | GB        |    122471 | NS      | $5404238.46   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI ESTATE CO LTD                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800KOFMRGOXSJ5Z65       | Long             | EC               | CORP              | JP        |    187600 | NS      | $2445775.68   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NOVO NORDISK A/S                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300DAQ1CVT6CXN342       | Long             | EC               | CORP              | DK        |     44529 | NS      | $6012581.62   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300KB6NK5SBD14S87       | Long             | EC               | CORP              | TW        |    589350 | NS      | $8599940.62   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK LEUMI LE-ISRAEL BM                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 7JDSZWRGUQY2DSTWCR57       | Long             | EC               | CORP              | IL        |    239547 | NS      | $1997417.59   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SA                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EC               | CORP              | FR        |     26941 | NS      | $1535675.67   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMPO OYJ                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 743700UF3RL386WIDA22       | Long             | EC               | CORP              | FI        |     52300 | NS      | $2733163.70   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KONINKLIJKE AHOLD DELHAIZE NV                                                   | ORDINARY SHARES                       | CUSIP: N0139V100<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |     92721 | NS      | $2663954.48   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BHP GROUP LTD                                                                   | ORDINARY SHARES                       | CUSIP: Q1498M100<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |    138960 | NS      | $4317096.96   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| PRUDENTIAL PLC                                                                  | ORDINARY SHARES                       | CUSIP: G72899100<br>LEI: 5493001Z3ZE83NGK8Y12 | Long             | EC               | CORP              | GB        |    319743 | NS      | $4358388.82   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| NOVARTIS AG                                                                     | ORDINARY SHARES                       | CUSIP: H5820Q150<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |     59443 | NS      | $5373752.63   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI HEAVY INDUSTRIES LTD                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800TJ98PCAZROVE69       | Long             | EC               | CORP              | JP        |     52200 | NS      | $2081795.18   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | EC               | CORP              | GB        |   5149633 | NS      | $2827067.37   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| TDK CORP                                                                        | ORDINARY SHARES                       | CUSIP: J82141136<br>LEI: 3538005O8WNU39U8NX03 | Long             | EC               | CORP              | JP        |     67200 | NS      | $2219689.12   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| WOLTERS KLUWER NV                                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 724500TEM53I0U077B74       | Long             | EC               | CORP              | NL        |     29731 | NS      | $3111264.19   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CHUBB LTD                                                                       | ORDINARY SHARES                       | CUSIP: H1467J104<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |      4056 | NS      | $894753.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLIANZ SE                                                                      | ORDINARY SHARES                       | CUSIP: D03080112<br>LEI: 529900K9B0N5BT694847 | Long             | EC               | CORP              | DE        |      5278 | NS      | $1135051.33   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPGEMINI SE                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 96950077L0TN7BAROX36       | Long             | EC               | CORP              | FR        |     14165 | NS      | $2364656.92   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                                                     | ORDINARY SHARES                       | CUSIP: Q65336119<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | EC               | CORP              | AU        |    160499 | NS      | $3284829.53   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| RWE AG                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | EC               | CORP              | DE        |     61720 | NS      | $2747774.05   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| RIO TINTO PLC                                                                   | ORDINARY SHARES                       | CUSIP: G75754104<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |     29989 | NS      | $2102076.76   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SHIN-ETSU CHEMICAL CO LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800PX8Q64N86H5W41       | Long             | EC               | CORP              | JP        |     24200 | NS      | $2991808.90   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SONY GROUP CORP                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900R5WX9N2OI2N910       | Long             | EC               | CORP              | JP        |     31500 | NS      | $2408583.51   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TOYOTA MOTOR CORP                                                               | ORDINARY SHARES                       | CUSIP: J92676113<br>LEI: 5493006W3QUS5LMH6R84 | Long             | EC               | CORP              | JP        |      8100 | NS      | $111865.67    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ITOCHU CORP                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: J48DJYXDTLHM30UMYI18       | Long             | EC               | CORP              | JP        |    122500 | NS      | $3869894.85   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: Q9MAIUP40P25UFBFG033       | Long             | EC               | CORP              | DE        |    271857 | NS      | $2716279.76   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| THOMSON REUTERS CORP                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300561UZND4C7B569       | Long             | EC               | CORP              | CA        |     22020 | NS      | $2511971.34   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NITTO DENKO CORP                                                                | ORDINARY SHARES                       | CUSIP: J58472119<br>LEI: 3538009GX5P09USH2J25 | Long             | EC               | CORP              | JP        |     22100 | NS      | $1288212.44   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SODEXO SA                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500LCBOG12HXPYM84       | Long             | EC               | CORP              | FR        |      8511 | NS      | $815216.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ASML HOLDING NV                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 724500Y6DUVHQD6OXN27       | Long             | EC               | CORP              | NL        |      3036 | NS      | $1637291.89   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SHOPRITE HOLDINGS LTD                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900Q4O1EYP6NH5150       | Long             | EC               | CORP              | ZA        |     89944 | NS      | $1196341.88   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| HOYA CORP                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800X4VR3BHEUCJB42       | Long             | EC               | CORP              | JP        |     41000 | NS      | $3969102.40   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| OLYMPUS CORP                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299000Y52IFDI1I2A21       | Long             | EC               | CORP              | JP        |     83100 | NS      | $1489265.47   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| EIFFAGE SA                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500OQXKE5WDM9M994       | Long             | EC               | CORP              | FR        |     13131 | NS      | $1292034.16   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK KGAA                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900OAREIS0MOPTW25       | Long             | EC               | CORP              | DE        |     37579 | NS      | $7276959.65   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| MINEBEA MITSUMI INC                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800CCB0CZ75YZ4010       | Long             | EC               | CORP              | JP        |    135000 | NS      | $2027468.76   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BP PLC                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800LH1BZH3DI6G760       | Long             | EC               | CORP              | GB        |    709081 | NS      | $4071049.60   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| 3I GROUP PLC                                                                    | ORDINARY SHARES                       | CUSIP: G88473114<br>LEI: 35GDVHRBMFE7NWATNM84 | Long             | EC               | CORP              | GB        |    126827 | NS      | $2056888.61   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| STMICROELECTRONICS NV                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800Z8NOHIKRI42W10       | Long             | EC               | CORP              | CH        |     71824 | NS      | $2536786.40   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CRH PLC                                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300MIDJNNTH068E74       | Long             | EC               | CORP              | IE        |    185465 | NS      | $7347629.16   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUI  AND  CO LTD                                                             | ORDINARY SHARES                       | CUSIP: J44690139<br>LEI: 2NRSB4GOU9DD6CNW5R48 | Long             | EC               | CORP              | JP        |     91800 | NS      | $2695103.63   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TOTAL S.A.                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900S21EQ1BO4ESM68       | Long             | EC               | CORP              | FR        |     47067 | NS      | $2954953.93   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NESTLE SA                                                                       | ORDINARY SHARES                       | CUSIP: H57312466<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |     59539 | NS      | $6898835.73   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| TELEFONAKTIEBOLAGET LM ERICSSON                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300W9JLPW15XIFM52       | Long             | EC               | CORP              | SE        |    402806 | NS      | $2350861.33   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ACCENTURE PLC                                                                   | ORDINARY SHARES                       | CUSIP: G1151C101<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |     55478 | NS      | $14803749.52  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON PLC                                                                        | ORDINARY SHARES                       | CUSIP: G4705A100<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |      8359 | NS      | $1623735.75   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| AVIVA PLC                                                                       | ORDINARY SHARES                       | CUSIP: G0683Q109<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | EC               | CORP              | GB        |    280551 | NS      | $1501854.32   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGLO AMERICAN PLC                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300S9XF92D1X8ME43       | Long             | EC               | CORP              | GB        |     24844 | NS      | $969912.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: PY6ZZQWO2IZFZC3IOL08       | Long             | EC               | CORP              | GB        |     92079 | NS      | $12487756.02  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMSUNG ELECTRONICS CO LTD                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |    100658 | NS      | $4402046.18   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EC               | CORP              | GB        |      7204 | NS      | $285794.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI CORP                                                                 | ORDINARY SHARES                       | CUSIP: J43830116<br>LEI: KVIPTY4PULAPGC1VVD26 | Long             | EC               | CORP              | JP        |    134500 | NS      | $4389389.67   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUI FUDOSAN CO LTD                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800ND4ZKNZDYKMF33       | Long             | EC               | CORP              | JP        |     18100 | NS      | $333341.21    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| YAKULT HONSHA CO LTD                                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800YJPSPGG7KI0S71       | Long             | EC               | CORP              | JP        |     31400 | NS      | $2048034.14   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| UNILEVER PLC                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300MKFYEKVRWML317       | Long             | EC               | CORP              | GB        |     63844 | NS      | $3227843.67   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| WAL-MART DE MEXICO SAB DE CV                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MX        |    654223 | NS      | $2312517.91   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ENSTAR GROUP LTD                                                                | ORDINARY SHARES                       | CUSIP: G3075P101<br>LEI: 213800AMAL5QFXVUCN04 | Long             | EC               | CORP              | BM        |      1885 | NS      | $435510.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PRYSMIAN SPA                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | EC               | CORP              | IT        |     26020 | NS      | $965388.30    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| LULULEMON ATHLETICA INC                                                         | ORDINARY SHARES                       | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | CA        |     13205 | NS      | $4230617.90   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCADOLIBRE INC                                                                | ORDINARY SHARES                       | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Long             | EC               | CORP              | UY        |      1264 | NS      | $1069647.36   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| KEI INDUSTRIES LTD                                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800UDWBC2AWPU7M56       | Long             | EC               | CORP              | IN        |     43166 | NS      | $764235.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TIS INC                                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 35380064HYEZXBQHDF07       | Long             | EC               | CORP              | JP        |     52700 | NS      | $1397409.33   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ALINMA BANK                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 558600HPAUTN6XSVBK93       | Long             | EC               | CORP              | SA        |    319028 | NS      | $2763268.07   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KB FINANCIAL GROUP INC                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900TKE4MXG3Q6GW86       | Long             | EC               | CORP              | KR        |     42853 | NS      | $1643630.29   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SUMBER ALFARIA TRIJAYA TBK PT                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | ID        |   4601100 | NS      | $783228.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PANDORA A/S                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299007OWYZ6I1E46843       | Long             | EC               | CORP              | DK        |     16338 | NS      | $1147949.82   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP SEMICONDUCTORS NV                                                           | ORDINARY SHARES                       | CUSIP: N6596X109<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |     10063 | NS      | $1590255.89   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AIA GROUP LTD                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | EC               | CORP              | HK        |    200600 | NS      | $2230759.28   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SITC INTERNATIONAL HOLDINGS CO LTD                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900JUV4MOM9CE3V12       | Long             | EC               | CORP              | HK        |     65000 | NS      | $144565.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GJENSIDIGE FORSIKRING ASA                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5967007LIEEXZX6FAO47       | Long             | EC               | CORP              | NO        |     14900 | NS      | $292317.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GLENCORE PLC                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 2138002658CPO9NBH955       | Long             | EC               | CORP              | CH        |    467571 | NS      | $3122551.51   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPRI HOLDINGS LTD                                                              | ORDINARY SHARES                       | CUSIP: G1890L107<br>LEI: 549300LPG8W0H1OX3A26 | Long             | EC               | CORP              | GB        |     14500 | NS      | $831140.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PROTHENA CORP PLC                                                               | ORDINARY SHARES                       | CUSIP: G72800108<br>LEI: 5299009ZXQ8NIIJ8OL30 | Long             | EC               | CORP              | IE        |      4133 | NS      | $249013.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA HBC AG                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300EFP3TNG7JGVE49       | Long             | EC               | CORP              | IT        |     51719 | NS      | $1233631.87   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLIUM SE                                                                  | ORDINARY SHARES                       | CUSIP: F21107101<br>LEI: 724500KRJEMC79KAAU28 | Long             | EC               | CORP              | FR        |     43948 | NS      | $519904.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OCI NV                                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300NCMRGIBJYUOE57       | Long             | EC               | CORP              | NL        |     25245 | NS      | $903125.28    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MONCLER SPA                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 815600EBD7FB00525B20       | Long             | EC               | CORP              | IT        |     20855 | NS      | $1105049.10   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| WIX.COM LTD                                                                     | ORDINARY SHARES                       | CUSIP: M98068105<br>LEI: 5493008P6N29Q1AG9464 | Long             | EC               | CORP              | IL        |     24600 | NS      | $1890018.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ASPEED TECHNOLOGY INC                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |      7700 | NS      | $422134.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JD.COM INC                                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HVTWB0GJZ16V92       | Long             | EC               | CORP              | CN        |     68070 | NS      | $1920326.69   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| THERAVANCE BIOPHARMA INC                                                        | ORDINARY SHARES                       | CUSIP: G8807B106<br>LEI: 5493007VTSXP4Z6MIW52 | Long             | EC               | CORP              | KY        |     28521 | NS      | $320005.62    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NN GROUP NV                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 724500OHYNDT9OY6Q215       | Long             | EC               | CORP              | NL        |      6238 | NS      | $254812.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | EC               | CORP              | FR        |     60135 | NS      | $2351490.17   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| WH GROUP LTD                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900A4AYEDRWYSE928       | Long             | EC               | CORP              | HK        |   1295500 | NS      | $753520.94    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITY OFFICE REIT INC                                                            | ORDINARY SHARES                       | CUSIP: 178587101<br>LEI: 5493003J7157VP25NL57 | Long             | EC               | CORP              | CA        |     10259 | NS      | $85970.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ORION ENGINEERED CARBONS SA                                                     | ORDINARY SHARES                       | CUSIP: L72967109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6994 | NS      | $124563.14    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493001NTNQJDH60PM02       | Long             | EC               | CORP              | CN        |    169256 | NS      | $1870273.98   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| RECRUIT HOLDINGS CO LTD                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 353800R2LRSMVVC4I806       | Long             | EC               | CORP              | JP        |     96100 | NS      | $3058592.65   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDIBANK PVT LTD                                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: BDYVSUPTML83OLINBJ17       | Long             | EC               | CORP              | AU        |    117182 | NS      | $235360.97    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EC               | CORP              | CH        |     81894 | NS      | $1523804.97   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TECHNOPRO HOLDINGS INC                                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3538001DJ8I5PJQNHU53       | Long             | EC               | CORP              | JP        |     46200 | NS      | $1240894.54   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CK HUTCHISON HOLDINGS LTD                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900Z8HM1VEPOQ2G79       | Long             | EC               | CORP              | HK        |    821500 | NS      | $4930820.77   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH32 LTD                                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800LAZNPXSBKVHR17       | Long             | EC               | CORP              | AU        |    213514 | NS      | $581484.14    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CK ASSET HOLDINGS LTD                                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299006GJZSGP78B8S35       | Long             | EC               | CORP              | HK        |    279418 | NS      | $1720084.67   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| LIVANOVA PLC                                                                    | ORDINARY SHARES                       | CUSIP: G5509L101<br>LEI: 2138001K2FX6SHK2B339 | Long             | EC               | CORP              | GB        |      9828 | NS      | $545847.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN POST HOLDINGS CO LTD                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299003D9N4JBS256X18       | Long             | EC               | CORP              | JP        |    331200 | NS      | $2799957.33   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA EUROPACIFIC PARTNERS PLC                                              | ORDINARY SHARES                       | CUSIP: G25839104<br>LEI: 549300LTH67W4GWMRF57 | Long             | EC               | CORP              | GB        |     71140 | NS      | $3935464.80   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| DINO POLSKA SA                                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 259400H4L81SMPRTW956       | Long             | EC               | CORP              | PL        |     11693 | NS      | $1001605.19   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | EC               | CORP              | IE        |    355202 | NS      | $3384009.63   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| DIXON TECHNOLOGIES INDIA LTD                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800D7XO7AVXXJ8575       | Long             | EC               | CORP              | IN        |     10713 | NS      | $505620.45    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY LATIN AMERICA LTD                                                       | ORDINARY SHARES                       | CUSIP: G9001E128<br>LEI: 213800YWQHEAX7CAVO83 | Long             | EC               | CORP              | US        |     54184 | NS      | $411798.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SPOTIFY TECHNOLOGY SA                                                           | ORDINARY SHARES                       | CUSIP: L8681T102<br>LEI: 549300B4X0JHWV0DTD60 | Long             | EC               | CORP              | SE        |     10123 | NS      | $799210.85    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRY GARDEN SERVICES HOLDINGS CO LTD                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300P2JRKENZSEBB42       | Long             | EC               | CORP              | CN        |    213000 | NS      | $530490.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MEITUAN                                                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 21380033K525E5JLIA77       | Long             | EC               | CORP              | CN        |     99600 | NS      | $2229227.01   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA BANK ABP                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900ODI3047E2LIV03       | Long             | EC               | CORP              | FI        |    198296 | NS      | $2122282.28   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| STONECO LTD                                                                     | ORDINARY SHARES                       | CUSIP: G85158106<br>LEI: 549300O1A9LEF0XZCR35 | Long             | EC               | CORP              | BR        |     10969 | NS      | $103547.36    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COLES GROUP LTD                                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300OHQRG2HN8LZ793       | Long             | EC               | CORP              | AU        |    135456 | NS      | $1542005.95   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LINDE PLC                                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 8945002PAZHZLBGKGF02       | Long             | EC               | CORP              | GB        |      8207 | NS      | $2683432.92   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NETWORK INTERNATIONAL HOLDINGS PLC                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 213800XVRNKWENNLKK60       | Long             | EC               | CORP              | AE        |    436460 | NS      | $1572421.91   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SHENZHEN INOVANCE TECHNOLOGY CO LTD                                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | CN        |     79650 | NS      | $796305.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | CN        |     23200 | NS      | $1054490.84   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GUJARAT FLUOROCHEMICALS LTD                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800AQPB19VEXI8M93       | Long             | EC               | CORP              | IN        |      9558 | NS      | $359398.36    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LA FRANCAISE DES JEUX SAEM                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 969500R4CLSQFTYYI535       | Long             | EC               | CORP              | FR        |      9774 | NS      | $393183.51    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTRE TESTING INTERNATIONAL GROUP CO LTD                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | CN        |    309569 | NS      | $993050.43    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MAX HEALTHCARE INSTITUTE LTD                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3358005LALYV4GZOYF67       | Long             | EC               | CORP              | IN        |    232008 | NS      | $1232673.96   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| STELLANTIS NV                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300LKT9PW7ZIBDF31       | Long             | EC               | CORP              | NL        |    186440 | NS      | $2648354.99   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NEOGAMES SA                                                                     | ORDINARY SHARES                       | CUSIP: L6673X107<br>LEI: 222100MZTIQEZS4XY614 | Long             | EC               | CORP              | IL        |      4313 | NS      | $52575.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DNB BANK ASA                                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300GKFG0RYRRQ1414       | Long             | EC               | CORP              | NO        |    122299 | NS      | $2427429.42   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIVERSAL MUSIC GROUP NV                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 724500GJBUL3D9TW9Y18       | Long             | EC               | CORP              | NL        |    298612 | NS      | $7195300.42   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BHP GROUP LTD                                                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: WZE1WSENV6JSZFK0JC28       | Long             | EC               | CORP              | AU        |     11278 | NS      | $350407.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                                   | OTC EQUITY OPTION                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     42816 | NC      | $252822.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | OTC EQUITY OPTION                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |     42816 | NC      | $357542.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | PERPETUAL BONDS                       | CUSIP: 316773CM0<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     81000 | PA      | $76950.00     | 0.00%             | 2023-06-30      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    290000 | PA      | $252300.00    | 0.01%             | 2023-12-11      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                                     | PERPETUAL BONDS                       | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90993.32     | 0.00%             | 2051-12-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | PERPETUAL BONDS                       | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    199000 | PA      | $160692.50    | 0.01%             | 2051-07-28      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | PERPETUAL BONDS                       | CUSIP: 060505EL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34521.61     | 0.00%             | 2024-10-23      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    172000 | PA      | $165980.00    | 0.01%             | 2025-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | PERPETUAL BONDS                       | CUSIP: 060505EN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    297000 | PA      | $286605.00    | 0.01%             | 2025-03-17      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: H4209UAN6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    206000 | PA      | $201117.80    | 0.01%             | 2049-12-29      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | PERPETUAL BONDS                       | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    134000 | PA      | $131647.30    | 0.01%             | 2049-12-29      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD/UNITED KINGDOM                    | PERPETUAL BONDS                       | CUSIP: 05254HAA2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199281.58    | 0.01%             | 2026-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1080337.50   | 0.04%             | 2028-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48126HAC4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     94000 | PA      | $91487.38     | 0.00%             | 2024-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | PERPETUAL BONDS                       | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    158000 | PA      | $142239.89    | 0.01%             | 2024-09-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    563000 | PA      | $496143.75    | 0.02%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                             | PERPETUAL BONDS                       | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    431000 | PA      | $349168.95    | 0.01%             | 2050-11-18      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    104000 | PA      | $91027.56     | 0.00%             | 2026-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | PERPETUAL BONDS                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    416000 | PA      | $354640.00    | 0.01%             | 2051-02-18      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     44000 | PA      | $37675.00     | 0.00%             | 2026-06-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AG                                                                   | PREFERRED                             | CUSIP: N/A<br>LEI: 529900NNUPAGGOMPXZ31       | Long             | EP               | CORP              | DE        |     19417 | NS      | $2419780.13   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| DR ING HC F PORSCHE AG                                                          | PREFERRED                             | CUSIP: N/A<br>LEI: 529900EWEX125AULXI58       | Long             | EP               | CORP              | DE        |      1039 | NS      | $105380.67    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PORSCHE AUTOMOBIL HOLDING SE                                                    | PREFERRED                             | CUSIP: N/A<br>LEI: 52990053Z17ZYM1KFV27       | Long             | EP               | CORP              | DE        |      8063 | NS      | $442254.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC                   | RIGHTS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     11872 | NS      | $13652.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                               | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        | 151755485 | NS      | $151755485.04 | 6.18%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class     | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   1691000 | NS      | $1691000.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO BTG PACTUAL S.A                                                           | STOCK UNIT                            | CUSIP: N/A<br>LEI: ZXLTQRYIK6IJH3R0IK66       | Long             | EC               | CORP              | BR        |    200000 | OU      | $906861.12    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     41609 | NC      | $40491.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |    794971 | NC      | $104068755.29 | 4.24%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DE               | CORP              | US        |    773778 | NC      | $72495260.82  | 2.95%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | Total Return Swap                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DE               | CORP              | US        |    763786 | NC      | $72193052.72  | 2.94%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |    808104 | NC      | $99421616.95  | 4.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796XR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5295398.92   | 0.22%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $998569.38    | 0.04%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $6095709.08   | 0.25%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5300000.00   | 0.22%             | 2023-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $399103.82    | 0.02%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     91000 | PA      | $84008.47     | 0.00%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    321000 | PA      | $286762.14    | 0.01%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    592000 | PA      | $518840.64    | 0.02%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    316000 | PA      | $304522.88    | 0.01%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48871.40     | 0.00%             | 2043-06-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15064.15     | 0.00%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | VAR.RT. CORP. BONDS                   | CUSIP: 891160MJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    435000 | PA      | $400658.04    | 0.02%             | 2031-09-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    323000 | PA      | $301833.13    | 0.01%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                                               | VAR.RT. CORP. BONDS                   | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    342000 | PA      | $287280.00    | 0.01%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1422000 | PA      | $1305949.68   | 0.05%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1158299.55   | 0.05%             | 2048-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | VAR.RT. CORP. BONDS                   | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    285000 | PA      | $228441.30    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | VAR.RT. CORP. BONDS                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1250004.78   | 0.05%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | VAR.RT. CORP. BONDS                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    751000 | PA      | $699645.07    | 0.03%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | VAR.RT. CORP. BONDS                   | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233796.83    | 0.01%             | 2029-09-17      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 48123UAB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    116000 | PA      | $88806.12     | 0.00%             | 2047-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $154430.40    | 0.01%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | VAR.RT. CORP. BONDS                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    585000 | PA      | $499643.64    | 0.02%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | VAR.RT. CORP. BONDS                   | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $146377.06    | 0.01%             | 2035-08-12      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $924302.79    | 0.04%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | VAR.RT. CORP. BONDS                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    520000 | PA      | $382048.12    | 0.02%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    926000 | PA      | $666044.70    | 0.03%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 446150AX2<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    361000 | PA      | $259613.21    | 0.01%             | 2036-08-15      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | VAR.RT. CORP. BONDS                   | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $170833.29    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    630000 | PA      | $479412.16    | 0.02%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | VAR.RT. CORP. BONDS                   | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $604085.70    | 0.02%             | 2032-11-22      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1630039.70   | 0.07%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1117881.74   | 0.05%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/PROVIDENCE RI                                                  | VAR.RT. CORP. BONDS                   | CUSIP: 75524KNQ3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    340000 | PA      | $332696.21    | 0.01%             | 2025-05-23      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC/THE                                            | VAR.RT. CORP. BONDS                   | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    725000 | PA      | $669768.16    | 0.03%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | VAR.RT. CORP. BONDS                   | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    310000 | PA      | $304592.43    | 0.01%             | 2026-07-28      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    308000 | PA      | $297678.15    | 0.01%             | 2027-08-05      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    219000 | PA      | $214611.09    | 0.01%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 744320AN2<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    146000 | PA      | $138368.14    | 0.01%             | 2044-03-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer