# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0000933691-25-001184
**Filing Date:** 2025-8
**Character Count:** 491054
**Document Hash:** 89effbfdbce712bf7358f8cd0e6aa99e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000933691-25-001184.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0000933691-25-001184

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 251266063

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/PIMCO Investment Grade Credit Bond Fund (Series ID: S000068114)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000218186 | JNL/PIMCO Investment Grade Credit Bond Fund (I) |  |
| C000218187 | JNL/PIMCO Investment Grade Credit Bond Fund (A) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/PIMCO Investment Grade Credit Bond Fund

- **b. EDGAR series identifier (if any):** S000068114

- **c. LEI of Series:** 03HIFFV5LBCCS2H8ZB47

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

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

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $926068953.74

**Total Liabilities:** $77753524.13

**Net Assets:** $848315429.61

**Delayed Delivery Securities:** $58692359.38

**Cash Not Reported:** $16808617.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -537.256330179775 | **1-Year:** -22125.437432477248 | **5-Year:** -130741.048662143037 | **10-Year:** -120847.590168960704 | **30-Year:** -104229.172385470144

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

- **3-Month:** -16.941445966488 | **1-Year:** -1569.767583733516 | **5-Year:** -5606.998396840256 | **10-Year:** -9341.147140717280 | **30-Year:** -8486.173940882428

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218186 | 0.08%                | -0.31%               | 2.18%                |
| Class ID C000218187 | 0.08%                | -0.32%               | 2.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-571759.28              | $-3019545.54                               |
| Month 2  | $-3438022.09             | $1958986.65                                |
| Month 3  | $-393071.88              | $10727667.19                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Credit

- **Index Identifier:** LHMN0011

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Presidencia da Republica                                                                 | Presidencia da Republica                                                                 | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | US        |     700000 | PA      | $668500.00    | 0.08%             | 2054-05-13      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| British Airways PLC                                                                      | British Airways PLC                                                                      | CUSIP: 11042CAA8<br>LEI: 375X9PSJLLOV7F21O626 | Long             | ABS-CBDO         | CORP              | US        |    1246823 | PA      | $1109262.44   | 0.13%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                                | Kaisa Group Holdings Ltd.                                                                | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | US        |    2000000 | PA      | $85712.42     | 0.01%             | 2049-07-23      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                                | Kaisa Group Holdings Ltd.                                                                | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | US        |    1000000 | PA      | $41142.86     | 0.00%             | 2049-09-28      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | US        |     400000 | PA      | $436500.00    | 0.05%             | 2500-12-31      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        129 | NS      | $2547.75      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Alternative Loan Trust 2006-9T1                                                          | Alternative Loan Trust 2006-9T1                                                          | CUSIP: 12668BFD0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |    2956163 | PA      | $1699609.77   | 0.20%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-12                                            | CWABS Asset-Backed Certificates Trust 2007-12                                            | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-CBDO         | CORP              | US        |     429762 | PA      | $422265.53    | 0.05%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                      | Petroleos Mexicanos                                                                      | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     400000 | PA      | $386538.00    | 0.05%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                         | Philip Morris International Inc.                                                         | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1548171.75   | 0.18%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Ashtead Capital, Inc.                                                                    | Ashtead Capital, Inc.                                                                    | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     400000 | PA      | $393575.00    | 0.05%             | 2028-05-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                                    | Ashtead Capital, Inc.                                                                    | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1124883.65   | 0.13%             | 2034-04-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                             | Countrywide Home Loans, Inc.                                                             | CUSIP: 12669UCC2<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |     284114 | PA      | $259392.57    | 0.03%             | 2034-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Cameron LNG, LLC                                                                         | Cameron LNG, LLC                                                                         | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1107721.55   | 0.13%             | 2038-01-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Assured Guaranty US Holdings Inc.                                                        | Assured Guaranty US Holdings Inc.                                                        | CUSIP: 04621WAE0<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1157250.86   | 0.14%             | 2051-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Assured Guaranty US Holdings Inc.                                                        | Assured Guaranty US Holdings Inc.                                                        | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |     400000 | PA      | $420566.76    | 0.05%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                         | Philip Morris International Inc.                                                         | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498970.75    | 0.06%             | 2028-04-28      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I, L.P.                             | Phillips Edison Grocery Center Operating Partnership I, L.P.                             | CUSIP: 71845JAD0<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1312254.45   | 0.15%             | 2032-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AstraZeneca Finance LLC                                                                  | AstraZeneca Finance LLC                                                                  | CUSIP: 04636NAM5<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1952486.36   | 0.23%             | 2031-02-26      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                               | Aviation Capital Group LLC                                                               | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1364277.46   | 0.16%             | 2027-11-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass Through Trust 2020-1A                                               | British Airways Pass Through Trust 2020-1A                                               | CUSIP: 11044MAA4<br>LEI: 635400MTL3YRAQKWLK08 | Long             | ABS-CBDO         | CORP              | US        |     266841 | PA      | $255318.81    | 0.03%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                         | Brixmor Operating Partnership LP                                                         | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     600000 | PA      | $594780.72    | 0.07%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       1165 | NS      | $23008.75     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      13315 | PA      | $12704.59     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2021-ADV                                                                            | CSMC 2021-ADV                                                                            | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1524089.27   | 0.18%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                          | CSL Finance PLC                                                                          | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | US        |     400000 | PA      | $396885.16    | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corporation                                                                   | CVS Health Corporation                                                                   | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      32511 | PA      | $34422.97     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corporation                                                                   | CVS Health Corporation                                                                   | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1693359.80   | 0.20%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Limited                                                       | Canadian Natural Resources Limited                                                       | CUSIP: 136385AE1<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |     500000 | PA      | $532550.90    | 0.06%             | 2033-06-30      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| Canadian Pacific Kansas City Limited                                                     | Canadian Pacific Kansas City Limited                                                     | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | US        |     600000 | PA      | $526629.78    | 0.06%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Kansas City Limited                                                     | Canadian Pacific Kansas City Limited                                                     | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | US        |     500000 | PA      | $494669.05    | 0.06%             | 2026-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Kansas City Limited                                                     | Canadian Pacific Kansas City Limited                                                     | CUSIP: 13648TAG2<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $855356.88    | 0.10%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                                      | Centene Corporation                                                                      | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1022301.06   | 0.12%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric, LLC                                                 | CenterPoint Energy Houston Electric, LLC                                                 | CUSIP: 15189XBF4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99904.43     | 0.01%             | 2035-03-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                     | Carnival Corporation                                                                     | CUSIP: P2121YAX6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      95644 | PA      | $95554.23     | 0.01%             | 2027-08-09      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Thames Water Utils Ltd                                                                   | Thames Water Utils Ltd                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |      75614 | PA      | $97045.08     | 0.01%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Aviation Capital Group LLC                                                               | Aviation Capital Group LLC                                                               | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     600000 | PA      | $625002.90    | 0.07%             | 2028-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                               | Aviation Capital Group LLC                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $408041.36    | 0.05%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Physicians Realty L.P.                                                                   | Physicians Realty L.P.                                                                   | CUSIP: 71951QAB8<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198200.66    | 0.02%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Piedmont Operating Partnership, LP                                                       | Piedmont Operating Partnership, LP                                                       | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     500000 | PA      | $449231.20    | 0.05%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Centex Corporation                                                                       | Centex Corporation                                                                       | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      16837 | PA      | $16353.81     | 0.00%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                                    | Charter Communications Operating, LLC                                                    | CUSIP: 161175BN3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     300000 | PA      | $272786.61    | 0.03%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                          | Avolon Holdings Funding Limited                                                          | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1995956.34   | 0.24%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| BMW US Capital, LLC                                                                      | BMW US Capital, LLC                                                                      | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1700164.39   | 0.20%             | 2028-03-21      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                                     | BPCE                                                                                     | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $921782.79    | 0.11%             | 2027-10-19      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                                     | BPCE                                                                                     | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     400000 | PA      | $439467.96    | 0.05%             | 2034-10-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                                       | Republic of Panama                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |    1400000 | PA      | $1645832.65   | 0.19%             | 2027-03-07      | Floating      | 4.10%                 | No            |                  3 | On Loan: No      |
| Bausch Lomb Corp                                                                         | Bausch Lomb Corp                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2100000 | PA      | $2101323.00   | 0.25%             | 2030-12-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Piedmont Operating Partnership, LP                                                       | Piedmont Operating Partnership, LP                                                       | CUSIP: 720198AG5<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     500000 | PA      | $556983.00    | 0.07%             | 2028-07-20      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ProLogis, L.P.                                                                           | ProLogis, L.P.                                                                           | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $517082.43    | 0.06%             | 2033-02-15      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Cantor Fitzgerald, L.P.                                                                  | Cantor Fitzgerald, L.P.                                                                  | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1062335.50   | 0.13%             | 2028-12-12      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Capital Farm Credit ACA                                                                  | Capital Farm Credit ACA                                                                  | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3188279.87   | 0.38%             | 2500-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Corporation                                                              | Protective Life Corporation                                                              | CUSIP: 743674BD4<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499527.60    | 0.06%             | 2028-09-30      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Public Service Company of Colorado                                                       | Public Service Company of Colorado                                                       | CUSIP: 744448CV1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2322267.30   | 0.27%             | 2031-06-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                                        | Capital One Financial Corporation                                                        | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1073875.00   | 0.13%             | 2500-12-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Capital Power (US Holdings) Inc.                                                         | Capital Power (US Holdings) Inc.                                                         | CUSIP: 14041TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $412767.80    | 0.05%             | 2035-06-01      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                                     | BPCE                                                                                     | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $517522.50    | 0.06%             | 2031-01-14      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BRSP 2021-FL1, Ltd.                                                                      | BRSP 2021-FL1, Ltd.                                                                      | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     265823 | PA      | $264653.91    | 0.03%             | 2038-08-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Public Service Company of Oklahoma                                                       | Public Service Company of Oklahoma                                                       | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1712423.48   | 0.20%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Public Service Electric And Gas Company                                                  | Public Service Electric And Gas Company                                                  | CUSIP: 74456QCS3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498947.10    | 0.06%             | 2034-08-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Radian Group Inc.                                                                        | Radian Group Inc.                                                                        | CUSIP: 750236AY7<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |     500000 | PA      | $519470.00    | 0.06%             | 2029-05-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| RALI Series 2007-QS3 Trust                                                               | RALI Series 2007-QS3 Trust                                                               | CUSIP: 75116BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29125 | PA      | $22987.97     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QatarEnergy LNG                                                                          | QatarEnergy LNG                                                                          | CUSIP: 75405UAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     117400 | PA      | $119309.30    | 0.01%             | 2027-09-30      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| The Southern Company                                                                     | The Southern Company                                                                     | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     400000 | PA      | $366568.08    | 0.04%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 Ltd                                                                        | BXMT 2020-FL3 Ltd                                                                        | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     343826 | PA      | $343381.26    | 0.04%             | 2037-11-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-LP2                                                    | BX Commercial Mortgage Trust 2022-LP2                                                    | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     556211 | PA      | $555863.00    | 0.07%             | 2039-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                     | Spirit Airlines, LLC                                                                     | CUSIP: 84858DAA6<br>LEI: 549300DCAFIXFNFR3304 | Long             | ABS-CBDO         | CORP              | US        |     490805 | PA      | $433493.44    | 0.05%             | 2028-04-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                                                 | Spirit AeroSystems, Inc.                                                                 | CUSIP: 85205TAR1<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1435602.92   | 0.17%             | 2030-11-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust 2006-3                                            | Banc of America Alternative Loan Trust 2006-3                                            | CUSIP: 05948KS42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8000 | PA      | $6569.10      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage 2006-B Trust                                                    | Banc of America Mortgage 2006-B Trust                                                    | CUSIP: 05950TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1349315 | PA      | $1144017.07   | 0.13%             | 2036-11-20      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2775874.64   | 0.33%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6889306.20   | 0.81%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                                 | State Street Corporation                                                                 | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     600000 | PA      | $625058.64    | 0.07%             | 2500-12-31      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                         | Gobierno Federal de los Estados Unidos Mexicanos                                         | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   21204118 | PA      | $1106737.99   | 0.13%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3426401.16   | 0.40%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2602809.16   | 0.31%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| EP Infrastructure, a.s.                                                                  | EP Infrastructure, a.s.                                                                  | CUSIP: N/A<br>LEI: 315700I4J1M1NKGWWY89       | Long             | DBT              | CORP              | CZ        |     100000 | PA      | $105000.16    | 0.01%             | 2031-03-02      | Fixed         | 1.82%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                  | Nykredit Realkredit A/S                                                                  | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    1610524 | PA      | $205582.56    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $600069.48    | 0.07%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     800000 | PA      | $788267.52    | 0.09%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| CaixaBank, S.A.                                                                          | CaixaBank, S.A.                                                                          | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |    1200000 | PA      | $1464781.63   | 0.17%             | 2500-12-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                  | Nykredit Realkredit A/S                                                                  | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    2771076 | PA      | $343445.03    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Canary Wharf Group Investment Holdings PLC                                               | Canary Wharf Group Investment Holdings PLC                                               | CUSIP: N/A<br>LEI: 2138002C1D5FMEDILF18       | Long             | DBT              | CORP              | GB        |     637000 | PA      | $735445.02    | 0.09%             | 2026-04-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                                       | Credit Agricole SA                                                                       | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |     600000 | PA      | $761545.09    | 0.09%             | 2500-12-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                               | Cooperatieve Rabobank U.A.                                                               | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     800000 | PA      | $938826.67    | 0.11%             | 2500-12-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. L.L.C.                                                   | Blackstone Holdings Finance Co. L.L.C.                                                   | CUSIP: N/A<br>LEI: 549300D2L6J4NC1QVZ22       | Long             | DBT              | CORP              | US        |     800000 | PA      | $894479.18    | 0.11%             | 2029-04-10      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Erste Group Bank AG                                                                      | Erste Group Bank AG                                                                      | CUSIP: N/A<br>LEI: PQOH26KWDF7CG10L6792       | Long             | DBT              | CORP              | AT        |    2000000 | PA      | $2317617.90   | 0.27%             | 2500-12-31      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Yango Justice International Limited                                                      | Yango Justice International Limited                                                      | CUSIP: N/A<br>LEI: 3003007ELD2HAYCXPT77       | Long             | DBT              | CORP              | US        |     200000 | PA      | $200.00       | 0.00%             | 2049-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| SPP - distribucia , a.s.                                                                 | SPP - distribucia , a.s.                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | SK        |     300000 | PA      | $300554.11    | 0.04%             | 2031-06-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Yorkshire Water Finance PLC                                                              | Yorkshire Water Finance PLC                                                              | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |     700000 | PA      | $741040.03    | 0.09%             | 2032-10-27      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                                              | Bank of America Corporation                                                              | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3263684.80   | 0.38%             | 2034-04-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                             | Barclays PLC                                                                             | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3077827.13   | 0.36%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| JDE Peet's N.V.                                                                          | JDE Peet's N.V.                                                                          | CUSIP: N/A<br>LEI: 724500EHG519SE5ZRT89       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $97171.50     | 0.01%             | 2033-06-16      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank N.V.                                                                       | ABN AMRO Bank N.V.                                                                       | CUSIP: N/A<br>LEI: BFXS5XCH7N0Y05NIXW11       | Long             | DBT              | CORP              | NL        |     600000 | PA      | $728856.96    | 0.09%             | 2500-12-31      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Barclays PLC                                                                             | Barclays PLC                                                                             | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2276444.50   | 0.27%             | 2030-03-12      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                                                             | Bausch Health Companies Inc.                                                             | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     270000 | PA      | $267660.04    | 0.03%             | 2028-09-30      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Aviva PLC                                                                                | Aviva PLC                                                                                | CUSIP: N/A<br>LEI: YF0Y5B0IB8SM0ZFG9G81       | Long             | DBT              | CORP              | GB        |     300000 | PA      | $419001.31    | 0.05%             | 2500-12-31      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                                       | Thames Water Utilities Finance PLC                                                       | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      35793 | PA      | $53892.56     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                                                             | Bausch Health Companies Inc.                                                             | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |      53000 | PA      | $46287.75     | 0.01%             | 2030-10-15      | Fixed         | 14.00%                | Yes           |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                                     | Bayer US Finance LLC                                                                     | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5114019.84   | 0.60%             | 2030-11-21      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                      | Cabinet Office, Government of Japan                                                      | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   30000000 | PA      | $191524.60    | 0.02%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HM Treasury                                                                              | HM Treasury                                                                              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    1227000 | PA      | $1463268.72   | 0.17%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                                     | Bayer US Finance LLC                                                                     | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     800000 | PA      | $857587.12    | 0.10%             | 2033-11-21      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                                          | Bear Stearns ALT-A Trust 2006-3                                                          | CUSIP: 07386HQZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236368 | PA      | $217956.73    | 0.03%             | 2035-04-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                           | EPR Properties                                                                           | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1633742.64   | 0.19%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Edison International                                                                     | Edison International                                                                     | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1483328.55   | 0.17%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |    5400000 | PA      | $1668942.22   | 0.20%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                                   | Romania, Government of                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $590394.75    | 0.07%             | 2031-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| SW (Finance) I PLC                                                                       | SW (Finance) I PLC                                                                       | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1306735.04   | 0.15%             | 2040-04-16      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                                       | Thames Water Utilities Finance PLC                                                       | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |     900000 | PA      | $683800.35    | 0.08%             | 2031-01-18      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                                    | Elevance Health, Inc.                                                                    | CUSIP: 28622HAB7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3577682.88   | 0.42%             | 2033-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Embraer Netherlands Finance B.V.                                                         | Embraer Netherlands Finance B.V.                                                         | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103080.00    | 0.01%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | Government National Mortgage Association                                                 | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1600000 | PA      | $1620591.36   | 0.19%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COPT Defense Properties                                                                  | COPT Defense Properties                                                                  | CUSIP: 22003BAL0<br>LEI: YY1J47X6LF9TYY8JY420 | Long             | DBT              | CORP              | US        |     400000 | PA      | $393606.40    | 0.05%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK Aktiengesellschaft                                                           | COMMERZBANK Aktiengesellschaft                                                           | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    1400000 | PA      | $1830535.31   | 0.22%             | 2500-12-31      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| CoStar Group, Inc.                                                                       | CoStar Group, Inc.                                                                       | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $993767.17    | 0.12%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                                       | Credit Agricole SA                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1032941.00   | 0.12%             | 2036-01-09      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4624958.80   | 0.55%             | 2033-08-12      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     500000 | PA      | $618206.35    | 0.07%             | 2033-11-15      | Fixed         | 9.02%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: 225401BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     800000 | PA      | $795000.00    | 0.09%             | 2500-12-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                                                            | Crestline Denali CLO XV, Ltd.                                                            | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | US        |      23459 | PA      | $23462.90     | 0.00%             | 2030-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                        | Crown Castle Inc.                                                                        | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     500000 | PA      | $435464.90    | 0.05%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                        | Crown Castle Inc.                                                                        | CUSIP: 22822VBG5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1683921.57   | 0.20%             | 2034-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-24                                            | CWABS Asset-Backed Certificates Trust 2006-24                                            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      47129 | PA      | $42662.38     | 0.01%             | 2035-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| DC Office Trust 2019-MTC                                                                 | DC Office Trust 2019-MTC                                                                 | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2072199.60   | 0.24%             | 2029-10-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DTE Energy Company                                                                       | DTE Energy Company                                                                       | CUSIP: 233331BF3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466099.45    | 0.05%             | 2030-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DTE Electric Company                                                                     | DTE Electric Company                                                                     | CUSIP: 23338VAK2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1188718.44   | 0.14%             | 2030-03-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                                       | DT Midstream, Inc.                                                                       | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $356790.74    | 0.04%             | 2034-12-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                                    | Delta Air Lines, Inc.                                                                    | CUSIP: 247361ZV3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | ABS-CBDO         | CORP              | US        |     560824 | PA      | $528574.10    | 0.06%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                                    | Delta Air Lines, Inc.                                                                    | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    1601000 | PA      | $1616165.63   | 0.19%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                                 | Devon Energy Corporation                                                                 | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     400000 | PA      | $388336.68    | 0.05%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio, L.P.                                                                    | Essex Portfolio, L.P.                                                                    | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     600000 | PA      | $614131.74    | 0.07%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                                       | Evergy Metro, Inc.                                                                       | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $902536.80    | 0.11%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of India                                                              | Export-Import Bank of India                                                              | CUSIP: 30216JAE5<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | CORP              | US        |     600000 | PA      | $565915.74    | 0.07%             | 2030-01-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Extra Space Storage LP                                                                   | Extra Space Storage LP                                                                   | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $884128.40    | 0.10%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Diageo Capital PLC                                                                       | Diageo Capital PLC                                                                       | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1034212.25   | 0.12%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: 262051AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50691 | PA      | $48366.77     | 0.01%             | 2030-06-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress, LLC                                                                | Duke Energy Progress, LLC                                                                | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1708155.75   | 0.20%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                                            | Duquesne Light Holdings, Inc.                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $972262.20    | 0.11%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France                                                                    | Electricite de France                                                                    | CUSIP: 268317AV6<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1013164.02   | 0.12%             | 2038-09-21      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HCA Inc.                                                                                 | HCA Inc.                                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     700000 | PA      | $661837.75    | 0.08%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                                 | HCA Inc.                                                                                 | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4522867.09   | 0.53%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                                 | HCA Inc.                                                                                 | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1844244.72   | 0.22%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140QAE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       8810 | PA      | $8543.29      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140X7KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     152035 | PA      | $143495.70    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                        | HSBC Holdings PLC                                                                        | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |     800000 | PA      | $849565.76    | 0.10%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| HPS Corporate Lending Fund                                                               | HPS Corporate Lending Fund                                                               | CUSIP: 40440VAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $596911.26    | 0.07%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1275417 | PA      | $1200989.09   | 0.14%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance PLC                                                                     | Ferguson Finance PLC                                                                     | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3671381.22   | 0.43%             | 2030-06-02      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Financial, Inc.                                                        | Fidelity National Financial, Inc.                                                        | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     400000 | PA      | $248322.52    | 0.03%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| First American Financial Corporation                                                     | First American Financial Corporation                                                     | CUSIP: 31847RAJ1<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     400000 | PA      | $392564.32    | 0.05%             | 2034-09-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2004-FF10 Asset-Backed Certificates, Series 2004-FF10 | First Franklin Mortgage Loan Trust 2004-FF10 Asset-Backed Certificates, Series 2004-FF10 | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     392113 | PA      | $384228.64    | 0.05%             | 2034-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Flex Ltd.                                                                                | Flex Ltd.                                                                                | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | US        |     600000 | PA      | $606546.36    | 0.07%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                                              | HA Sustainable Infrastructure Capital, Inc.                                              | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $999198.20    | 0.12%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group Inc, The                                                         | Hanover Insurance Group Inc, The                                                         | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |     500000 | PA      | $445199.75    | 0.05%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                                   | Romania, Government of                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $226439.81    | 0.03%             | 2028-03-07      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                                   | Romania, Government of                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     800000 | PA      | $802438.83    | 0.09%             | 2034-02-07      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2006-12                                                   | HarborView Mortgage Loan Trust 2006-12                                                   | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363971 | PA      | $299884.12    | 0.04%             | 2036-12-19      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Healthpeak OP, LLC                                                                       | Healthpeak OP, LLC                                                                       | CUSIP: 42250GAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404218.72    | 0.05%             | 2035-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                                    | Charter Communications Operating, LLC                                                    | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1596937.80   | 0.19%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Charter Communications Operating, LLC                                                    | Charter Communications Operating, LLC                                                    | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     200000 | PA      | $127941.66    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HEICO Corporation                                                                        | HEICO Corporation                                                                        | CUSIP: 422806AA7<br>LEI: 529900O1DTDLCJ7L0I14 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307869.36    | 0.04%             | 2028-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty Limited Partnership                                                     | Highwoods Realty Limited Partnership                                                     | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     400000 | PA      | $365587.16    | 0.04%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco, LLC                                                            | Flex Intermediate Holdco, LLC                                                            | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1959732.28   | 0.23%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Florida Gas Transmission Company, LLC                                                    | Florida Gas Transmission Company, LLC                                                    | CUSIP: 340711AY6<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |     800000 | PA      | $726425.84    | 0.09%             | 2030-07-01      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                                    | Charter Communications Operating, LLC                                                    | CUSIP: 161175CE2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2139668.10   | 0.25%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                                    | Charter Communications Operating, LLC                                                    | CUSIP: 161175CG7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $968679.45    | 0.11%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Company Inc.                                                   | Hilton Domestic Operating Company Inc.                                                   | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     500000 | PA      | $510711.46    | 0.06%             | 2029-04-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Holcim Finance US LLC                                                                    | Holcim Finance US LLC                                                                    | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1319224.14   | 0.16%             | 2035-04-07      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Company                                                            | Florida Power & Light Company                                                            | CUSIP: 341081GQ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2005888.60   | 0.24%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $293291.67    | 0.03%             | 2027-08-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297922.32    | 0.04%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1313210.08   | 0.15%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners, L.P.                                                           | Cheniere Energy Partners, L.P.                                                           | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     800000 | PA      | $821492.72    | 0.10%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners, L.P.                                                           | Cheniere Energy Partners, L.P.                                                           | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1910480.02   | 0.23%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1653000 | PA      | $1595260.54   | 0.19%             | 2027-11-02      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fortitude Group Holdings, LLC                                                            | Fortitude Group Holdings, LLC                                                            | CUSIP: 34966XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $309076.35    | 0.04%             | 2030-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Host Hotels & Resorts, L.P.                                                              | Host Hotels & Resorts, L.P.                                                              | CUSIP: 44107TAY2<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3398333.76   | 0.40%             | 2029-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts, L.P.                                                              | Host Hotels & Resorts, L.P.                                                              | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3159398.66   | 0.37%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                                                                          | Fox Corporation                                                                          | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     900000 | PA      | $972691.38    | 0.11%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Franklin Resources, Inc.                                                                 | Franklin Resources, Inc.                                                                 | CUSIP: 354613AM3<br>LEI: RIFQSET379FOGTEFKS80 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $907770.28    | 0.11%             | 2051-08-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corporation                                                             | Freedom Mortgage Corporation                                                             | CUSIP: 35640YAK3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     800000 | PA      | $860266.37    | 0.10%             | 2028-10-01      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| GATX Corporation                                                                         | GATX Corporation                                                                         | CUSIP: 361448BA0<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |     500000 | PA      | $488194.45    | 0.06%             | 2028-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Capital Funding LLC                                                                   | GE Capital Funding LLC                                                                   | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |     537000 | PA      | $533427.93    | 0.06%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                                       | GLP Financing, LLC                                                                       | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307520.19    | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hudson Pacific Properties, L.P.                                                          | Hudson Pacific Properties, L.P.                                                          | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     500000 | PA      | $487606.12    | 0.06%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                      | Huntington Ingalls Industries, Inc.                                                      | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1547917.20   | 0.18%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corporation                                                                 | Hyatt Hotels Corporation                                                                 | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506976.45    | 0.06%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                                  | Hyundai Capital America                                                                  | CUSIP: 44891ADW4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1314679.86   | 0.15%             | 2030-06-24      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Illumina, Inc.                                                                           | Illumina, Inc.                                                                           | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     200000 | PA      | $175858.22    | 0.02%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                           | Illumina, Inc.                                                                           | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102494.40    | 0.01%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                        | IndyMac MBS, Inc.                                                                        | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218124 | PA      | $198194.65    | 0.02%             | 2035-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Infor, Inc.                                                                              | Infor, Inc.                                                                              | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |     800000 | PA      | $799044.88    | 0.09%             | 2025-07-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corporation                                 | National Rural Utilities Cooperative Finance Corporation                                 | CUSIP: 637432NV3<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1380606.30   | 0.16%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Nationwide Financial Services, Inc.                                                      | Nationwide Financial Services, Inc.                                                      | CUSIP: 638612AM3<br>LEI: 5493001H7AZNDS6BKJ36 | Long             | DBT              | CORP              | US        |     500000 | PA      | $374083.20    | 0.04%             | 2049-11-30      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                                              | Nationwide Building Society                                                              | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1486579.30   | 0.18%             | 2027-10-18      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Company                                                        | Oklahoma Gas and Electric Company                                                        | CUSIP: 678858BX8<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |     400000 | PA      | $413764.60    | 0.05%             | 2033-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Omega Healthcare Investors, Inc.                                                         | Omega Healthcare Investors, Inc.                                                         | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1812201.72   | 0.21%             | 2033-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                              | ONEOK, Inc.                                                                              | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2099702.75   | 0.25%             | 2047-07-13      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                              | ONEOK, Inc.                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4067464.45   | 0.48%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners, L.P.                                                                     | ONEOK Partners, L.P.                                                                     | CUSIP: 68268NAM5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498315.60    | 0.06%             | 2043-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corporation                                                              | OneMain Finance Corporation                                                              | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     900000 | PA      | $956043.82    | 0.11%             | 2030-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                       | Oracle Corporation                                                                       | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     900000 | PA      | $694195.65    | 0.08%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                       | Oracle Corporation                                                                       | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5695540.80   | 0.67%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| PECO Energy Company                                                                      | PECO Energy Company                                                                      | CUSIP: 693304AX5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     800000 | PA      | $526011.52    | 0.06%             | 2049-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     600000 | PA      | $481491.42    | 0.06%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $151168.40    | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $892818.96    | 0.11%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2735513.20   | 0.32%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1649479.04   | 0.19%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $242456.33    | 0.03%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $403339.60    | 0.05%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1256500.28   | 0.15%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                            | Sutter Health                                                                            | CUSIP: 86944BAK9<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304887.72    | 0.04%             | 2033-08-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                           | Synopsys, Inc.                                                                           | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1519639.50   | 0.18%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIV Ltd                                                                    | Symphony CLO XXIV Ltd                                                                    | CUSIP: 87167QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     797877 | PA      | $798443.21    | 0.09%             | 2032-01-23      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| System Energy Resources, Inc.                                                            | System Energy Resources, Inc.                                                            | CUSIP: 871911AT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1286890.41   | 0.15%             | 2025-12-09      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| System Energy Resources, Inc.                                                            | System Energy Resources, Inc.                                                            | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $691310.69    | 0.08%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                       | T-Mobile USA, Inc.                                                                       | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $2326361.80   | 0.27%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                           | Tapestry, Inc.                                                                           | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506367.60    | 0.06%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                           | Tapestry, Inc.                                                                           | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     400000 | PA      | $401462.48    | 0.05%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                    | Targa Resources Corp.                                                                    | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1218091.81   | 0.14%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                    | Targa Resources Corp.                                                                    | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1158890.59   | 0.14%             | 2033-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Tennessee Gas Pipeline Company, L.L.C.                                                   | Tennessee Gas Pipeline Company, L.L.C.                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5100000 | PA      | $4710301.86   | 0.56%             | 2030-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corporation                                     | Texas Natural Gas Securitization Finance Corporation                                     | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1059205 | PA      | $1083335.06   | 0.13%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Textron Inc.                                                                             | Textron Inc.                                                                             | CUSIP: 883203BY6<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $974340.50    | 0.11%             | 2028-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company, LLC                                                 | Spectrum Management Holding Company, LLC                                                 | CUSIP: 88732JBD9<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |     300000 | PA      | $238964.73    | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Company Pty Ltd                                                       | Transurban Finance Company Pty Ltd                                                       | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | US        |     950000 | PA      | $844035.86    | 0.10%             | 2031-03-16      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO XII Ltd                                                                     | Trinitas CLO XII Ltd                                                                     | CUSIP: 89641GAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2200000 | PA      | $2200455.40   | 0.26%             | 2033-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIV, Ltd.                                                                   | Trinitas CLO XIV, Ltd.                                                                   | CUSIP: 89641QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1000025.00   | 0.12%             | 2034-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Fibra Uno                                                                    | Fideicomiso Fibra Uno                                                                    | CUSIP: 89834JAA1<br>LEI: 54930011BLQ0JPRBAL73 | Long             | DBT              | CORP              | US        |     800000 | PA      | $812000.00    | 0.10%             | 2034-02-13      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1999572.54   | 0.24%             | 2034-01-12      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS Group AG                                                                             | CUSIP: 902613BN7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     600000 | PA      | $602250.00    | 0.07%             | 2500-12-31      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |     100954 | PA      | $61581.94     | 0.01%             | 2029-02-01      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |      43266 | PA      | $22119.74     | 0.00%             | 2034-02-01      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |       7878 | PA      | $3761.75      | 0.00%             | 2030-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |      29439 | PA      | $11297.22     | 0.00%             | 2034-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |      24878 | PA      | $11568.27     | 0.00%             | 2035-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cabinet of Ministers of Ukraine                                                          | Cabinet of Ministers of Ukraine                                                          | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | US        |      20731 | PA      | $9639.92      | 0.00%             | 2036-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Unicredit, Societa' Per Azioni In Forma Abbreviata Unicredit S.P.A.                      | Unicredit, Societa' Per Azioni In Forma Abbreviata Unicredit S.P.A.                      | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1057414.10   | 0.12%             | 2034-04-02      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Unigel Luxembourg SA                                                                     | Unigel Luxembourg SA                                                                     | CUSIP: 904752AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     153752 | PA      | $122509.87    | 0.01%             | 2027-12-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| GLP Financing, LLC                                                                       | GLP Financing, LLC                                                                       | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     700000 | PA      | $707324.52    | 0.08%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                                       | GLP Financing, LLC                                                                       | CUSIP: 361841AQ2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5282906.72   | 0.62%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                                    | Cheniere Energy, Inc.                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102267.05    | 0.01%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                    | Cheniere Corpus Christi Holdings, LLC                                                    | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2120362.44   | 0.25%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Unigel Luxembourg SA                                                                     | Unigel Luxembourg SA                                                                     | CUSIP: 904752AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     387325 | PA      | $106576.53    | 0.01%             | 2028-12-31      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Unigel Netherlands Holding Corporation B.V.                                              | Unigel Netherlands Holding Corporation B.V.                                              | CUSIP: 90475UAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     394208 | PA      | $9623.40      | 0.00%             | 2044-12-31      | Fixed         | 15.00%                | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                             | GS Mortgage Securities Corp.                                                             | CUSIP: 362341D48<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |     250051 | PA      | $206250.76    | 0.02%             | 2036-01-25      | Floating      | 0.47%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust 2006-FM2                                                                     | GSAMP Trust 2006-FM2                                                                     | CUSIP: 36245DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2510175 | PA      | $822797.99    | 0.10%             | 2036-09-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2019-2AA                                              | United Airlines Pass Through Trust 2019-2AA                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3481692 | PA      | $3104207.17   | 0.37%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                                    | United Airlines, Inc.                                                                    | CUSIP: 90932PAA6<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | ABS-CBDO         | CORP              | US        |     409773 | PA      | $406064.41    | 0.05%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                    | Cheniere Corpus Christi Holdings, LLC                                                    | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     800000 | PA      | $772059.36    | 0.09%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corporation                                                                | Expand Energy Corporation                                                                | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $507976.25    | 0.06%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United Airlines 2014-2 Pass-Through Trust                                                | United Airlines 2014-2 Pass-Through Trust                                                | CUSIP: 90932QAA4<br>LEI: 549300MKG4NHSVSIVR18 | Long             | ABS-CBDO         | CORP              | US        |      47216 | PA      | $46418.62     | 0.01%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Certificates, Series 2016-2                                 | United Airlines Pass Through Certificates, Series 2016-2                                 | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     793038 | PA      | $799313.05    | 0.09%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                                    | Haleon US Capital LLC                                                                    | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1403581.80   | 0.17%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                    | Georgia Power Company                                                                    | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     400000 | PA      | $298431.00    | 0.04%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                         | Gobierno Federal de los Estados Unidos Mexicanos                                         | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |     700000 | PA      | $692018.60    | 0.08%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    5300000 | PA      | $5276795.01   | 0.62%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Choice Hotels International, Inc.                                                        | Choice Hotels International, Inc.                                                        | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     400000 | PA      | $402319.92    | 0.05%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                          | EQT Corporation                                                                          | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     500000 | PA      | $517254.50    | 0.06%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INTEGRIS Baptist Medical Center, Inc.                                                    | INTEGRIS Baptist Medical Center, Inc.                                                    | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |     700000 | PA      | $502973.24    | 0.06%             | 2050-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SPA                                                                      | Intesa Sanpaolo SPA                                                                      | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | US        |     300000 | PA      | $325285.56    | 0.04%             | 2033-06-20      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797PF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     287000 | PA      | $286234.46    | 0.03%             | 2025-07-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797PY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    4100000 | PA      | $4058912.26   | 0.48%             | 2025-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                          | EQT Corporation                                                                          | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     370000 | PA      | $365547.57    | 0.04%             | 2029-01-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                                           | EPR Properties                                                                           | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199892.64    | 0.02%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SPA                                                                      | Intesa Sanpaolo SPA                                                                      | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1234505.03   | 0.15%             | 2033-11-28      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SPA                                                                      | Intesa Sanpaolo SPA                                                                      | CUSIP: 46115HCF2<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | US        |     600000 | PA      | $701246.40    | 0.08%             | 2053-11-28      | Fixed         | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                                                | Invitation Homes Operating Partnership LP                                                | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     700000 | PA      | $595602.98    | 0.07%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                                                | Invitation Homes Operating Partnership LP                                                | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2931911.80   | 0.35%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                           | EPR Properties                                                                           | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99422.50     | 0.01%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                            | Enbridge Inc.                                                                            | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1762854.61   | 0.21%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises, Inc.                                                                 | IPALCO Enterprises, Inc.                                                                 | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201376.60    | 0.02%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Israel, State of                                                                         | Israel, State of                                                                         | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | US        |    2700000 | PA      | $2748902.40   | 0.32%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance                                                                      | Ministry of Finance                                                                      | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | US        |     400000 | PA      | $407900.00    | 0.05%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Itau Unibanco Holding S.A.                                                               | Itau Unibanco Holding S.A.                                                               | CUSIP: 46556V2A9<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1330430.44   | 0.16%             | 2030-02-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Enbridge Inc.                                                                            | Enbridge Inc.                                                                            | CUSIP: 29250NBY0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1605310.95   | 0.19%             | 2030-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Encore Capital Group, Inc.                                                               | Encore Capital Group, Inc.                                                               | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |     300000 | PA      | $321846.68    | 0.04%             | 2030-05-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | Energy Transfer LP                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1299418.90   | 0.15%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | Energy Transfer LP                                                                       | CUSIP: 29273RBE8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     554000 | PA      | $530611.95    | 0.06%             | 2035-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | Energy Transfer LP                                                                       | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1195758.48   | 0.14%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | Energy Transfer LP                                                                       | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     800000 | PA      | $867949.92    | 0.10%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Energy Transfer Operating, L.P.                                                          | Energy Transfer Operating, L.P.                                                          | CUSIP: 29279FAA7<br>LEI: 5493008K8W3OKZE54J59 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2963098.20   | 0.35%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Entergy Corporation                                                                      | Entergy Corporation                                                                      | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2400688.94   | 0.28%             | 2030-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                                      | Entergy Texas, Inc.                                                                      | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     700000 | PA      | $603469.02    | 0.07%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                                      | Entergy Texas, Inc.                                                                      | CUSIP: 29365TAQ7<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     700000 | PA      | $706224.75    | 0.08%             | 2035-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                        | Enterprise Products Operating LLC                                                        | CUSIP: 29379VBM4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250025.10    | 0.03%             | 2077-08-16      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                        | Enterprise Products Operating LLC                                                        | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2491842.50   | 0.29%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                        | Enterprise Products Operating LLC                                                        | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     900000 | PA      | $906607.35    | 0.11%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Equifax Inc.                                                                             | Equifax Inc.                                                                             | CUSIP: 294429AW5<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1018905.30   | 0.12%             | 2028-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                            | Equinix, Inc.                                                                            | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1512218.17   | 0.18%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings, Inc.                                                                 | Equitable Holdings, Inc.                                                                 | CUSIP: 29452EAD3<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1022321.60   | 0.12%             | 2055-03-28      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Essent Group Ltd.                                                                        | Essent Group Ltd.                                                                        | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | US        |     500000 | PA      | $517523.60    | 0.06%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio, L.P.                                                                    | Essex Portfolio, L.P.                                                                    | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3407874.99   | 0.40%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RTX Corporation                                                                          | RTX Corporation                                                                          | CUSIP: 75513ECS8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     900000 | PA      | $862025.94    | 0.10%             | 2053-02-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RTX Corporation                                                                          | RTX Corporation                                                                          | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1405959.49   | 0.17%             | 2034-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                                | Realty Income Corporation                                                                | CUSIP: 756109CD4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     600000 | PA      | $557510.28    | 0.07%             | 2031-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Renaissance Home Equity Loan Trust 2007-3                                                | Renaissance Home Equity Loan Trust 2007-3                                                | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     137048 | PA      | $53290.70     | 0.01%             | 2037-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                             | Santander Holdings USA, Inc.                                                             | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99893.87     | 0.01%             | 2027-07-13      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                             | Santander Holdings USA, Inc.                                                             | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2067674.91   | 0.24%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Santos Finance Ltd                                                                       | Santos Finance Ltd                                                                       | CUSIP: 803014AB5<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2515435.25   | 0.30%             | 2033-09-19      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Government of Saudi Arabia                                                               | Government of Saudi Arabia                                                               | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | US        |    5100000 | PA      | $4267450.50   | 0.50%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Store Capital LLC                                                                        | Store Capital LLC                                                                        | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     800000 | PA      | $808900.08    | 0.10%             | 2030-04-30      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                                  | Structured Asset Securities Corporation                                                  | CUSIP: 86359DMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1138 | PA      | $1314.65      | 0.00%             | 2035-08-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Stryker Corporation                                                                      | Stryker Corporation                                                                      | CUSIP: 863667AZ4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     300000 | PA      | $196126.65    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Stryker Corporation                                                                      | Stryker Corporation                                                                      | CUSIP: 863667BC4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2039865.00   | 0.24%             | 2028-12-08      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Stryker Corporation                                                                      | Stryker Corporation                                                                      | CUSIP: 863667BE0<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     900000 | PA      | $899071.20    | 0.11%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Stryker Corporation                                                                      | Stryker Corporation                                                                      | CUSIP: 863667BF7<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     500000 | PA      | $492054.75    | 0.06%             | 2034-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                                    | Sumitomo Mitsui Financial Group, Inc.                                                    | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2410521.12   | 0.28%             | 2030-07-08      | Fixed         | 2.13%                 | No            |                  2 | On Loan: —       |
| Sumitomo Mitsui Financial Group, Inc.                                                    | Sumitomo Mitsui Financial Group, Inc.                                                    | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3008588.76   | 0.35%             | 2031-07-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                                    | Sumitomo Mitsui Financial Group, Inc.                                                    | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | US        |     800000 | PA      | $827379.84    | 0.10%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Company                                                                     | Weyerhaeuser Company                                                                     | CUSIP: 962166BX1<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1964583.00   | 0.23%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Weyerhaeuser Company                                                                     | Weyerhaeuser Company                                                                     | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2244086.08   | 0.26%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Williams Companies, Inc., The                                                            | Williams Companies, Inc., The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1439549.86   | 0.17%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Williams Companies, Inc., The                                                            | Williams Companies, Inc., The                                                            | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1801879.67   | 0.21%             | 2035-09-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc.                                                                | Willis North America Inc.                                                                | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1411864.80   | 0.17%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Limited                                                                 | Woodside Finance Limited                                                                 | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1977657.80   | 0.23%             | 2029-03-04      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Woodside Finance Limited                                                                 | Woodside Finance Limited                                                                 | CUSIP: 980236AR4<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | US        |     500000 | PA      | $483217.15    | 0.06%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Limited                                                                 | Woodside Finance Limited                                                                 | CUSIP: 980236AT0<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | US        |     500000 | PA      | $507030.25    | 0.06%             | 2030-05-19      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Wynn Resorts Finance, LLC                                                                | Wynn Resorts Finance, LLC                                                                | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $503297.60    | 0.06%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: —       |
| Zimmer Biomet Holdings, Inc.                                                             | Zimmer Biomet Holdings, Inc.                                                             | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     400000 | PA      | $409873.60    | 0.05%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tesco Property Finance 5 PLC                                                             | Tesco Property Finance 5 PLC                                                             | CUSIP: N/A<br>LEI: 213800BN1HYPUZMXAF92       | Long             | ABS-MBS          | CORP              | GB        |     545965 | PA      | $735517.38    | 0.09%             | 2041-10-13      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Oi S.A. - Em Recuperacao Judicial                                                        | Oi S.A. - Em Recuperacao Judicial                                                        | CUSIP: N/A<br>LEI: 254900YEMWCRRAGD4978       | Long             | EC               | CORP              | BR        |      44550 | NS      | $5165.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Thames Water Utilities Finance PLC                                                       | Thames Water Utilities Finance PLC                                                       | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $540480.81    | 0.06%             | 2034-07-03      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| SB Capital S.A.                                                                          | SB Capital S.A.                                                                          | CUSIP: N/A<br>LEI: 222100YFG9QVABDS2B03       | Long             | DBT              | CORP              | LU        |    5100000 | PA      | $0.05         | 0.00%             | 2049-10-29      | Fixed         | 5.13%                 | Yes           |                  3 | On Loan: No      |
| SB Capital S.A.                                                                          | SB Capital S.A.                                                                          | CUSIP: N/A<br>LEI: 222100YFG9QVABDS2B03       | Long             | DBT              | CORP              | LU        |     600000 | PA      | $0.01         | 0.00%             | 2049-05-23      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| Nationwide Building Society                                                              | Nationwide Building Society                                                              | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |     219200 | PA      | $393783.00    | 0.05%             | 2500-12-31      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                         | Gobierno Federal de los Estados Unidos Mexicanos                                         | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   34774752 | PA      | $1816777.50   | 0.21%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Limited                                                       | Fairfax Financial Holdings Limited                                                       | CUSIP: N/A<br>LEI: GLS7OQD0WOEDI8YAP031       | Long             | DBT              | CORP              | CA        |     600000 | PA      | $700882.99    | 0.08%             | 2028-03-29      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                              | South Africa, Parliament of                                                              | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   73200000 | PA      | $3596819.87   | 0.42%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   12600000 | PA      | $3353595.37   | 0.40%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Stichting AK Rabobank Certificaten II                                                    | Stichting AK Rabobank Certificaten II                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |     630275 | PA      | $844517.36    | 0.10%             | 2500-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                                | Kaisa Group Holdings Ltd.                                                                | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | US        |     300000 | PA      | $12750.00     | 0.00%             | 2049-04-09      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| Yango Justice International Limited                                                      | Yango Justice International Limited                                                      | CUSIP: N/A<br>LEI: 3003007ELD2HAYCXPT77       | Long             | DBT              | CORP              | US        |     400000 | PA      | $400.00       | 0.00%             | 2049-04-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Heathrow Finance PLC                                                                     | Heathrow Finance PLC                                                                     | CUSIP: N/A<br>LEI: 549300F740QSGMPHQJ60       | Long             | DBT              | CORP              | GB        |     300000 | PA      | $378299.51    | 0.04%             | 2029-09-01      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                            | Netflix, Inc.                                                                            | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1721725.65   | 0.20%             | 2029-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                                | Kaisa Group Holdings Ltd.                                                                | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | US        |     400000 | PA      | $17000.00     | 0.00%             | 2049-11-12      | Fixed         | 11.95%                | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                  | Nykredit Realkredit A/S                                                                  | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |      88467 | PA      | $10908.66     | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $29127.54     | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Digital Dutch Finco B.V.                                                                 | Digital Dutch Finco B.V.                                                                 | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1523087.83   | 0.18%             | 2030-03-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| National Grid Electricity Transmission PLC                                               | National Grid Electricity Transmission PLC                                               | CUSIP: N/A<br>LEI: 5XJXCCYG4SDKFJ5WLB02       | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1201395.16   | 0.14%             | 2040-04-17      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                                       | ITC Holdings Corp.                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1674053.64   | 0.20%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3171656.32   | 0.37%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-CW2                                          | J.P. Morgan Mortgage Acquisition Trust 2006-CW2                                          | CUSIP: 46629BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     965299 | PA      | $569912.67    | 0.07%             | 2036-08-25      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-NC2                                          | J.P. Morgan Mortgage Acquisition Trust 2006-NC2                                          | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     142092 | PA      | $138760.71    | 0.02%             | 2036-07-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2703936.22   | 0.32%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1561013.10   | 0.18%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1544049.15   | 0.18%             | 2034-06-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3258152.10   | 0.38%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2698338.24   | 0.32%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                              | Lockheed Martin Corporation                                                              | CUSIP: 539830CB3<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     900000 | PA      | $842580.90    | 0.10%             | 2055-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                              | Lockheed Martin Corporation                                                              | CUSIP: 539830CD9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $996962.40    | 0.12%             | 2034-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-8                                                    | Long Beach Mortgage Loan Trust 2006-8                                                    | CUSIP: 54251UAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     888534 | PA      | $230213.06    | 0.03%             | 2036-09-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| Alaska Air Pass Through Trust 2020-1A                                                    | Alaska Air Pass Through Trust 2020-1A                                                    | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | ABS-CBDO         | CORP              | US        |     711978 | PA      | $710093.95    | 0.08%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corporation                                                                | Alcon Finance Corporation                                                                | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     700000 | PA      | $639932.86    | 0.08%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                                    | Alexandria Real Estate Equities, Inc.                                                    | CUSIP: 015271AT6<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1848717.60   | 0.22%             | 2029-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Company                                                           | Arizona Public Service Company                                                           | CUSIP: 040555DD3<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1466395.35   | 0.17%             | 2031-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 Ltd.                                                                        | MF1 2022-FL8 Ltd.                                                                        | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     728198 | PA      | $727948.10    | 0.09%             | 2037-02-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                  | MPLX LP                                                                                  | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     300000 | PA      | $241206.57    | 0.03%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO IV, Ltd.                                                     | Benefit Street Partners CLO IV, Ltd.                                                     | CUSIP: 08180FBU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1001256.00   | 0.12%             | 2034-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                                       | Berry Global, Inc.                                                                       | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4624847.94   | 0.55%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Vine Energy Holdings LLC                                                                 | Vine Energy Holdings LLC                                                                 | CUSIP: 92735LAA0<br>LEI: 254900PNIMG4CPJH6R25 | Long             | DBT              | CORP              | US        |     300000 | PA      | $303869.40    | 0.04%             | 2029-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| BGC Group, Inc.                                                                          | BGC Group, Inc.                                                                          | CUSIP: 088929AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $697921.42    | 0.08%             | 2025-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BGC Group, Inc.                                                                          | BGC Group, Inc.                                                                          | CUSIP: 088929AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $641493.12    | 0.08%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Company                                                      | Virginia Electric and Power Company                                                      | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     500000 | PA      | $502071.80    | 0.06%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Company LLC                                                            | Vistra Operations Company LLC                                                            | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     900000 | PA      | $933801.03    | 0.11%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| VMware LLC                                                                               | VMware LLC                                                                               | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1784347.20   | 0.21%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Black Hills Corporation                                                                  | Black Hills Corporation                                                                  | CUSIP: 092113AT6<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1261087.66   | 0.15%             | 2030-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Black Hills Corporation                                                                  | Black Hills Corporation                                                                  | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     325000 | PA      | $337424.52    | 0.04%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Blackstone Inc.                                                                          | Blackstone Inc.                                                                          | CUSIP: 09256BAG2<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     300000 | PA      | $273015.18    | 0.03%             | 2044-06-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Inc.                                                                          | Blackstone Inc.                                                                          | CUSIP: 09256BAL1<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5236545.54   | 0.62%             | 2030-01-10      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                          | Blackstone Secured Lending Fund                                                          | CUSIP: 09261XAH5<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1021454.70   | 0.12%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Blue Owl Finance LLC                                                                     | Blue Owl Finance LLC                                                                     | CUSIP: 09581JAU0<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $2318209.08   | 0.27%             | 2051-10-07      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO 2018-3 Ltd                                                              | BlueMountain CLO 2018-3 Ltd                                                              | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1414569 | PA      | $1414514.92   | 0.17%             | 2030-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                                      | Boeing Company, The                                                                      | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1344257.31   | 0.16%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                                      | Boeing Company, The                                                                      | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $3931148.06   | 0.46%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                                      | Boeing Company, The                                                                      | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1901406.60   | 0.22%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                                      | Boeing Company, The                                                                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1971249.48   | 0.23%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc.                                                                 | Booz Allen Hamilton Inc.                                                                 | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     600000 | PA      | $615612.00    | 0.07%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Boral Finance Pty Limited                                                                | Boral Finance Pty Limited                                                                | CUSIP: 09952AAC0<br>LEI: 549300X2TYFVNPM0UT91 | Long             | DBT              | CORP              | US        |     338000 | PA      | $326319.26    | 0.04%             | 2028-05-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corporation                                                            | Boston Scientific Corporation                                                            | CUSIP: 101137AU1<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    1483000 | PA      | $1336814.91   | 0.16%             | 2049-03-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                     | Carnival Corporation                                                                     | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1076625.00   | 0.13%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cassa Depositi E Prestiti Societa' Per Azioni                                            | Cassa Depositi E Prestiti Societa' Per Azioni                                            | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | US        |    1000000 | PA      | $1044529.00   | 0.12%             | 2029-04-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Centene Corporation                                                                      | Centene Corporation                                                                      | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4379368.63   | 0.52%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                                      | Centene Corporation                                                                      | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     300000 | PA      | $258239.58    | 0.03%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust 2021-ESH                                                     | Extended Stay America Trust 2021-ESH                                                     | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |    3774002 | PA      | $3775182.61   | 0.45%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp.                                                                     | FS KKR Capital Corp.                                                                     | CUSIP: 302635AM9<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1478267.98   | 0.17%             | 2029-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Limited                                                       | Fairfax Financial Holdings Limited                                                       | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1892901.03   | 0.22%             | 2030-04-29      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3131YBQJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      19914 | PA      | $19304.49     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 31329PKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      17603 | PA      | $17080.74     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 31329PMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      64323 | PA      | $62415.60     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 31329PTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     135445 | PA      | $131344.26    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 31329QNA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      26548 | PA      | $25735.97     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AES Corporation, The                                                                     | AES Corporation, The                                                                     | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87419.95     | 0.01%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AES Corporation, The                                                                     | AES Corporation, The                                                                     | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2960387.28   | 0.35%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AES Corporation, The                                                                     | AES Corporation, The                                                                     | CUSIP: 00130HCL7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     700000 | PA      | $684521.54    | 0.08%             | 2055-07-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: —       |
| AbbVie Inc.                                                                              | AbbVie Inc.                                                                              | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1381000 | PA      | $1213568.80   | 0.14%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                              | AbbVie Inc.                                                                              | CUSIP: 00287YEA3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     800000 | PA      | $817821.36    | 0.10%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                              | AbbVie Inc.                                                                              | CUSIP: 00287YEB1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $901570.68    | 0.11%             | 2055-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Adani Electricity Mumbai Limited                                                         | Adani Electricity Mumbai Limited                                                         | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | US        |     524000 | PA      | $468488.59    | 0.06%             | 2030-02-12      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ADNOC Murban RSC Ltd.                                                                    | ADNOC Murban RSC Ltd.                                                                    | CUSIP: 00723L2A6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1489856.25   | 0.18%             | 2029-09-11      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     234786 | PA      | $215114.11    | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3132DWKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    3068493 | PA      | $3169908.06   | 0.37%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3133BBPP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     440006 | PA      | $381194.46    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3133KR3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     678522 | PA      | $650080.67    | 0.08%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3133KYR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      78267 | PA      | $74081.58     | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                   | Federal Home Loan Mortgage Corporation                                                   | CUSIP: 3133KYSF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      75655 | PA      | $71609.24     | 0.01%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3138X2LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       4323 | PA      | $3905.14      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3138X46Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     167216 | PA      | $151547.52    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140A3AZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     350859 | PA      | $357140.79    | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140JHQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      85753 | PA      | $83210.51     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140JKB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      37159 | PA      | $36034.13     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140JL6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      13672 | PA      | $13266.66     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140Q9NX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      26040 | PA      | $25284.14     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 3140Q9UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      11836 | PA      | $11485.18     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                                       | AerCap Ireland Capital Designated Activity Company                                       | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3349809.80   | 0.39%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                                       | AerCap Ireland Capital Designated Activity Company                                       | CUSIP: 00774MBL8<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200205.20    | 0.02%             | 2029-09-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101660.70    | 0.01%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003133.60   | 0.12%             | 2030-10-22      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102523.15    | 0.01%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| JAB Holdings B.V.                                                                        | JAB Holdings B.V.                                                                        | CUSIP: 46653KAA6<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | US        |     686000 | PA      | $591158.44    | 0.07%             | 2030-11-23      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Adventist Health System/West                                                             | Adventist Health System/West                                                             | CUSIP: 007944AF8<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $929840.20    | 0.11%             | 2029-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO Series 2015-A                                                                  | AIMCO CLO Series 2015-A                                                                  | CUSIP: 00900LAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1000781.00   | 0.12%             | 2034-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corporation                                                              | JetBlue Airways Corporation                                                              | CUSIP: 477143AH4<br>LEI: 54930070J9H97ZO93T57 | Long             | ABS-CBDO         | CORP              | US        |     223185 | PA      | $192540.96    | 0.02%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corporation                                                              | JetBlue Airways Corporation                                                              | CUSIP: 477164AA5<br>LEI: 54930070J9H97ZO93T57 | Long             | ABS-CBDO         | CORP              | US        |    2046047 | PA      | $1902312.60   | 0.22%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 48128AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1444884.42   | 0.17%             | 2500-12-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 48128BAH4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4707802.00   | 0.55%             | 2500-12-31      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | Air Canada                                                                               | CUSIP: 00908PAB3<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | ABS-CBDO         | CORP              | CA        |     333600 | PA      | $309831.01    | 0.04%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | Air Canada                                                                               | CUSIP: 009090AA9<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | ABS-CBDO         | CORP              | CA        |     110025 | PA      | $107124.47    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                     | JPMorgan Chase & Co.                                                                     | CUSIP: 48128BAQ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1055781.00   | 0.12%             | 2500-12-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty, L.P.                                                                      | Kilroy Realty, L.P.                                                                      | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $904628.20    | 0.11%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty, L.P.                                                                      | Kilroy Realty, L.P.                                                                      | CUSIP: 49427RAS1<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     700000 | PA      | $697260.62    | 0.08%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                      | Kinder Morgan, Inc.                                                                      | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $984047.60    | 0.12%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | Air Canada                                                                               | CUSIP: 00909DAA1<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | ABS-CBDO         | CORP              | US        |      47203 | PA      | $47190.72     | 0.01%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                    | Air Lease Corporation                                                                    | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1107352.18   | 0.13%             | 2026-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Company                                                                | Kraft Heinz Foods Company                                                                | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1326756.48   | 0.16%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCM 35 Ltd.                                                                              | LCM 35 Ltd.                                                                              | CUSIP: 50202QAL7<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1899952.50   | 0.22%             | 2034-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                                    | Las Vegas Sands Corp.                                                                    | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     600000 | PA      | $592022.46    | 0.07%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                                    | Las Vegas Sands Corp.                                                                    | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1048138.30   | 0.12%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                                    | Las Vegas Sands Corp.                                                                    | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3225000 | PA      | $3314036.12   | 0.39%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                                    | Las Vegas Sands Corp.                                                                    | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1122494.45   | 0.13%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                                         | Lazard Group LLC                                                                         | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1195618.20   | 0.14%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                                         | Lazard Group LLC                                                                         | CUSIP: 52107QAK1<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     278000 | PA      | $274982.34    | 0.03%             | 2029-03-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                                          | Live Nation Entertainment, Inc.                                                          | CUSIP: 538034AX7<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194237.74    | 0.02%             | 2028-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: —       |
| Lloyds Banking Group PLC                                                                 | Lloyds Banking Group PLC                                                                 | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2284371.73   | 0.27%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                                 | Lloyds Banking Group PLC                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1740091.10   | 0.21%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                               | PacifiCorp                                                                               | CUSIP: 695114CG1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1087000 | PA      | $1148833.56   | 0.14%             | 2037-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Aircastle Limited                                                                        | Aircastle Limited                                                                        | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2571821.82   | 0.30%             | 2028-01-26      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                                              | Aker BP ASA                                                                              | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2803472.62   | 0.33%             | 2031-01-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PacifiCorp                                                                               | PacifiCorp                                                                               | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     900000 | PA      | $927264.15    | 0.11%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                               | PacifiCorp                                                                               | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     700000 | PA      | $724010.00    | 0.09%             | 2055-09-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1922000 | PA      | $559831.26    | 0.07%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $503980.15    | 0.06%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                  | MPLX LP                                                                                  | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1638000 | PA      | $1429053.12   | 0.17%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                  | MPLX LP                                                                                  | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3347032.21   | 0.39%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797PZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1496000 | PA      | $1494789.89   | 0.18%             | 2025-07-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797QB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     100000 | PA      | $99756.46     | 0.01%             | 2025-07-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $172937.60    | 0.02%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                              | Federal National Mortgage Association, Inc.                                              | CUSIP: 01F040685<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11900000 | PA      | $11060995.26  | 1.30%             | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCI Inc.                                                                                | MSCI Inc.                                                                                | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     800000 | PA      | $736478.24    | 0.09%             | 2031-11-01      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| MSCI Inc.                                                                                | MSCI Inc.                                                                                | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     200000 | PA      | $175211.68    | 0.02%             | 2033-08-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                                               | Warnermedia Holdings, Inc.                                                               | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1003603.31   | 0.12%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Magnetite XII, Ltd.                                                                      | Magnetite XII, Ltd.                                                                      | CUSIP: 55953HBD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     439315 | PA      | $439316.88    | 0.05%             | 2031-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15426000 | PA      | $15285938.09  | 1.80%             | 2025-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    3200000 | PA      | $3160753.28   | 0.37%             | 2025-10-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | Ally Financial Inc.                                                                      | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201099.34    | 0.02%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | Ally Financial Inc.                                                                      | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $526292.65    | 0.06%             | 2029-06-13      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Grand Canyon University                                                                  | Grand Canyon University                                                                  | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     500000 | PA      | $517551.90    | 0.06%             | 2029-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Mars, Incorporated                                                                       | Mars, Incorporated                                                                       | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1304007.77   | 0.15%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Marsh & Mclennan Companies, Inc.                                                         | Marsh & Mclennan Companies, Inc.                                                         | CUSIP: 571748BV3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     700000 | PA      | $703631.32    | 0.08%             | 2053-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Marsh & Mclennan Companies, Inc.                                                         | Marsh & Mclennan Companies, Inc.                                                         | CUSIP: 571748CC4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     900000 | PA      | $899550.45    | 0.11%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                             | Marriott International, Inc.                                                             | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200580.26    | 0.02%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                             | Marriott International, Inc.                                                             | CUSIP: 571903BM4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1011621.90   | 0.12%             | 2026-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3800000 | PA      | $3505500.00   | 0.41%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2517187.50   | 0.30%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                    | Treasury, United States Department of                                                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35400000 | PA      | $35037702.24  | 4.13%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                          | UnitedHealth Group Incorporated                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     800000 | PA      | $646311.20    | 0.08%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                          | UnitedHealth Group Incorporated                                                          | CUSIP: 91324PFH0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1643000 | PA      | $1664467.93   | 0.20%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                          | UnitedHealth Group Incorporated                                                          | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     500000 | PA      | $504997.85    | 0.06%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                          | UnitedHealth Group Incorporated                                                          | CUSIP: 91324PFK3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     500000 | PA      | $487228.95    | 0.06%             | 2044-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                          | UnitedHealth Group Incorporated                                                          | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $969515.10    | 0.11%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Joint Stock Company Alrosa (Public Joint Stock Company)                                  | Joint Stock Company Alrosa (Public Joint Stock Company)                                  | CUSIP: 02109TAD4<br>LEI: 894500DKUWVBYZLLE651 | Long             | DBT              | CORP              | US        |     900000 | PA      | $0.01         | 0.00%             | 2049-04-09      | Fixed         | 4.65%                 | Yes           |                  3 | On Loan: No      |
| Alternative Loan Trust 2006-15CB                                                         | Alternative Loan Trust 2006-15CB                                                         | CUSIP: 02147RAL4<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |     745761 | PA      | $730885.35    | 0.09%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-43CB                                                         | Alternative Loan Trust 2006-43CB                                                         | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     486828 | PA      | $247579.09    | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                               | Altice France Holding S.A.                                                               | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |     448000 | PA      | $369913.80    | 0.04%             | 2029-07-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                               | Altice France Holding S.A.                                                               | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |     230000 | PA      | $190552.27    | 0.02%             | 2029-10-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | American Airlines, Inc.                                                                  | CUSIP: 023765AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |    1153300 | PA      | $1100409.66   | 0.13%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | American Airlines, Inc.                                                                  | CUSIP: 02376AAA7<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |    1677090 | PA      | $1580132.90   | 0.19%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | American Airlines, Inc.                                                                  | CUSIP: 02376UAA3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     178702 | PA      | $172273.60    | 0.02%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | American Airlines, Inc.                                                                  | CUSIP: 02377AAA6<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     460616 | PA      | $449704.15    | 0.05%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | American Airlines, Inc.                                                                  | CUSIP: 02377BAB2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     573615 | PA      | $554234.99    | 0.07%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc. Class AA Pass Through Certificates, Series 2019-1                | American Airlines, Inc. Class AA Pass Through Certificates, Series 2019-1                | CUSIP: 02377LAA2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     145742 | PA      | $133094.76    | 0.02%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| American Assets Trust, L.P.                                                              | American Assets Trust, L.P.                                                              | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2329278.90   | 0.27%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Electric Power Company, Inc.                                                    | American Electric Power Company, Inc.                                                    | CUSIP: 025537AY7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1025712.00   | 0.12%             | 2029-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                                 | American Express Company                                                                 | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1327862.51   | 0.16%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2006-3                                               | American Home Mortgage Assets Trust 2006-3                                               | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295633 | PA      | $210787.83    | 0.02%             | 2046-10-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent, L.P.                                                              | American Homes 4 Rent, L.P.                                                              | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1193078.16   | 0.14%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                               | American Tower Corporation                                                               | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1536307.50   | 0.18%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                               | American Tower Corporation                                                               | CUSIP: 03027XBZ2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1250296.56   | 0.15%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                               | American Tower Corporation                                                               | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $2007519.10   | 0.24%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                               | Amgen Inc.                                                                               | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2162691.72   | 0.25%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                               | Amgen Inc.                                                                               | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1228713.48   | 0.14%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                               | Amgen Inc.                                                                               | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2676750.84   | 0.32%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                               | Amgen Inc.                                                                               | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     800000 | PA      | $779899.76    | 0.09%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 6 Ltd                                                              | Anchorage Capital CLO 6 Ltd                                                              | CUSIP: 03328QBL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1001543.00   | 0.12%             | 2034-04-24      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Antares Holdings LP                                                                      | Antares Holdings LP                                                                      | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295534.95    | 0.03%             | 2026-07-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: —       |
| Antares Holdings LP                                                                      | Antares Holdings LP                                                                      | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     630000 | PA      | $606451.92    | 0.07%             | 2027-07-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Antares Holdings LP                                                                      | Antares Holdings LP                                                                      | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     600000 | PA      | $633893.40    | 0.07%             | 2028-08-11      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Antares Holdings LP                                                                      | Antares Holdings LP                                                                      | CUSIP: 03666HAG6<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506891.94    | 0.06%             | 2029-02-08      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                                    | Elevance Health, Inc.                                                                    | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192003.30    | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                                    | Elevance Health, Inc.                                                                    | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     900000 | PA      | $918036.36    | 0.11%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXIV LLC                                                                     | Apidos CLO XXXIV LLC                                                                     | CUSIP: 03768UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2501907.50   | 0.29%             | 2034-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Apollo Debt Solutions BDC                                                                | Apollo Debt Solutions BDC                                                                | CUSIP: 03770DAD5<br>LEI: 549300UMUGX092P8DW87 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1558553.25   | 0.18%             | 2031-07-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Arch Capital Group Ltd.                                                                  | Arch Capital Group Ltd.                                                                  | CUSIP: 03939AAA5<br>LEI: 549300AYR4P8AFKDCE43 | Long             | DBT              | CORP              | US        |     615000 | PA      | $450345.44    | 0.05%             | 2050-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Ares Management Corporation                                                              | Ares Management Corporation                                                              | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |     500000 | PA      | $473283.45    | 0.06%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corporation                                                                 | Ares Capital Corporation                                                                 | CUSIP: 04010LBG7<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1125959.89   | 0.13%             | 2029-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                                 | Presidencia De La Nacion                                                                 | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      90421 | PA      | $72336.70     | 0.01%             | 2030-07-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                                 | Presidencia De La Nacion                                                                 | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     188248 | PA      | $127538.02    | 0.02%             | 2035-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                                 | Presidencia De La Nacion                                                                 | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |    1100000 | PA      | $690250.00    | 0.08%             | 2041-07-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ares XXXIV CLO, Ltd.                                                                     | Ares XXXIV CLO, Ltd.                                                                     | CUSIP: 04015GAX7<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1302754.70   | 0.15%             | 2033-04-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Ares Finance Co. II LLC                                                                  | Ares Finance Co. II LLC                                                                  | CUSIP: 04015KAB6<br>LEI: 54930012GWL4VKKENG46 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1118907.72   | 0.13%             | 2030-06-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Ares Finance Co. III LLC                                                                 | Ares Finance Co. III LLC                                                                 | CUSIP: 04018VAA1<br>LEI: 54930012GWL4VKKENG46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $488335.00    | 0.06%             | 2051-06-30      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Ares Strategic Income Fund                                                               | Ares Strategic Income Fund                                                               | CUSIP: 04020EAD9<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199596.46    | 0.02%             | 2030-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Ares Strategic Income Fund                                                               | Ares Strategic Income Fund                                                               | CUSIP: 04020EAJ6<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     500000 | PA      | $501944.95    | 0.06%             | 2032-03-21      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                            | Broadcom Inc.                                                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1622000 | PA      | $1366095.60   | 0.16%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc.                                                                            | Broadcom Inc.                                                                            | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1093000 | PA      | $905949.45    | 0.11%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc.                                                                            | Broadcom Inc.                                                                            | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2858000 | PA      | $2775081.99   | 0.33%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Capital Finance LLC                                                           | Brookfield Capital Finance LLC                                                           | CUSIP: 11259NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $318375.24    | 0.04%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Brookfield Financial, Inc.                                                               | Brookfield Financial, Inc.                                                               | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1383463.34   | 0.16%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brookfield Financial, Inc.                                                               | Brookfield Financial, Inc.                                                               | CUSIP: 11271LAL6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | US        |     225000 | PA      | $224827.04    | 0.03%             | 2054-03-04      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Brookfield Financial, Inc.                                                               | Brookfield Financial, Inc.                                                               | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1437134.58   | 0.17%             | 2035-01-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe, LLC                                                        | Burlington Northern Santa Fe, LLC                                                        | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4259147.40   | 0.50%             | 2054-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                         | Paramount Global                                                                         | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     800000 | PA      | $777606.16    | 0.09%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Massachusetts Institute of Technology                                                    | Massachusetts Institute of Technology                                                    | CUSIP: 575718AB7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     200000 | PA      | $166913.72    | 0.02%             | 2114-07-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                             | MASTR Asset Backed Securities Trust 2006-AM1                                             | CUSIP: 57643LGF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     597203 | PA      | $557372.58    | 0.07%             | 2034-12-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd                                                                        | Vale Overseas Ltd                                                                        | CUSIP: 91911TAR4<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3246692.00   | 0.38%             | 2033-06-12      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Var Energi ASA                                                                           | Var Energi ASA                                                                           | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | US        |     500000 | PA      | $566553.60    | 0.07%             | 2032-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| McDonald's Corporation                                                                   | McDonald's Corporation                                                                   | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     400000 | PA      | $290591.32    | 0.03%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Meiji Yasuda Life Insurance Company                                                      | Meiji Yasuda Life Insurance Company                                                      | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599962.38    | 0.07%             | 2055-06-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                                       | Venture Global Calcasieu Pass, LLC                                                       | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1132276.37   | 0.13%             | 2029-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                                       | Venture Global Calcasieu Pass, LLC                                                       | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     300000 | PA      | $277881.58    | 0.03%             | 2031-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                                      | Merrill Lynch Mortgage Capital Inc.                                                      | CUSIP: 59020UQV0<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-CBDO         | CORP              | US        |     516937 | PA      | $493211.61    | 0.06%             | 2035-09-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                                                  | Micron Technology, Inc.                                                                  | CUSIP: 595112BQ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399585.52    | 0.05%             | 2030-02-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                                       | Venture Global Calcasieu Pass, LLC                                                       | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1048629.71   | 0.12%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                                       | Venture Global Calcasieu Pass, LLC                                                       | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     600000 | PA      | $618806.13    | 0.07%             | 2030-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission, LLC                                                | Mid-Atlantic Interstate Transmission, LLC                                                | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1191516.36   | 0.14%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Midwest Connector Capital Company LLC                                                    | Midwest Connector Capital Company LLC                                                    | CUSIP: 59833CAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $496320.25    | 0.06%             | 2029-04-01      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                                 | Venture Global LNG, Inc.                                                                 | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1187911.13   | 0.14%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                                                   | Verisk Analytics, Inc.                                                                   | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397419.64    | 0.05%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| C-BASS 2007-CB1 Trust                                                                    | C-BASS 2007-CB1 Trust                                                                    | CUSIP: 1248MGAM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     547357 | PA      | $152934.51    | 0.02%             | 2037-01-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| CBRE Services, Inc.                                                                      | CBRE Services, Inc.                                                                      | CUSIP: 12505BAH3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206639.88    | 0.02%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties Inc.                                                                     | VICI Properties Inc.                                                                     | CUSIP: 92564RAE5<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |     400000 | PA      | $383854.92    | 0.05%             | 2030-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| VICI Properties Inc.                                                                     | VICI Properties Inc.                                                                     | CUSIP: 92564RAJ4<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |     400000 | PA      | $405555.24    | 0.05%             | 2027-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| VICI Properties Inc.                                                                     | VICI Properties Inc.                                                                     | CUSIP: 92564RAL9<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2422266.50   | 0.29%             | 2029-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| VMware LLC                                                                               | VMware LLC                                                                               | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3108205.70   | 0.37%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CDW Finance Corporation                                                                  | CDW Finance Corporation                                                                  | CUSIP: 12513GBF5<br>LEI: 549300RU2J599RPFD076 | Long             | DBT              | CORP              | US        |     800000 | PA      | $757459.84    | 0.09%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW Finance Corporation                                                                  | CDW Finance Corporation                                                                  | CUSIP: 12513GBJ7<br>LEI: 549300RU2J599RPFD076 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1287987.12   | 0.15%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance, LLC                                                 | Volkswagen Group of America Finance, LLC                                                 | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1307320.17   | 0.15%             | 2028-03-27      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4728456.48   | 0.56%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466995.10    | 0.06%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3389070.50   | 0.40%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Mississippi Power Company                                                                | Mississippi Power Company                                                                | CUSIP: 605417CB8<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2388821.76   | 0.28%             | 2028-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                             | Mizuho Financial Group, Inc.                                                             | CUSIP: 60687YBL2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1663255.63   | 0.20%             | 2031-09-08      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                             | Mizuho Financial Group, Inc.                                                             | CUSIP: 60687YDG1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1131438.99   | 0.13%             | 2035-07-10      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3353813.75   | 0.40%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CGI Inc.                                                                                 | CGI Inc.                                                                                 | CUSIP: 12532HAK0<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404036.24    | 0.05%             | 2030-03-14      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| CI Financial Corp.                                                                       | CI Financial Corp.                                                                       | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $527417.10    | 0.06%             | 2029-05-30      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cigna Group, The                                                                         | Cigna Group, The                                                                         | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1141000 | PA      | $1040372.93   | 0.12%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2019-V Ltd                                                                  | CIFC Funding 2019-V Ltd                                                                  | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2100000 | PA      | $2102108.40   | 0.25%             | 2035-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1283134.95   | 0.15%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1386607.52   | 0.16%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4241416.96   | 0.50%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     500000 | PA      | $516179.80    | 0.06%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $309744.84    | 0.04%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1741096.99   | 0.21%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95002YAA1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     400000 | PA      | $429944.00    | 0.05%             | 2500-12-31      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                    | Wells Fargo & Company                                                                    | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1050625.00   | 0.12%             | 2500-12-31      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                                         | Welltower OP LLC                                                                         | CUSIP: 95041AAF5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1506703.94   | 0.18%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating, LP                                                          | Western Midstream Operating, LP                                                          | CUSIP: 958667AG2<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294283.53    | 0.03%             | 2034-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corporation                                                                | CNA Financial Corporation                                                                | CUSIP: 126117AW0<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     300000 | PA      | $264166.05    | 0.03%             | 2030-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CSWF Trust 2021-SOP2                                                                     | CSWF Trust 2021-SOP2                                                                     | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65150 | PA      | $62972.50     | 0.01%             | 2034-06-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4680582.80   | 0.55%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2542561.92   | 0.30%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| CVS Health Corporation                                                                   | CVS Health Corporation                                                                   | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     500000 | PA      | $507552.40    | 0.06%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                              | CWABS, Inc.                                                                              | CUSIP: 126670KJ6<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |      15650 | PA      | $14677.71     | 0.00%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                              | CWABS, Inc.                                                                              | CUSIP: 1266715K8<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |       4206 | PA      | $4358.74      | 0.00%             | 2034-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                              | CWABS, Inc.                                                                              | CUSIP: 1266716K7<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |        182 | PA      | $181.38       | 0.00%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1633331.36   | 0.19%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     600000 | PA      | $601263.48    | 0.07%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                           | Alternative Loan Trust 2005-43                                                           | CUSIP: 12667G7H0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |    1244798 | PA      | $892518.57    | 0.11%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                           | Alternative Loan Trust 2005-43                                                           | CUSIP: 12667GN33<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      44981 | PA      | $35754.70     | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                           | Alternative Loan Trust 2005-43                                                           | CUSIP: 12667GRG0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |    1681350 | PA      | $1010538.00   | 0.12%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        384 | NS      | $7584.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| DrillCo Holding Lux S.A.                                                                 | DrillCo Holding Lux S.A.                                                                 | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       3457 | NS      | $68275.75     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | Ford Motor Credit Company LLC                                                            | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1001939.60   | 0.12%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                            | Ministry of Finance of the Russian Federation                                            | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |     200000 | PA      | $204998.00    | 0.02%             | 2028-06-24      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| Stichting Administratiekantoor Unigel Creditors                                          | Stichting Administratiekantoor Unigel Creditors                                          | CUSIP: 860570100<br>LEI: N/A                  | Long             | EC               | CORP              | NL        |       1459 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204679.36    | 0.02%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loan Trust 2007-2                                             | Morgan Stanley Home Equity Loan Trust 2007-2                                             | CUSIP: 61752UAA3<br>LEI: 549300C5U61AIRK1S645 | Long             | ABS-CBDO         | CORP              | US        |       8225 | PA      | $4179.18      | 0.00%             | 2037-04-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61762V853<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |      34600 | NS      | $890258.00    | 0.10%             | 2500-12-31      | Fixed         | 6.50%                 | No            |                  1 | On Loan: —       |
| Morgan Stanley                                                                           | Morgan Stanley                                                                           | CUSIP: 61762VAA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     700000 | PA      | $707042.00    | 0.08%             | 2500-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MortgageIT Mortgage Loan Trust 2006-1                                                    | MortgageIT Mortgage Loan Trust 2006-1                                                    | CUSIP: 61915RBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280132 | PA      | $218495.67    | 0.03%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                                 | Motorola Solutions, Inc.                                                                 | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1307867.47   | 0.15%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NVR, Inc.                                                                                | NVR, Inc.                                                                                | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4098151.20   | 0.48%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                                 | NXP B.V.                                                                                 | CUSIP: 62954HAY4<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | US        |     899000 | PA      | $851668.37    | 0.10%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| National Grid PLC                                                                        | National Grid PLC                                                                        | CUSIP: 636274AE2<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1051182.00   | 0.12%             | 2033-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1915647.46   | 0.23%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                         | Pacific Gas And Electric Company                                                         | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404507.76    | 0.05%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                         | Residential Accredit Loans, Inc.                                                         | CUSIP: 761118PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22331 | PA      | $19579.31     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | Residential Asset Mortgage Products, Inc.                                                | CUSIP: 76112BR85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     129291 | PA      | $99951.86     | 0.01%             | 2035-12-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Rexford Industrial Realty, L.P.                                                          | Rexford Industrial Realty, L.P.                                                          | CUSIP: 76169XAA2<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |     800000 | PA      | $696603.44    | 0.08%             | 2030-12-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                                                    | Rio Oil Finance Trust                                                                    | CUSIP: 76716XAB8<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |      52094 | PA      | $53800.39     | 0.01%             | 2027-01-06      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group PLC                                                                        | NatWest Group PLC                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2842532.84   | 0.34%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                             | Royal Caribbean Cruises Ltd.                                                             | CUSIP: 780153AW2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $973642.50    | 0.11%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                             | Royal Caribbean Cruises Ltd.                                                             | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404979.00    | 0.05%             | 2028-04-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                             | Royal Caribbean Cruises Ltd.                                                             | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     400000 | PA      | $403000.00    | 0.05%             | 2031-09-30      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                            | Ministry of Finance of the Russian Federation                                            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | US        |     200000 | PA      | $135000.00    | 0.02%             | 2042-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                           | SMRT 2022-MINI                                                                           | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1594000.32   | 0.19%             | 2027-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                                                      | SVB Financial Group                                                                      | CUSIP: 78500B403<br>LEI: 549300D2KJ20JMXE7542 | Long             | EC               | CORP              | US        |     104000 | NS      | $1040.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                            | Sabine Pass Liquefaction, LLC                                                            | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1048976.30   | 0.12%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care Limited Partnership                                                    | Sabra Health Care Limited Partnership                                                    | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     600000 | PA      | $535254.78    | 0.06%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                                                 | Safehold GL Holdings LLC                                                                 | CUSIP: 785931AB2<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     300000 | PA      | $300240.21    | 0.04%             | 2035-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| North American Company for Life and Health Insurance                                     | North American Company for Life and Health Insurance                                     | CUSIP: 79588TAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1606076.40   | 0.19%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| San Diego Gas & Electric Company                                                         | San Diego Gas & Electric Company                                                         | CUSIP: 797440BX1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     200000 | PA      | $153364.26    | 0.02%             | 2049-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Company                                                         | San Diego Gas & Electric Company                                                         | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1531918.35   | 0.18%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                          | Santander UK Group Holdings PLC                                                          | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1293972.68   | 0.15%             | 2026-08-21      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                          | Santander UK Group Holdings PLC                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |     600000 | PA      | $617214.00    | 0.07%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Government of Saudi Arabia                                                               | Government of Saudi Arabia                                                               | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | US        |     200000 | PA      | $201723.80    | 0.02%             | 2030-01-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Government of Saudi Arabia                                                               | Government of Saudi Arabia                                                               | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | US        |    1800000 | PA      | $1827558.00   | 0.22%             | 2028-01-13      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                                                | Saudi Arabian Oil Company                                                                | CUSIP: 80414L2K0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | US        |     200000 | PA      | $177778.82    | 0.02%             | 2030-11-24      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                                                | Saudi Arabian Oil Company                                                                | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | US        |     400000 | PA      | $374918.80    | 0.04%             | 2054-07-17      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corporation, The                                                          | Charles Schwab Corporation, The                                                          | CUSIP: 808513AR6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $881925.75    | 0.10%             | 2500-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corporation, The                                                          | Charles Schwab Corporation, The                                                          | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3438143.20   | 0.41%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corporation, The                                                          | Charles Schwab Corporation, The                                                          | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2134538.00   | 0.25%             | 2500-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street Lending Partners                                                            | Sixth Street Lending Partners                                                            | CUSIP: 829932AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $619308.84    | 0.07%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street Lending Partners                                                            | Sixth Street Lending Partners                                                            | CUSIP: 829932AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $100298.87    | 0.01%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Smurfit Kappa Treasury Unlimited Company                                                 | Smurfit Kappa Treasury Unlimited Company                                                 | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | US        |     800000 | PA      | $819600.88    | 0.10%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399754.04    | 0.05%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400GE7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $275170.96    | 0.03%             | 2045-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $790337.02    | 0.09%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400HU0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4251981.72   | 0.50%             | 2028-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1127299.58   | 0.13%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     700000 | PA      | $703761.73    | 0.08%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                       | Southern California Edison Company                                                       | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     700000 | PA      | $706730.57    | 0.08%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Company                                                          | Southern California Gas Company                                                          | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1379524.20   | 0.16%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Company                                                          | Southern California Gas Company                                                          | CUSIP: 842434CZ3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1823682.96   | 0.21%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                                              | Zoetis Inc.                                                                              | CUSIP: 98978VAL7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195212.34    | 0.02%             | 2027-09-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greene King Finance PLC                                                                  | Greene King Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800QIJMYMW6TSBG41       | Long             | DBT              | CORP              | GB        |     276312 | PA      | $379450.25    | 0.04%             | 2031-09-15      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                          | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2543000 | PA      | $780413.50    | 0.09%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Synthos Spolka Akcyjna                                                                   | Synthos Spolka Akcyjna                                                                   | CUSIP: N/A<br>LEI: 259400WX4QZCOHJVWM18       | Long             | DBT              | CORP              | PL        |     400000 | PA      | $442565.48    | 0.05%             | 2028-06-07      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| IRB Infrastructure Developers Limited                                                    | IRB Infrastructure Developers Limited                                                    | CUSIP: 449881AA9<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | US        |     400000 | PA      | $400500.00    | 0.05%             | 2032-03-11      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                         | Gobierno Federal de los Estados Unidos Mexicanos                                         | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   25614574 | PA      | $1207611.07   | 0.14%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                                    | Banco Santander, S.A.                                                                    | CUSIP: N/A<br>LEI: 5493006QMFDDMYWIAM13       | Long             | DBT              | CORP              | ES        |    2700000 | PA      | $3445813.09   | 0.41%             | 2031-10-18      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |      68925 | PA      | $8271.00      | 0.00%             | 2025-09-30      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |      69092 | PA      | $8291.04      | 0.00%             | 2026-09-30      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |     138522 | PA      | $16622.64     | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |     208790 | PA      | $25054.80     | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |      98322 | PA      | $11798.64     | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Sunac China Holdings Limited                                                             | Sunac China Holdings Limited                                                             | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | US        |     208287 | PA      | $24994.44     | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| KBC Groep                                                                                | KBC Groep                                                                                | CUSIP: N/A<br>LEI: 213800X3Q9LSAKRUWY91       | Long             | DBT              | CORP              | BE        |     400000 | PA      | $483548.74    | 0.06%             | 2500-12-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                      | Cabinet Office, Government of Japan                                                      | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  164000000 | PA      | $915167.95    | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                                   | Romania, Government of                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    1000000 | PA      | $1157348.29   | 0.14%             | 2032-05-30      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Anglian Water Services Financing PLC                                                     | Anglian Water Services Financing PLC                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |     100000 | PA      | $133830.60    | 0.02%             | 2039-06-20      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Super Senior Issuer PLC                                                     | Thames Water Super Senior Issuer PLC                                                     | CUSIP: 88325AAA8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      39301 | PA      | $59100.60     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| EPH Financing International, a.s.                                                        | EPH Financing International, a.s.                                                        | CUSIP: N/A<br>LEI: 3157003E5A4ZV0JCSM65       | Long             | DBT              | CORP              | CZ        |     700000 | PA      | $878071.51    | 0.10%             | 2029-11-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Government of Saudi Arabia                                                               | Government of Saudi Arabia                                                               | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |     300000 | PA      | $343857.93    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                      | Cabinet Office, Government of Japan                                                      | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  244800000 | PA      | $1711993.56   | 0.20%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                      | Cabinet Office, Government of Japan                                                      | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  390000000 | PA      | $2566192.15   | 0.30%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Thames Water Utilities Limited                                                           | Thames Water Utilities Limited                                                           | CUSIP: 882918AA3<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |      10183 | PA      | $11496.65     | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corporation                                                                | Realty Income Corporation                                                                | CUSIP: 756109CV4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     700000 | PA      | $815800.32    | 0.10%             | 2035-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                                | Kaisa Group Holdings Ltd.                                                                | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | KY        |     300000 | PA      | $12750.00     | 0.00%             | 2049-06-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                              | South Africa, Parliament of                                                              | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   82390000 | PA      | $4344741.92   | 0.51%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                          | Gaz Finance PLC                                                                          | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1278000.00   | 0.15%             | 2029-01-27      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems PLC                                                                          | BAE Systems PLC                                                                          | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | US        |     300000 | PA      | $286372.17    | 0.03%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| BGC Group, Inc.                                                                          | BGC Group, Inc.                                                                          | CUSIP: 05555LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $304265.07    | 0.04%             | 2030-04-02      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas                                                                              | BNP Paribas                                                                              | CUSIP: 05565A5R0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1275000.00   | 0.15%             | 2500-12-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas                                                                              | BNP Paribas                                                                              | CUSIP: 05565AGF4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204750.00    | 0.02%             | 2500-12-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust 2005-6                                                            | Bear Stearns Arm Trust 2005-6                                                            | CUSIP: 07387AAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205100 | PA      | $187694.36    | 0.02%             | 2035-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2006-2                                                            | Bear Stearns ARM Trust 2006-2                                                            | CUSIP: 07388DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530192 | PA      | $471231.99    | 0.06%             | 2036-07-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2006-HE9                                    | Bear Stearns Asset Backed Securities I Trust 2006-HE9                                    | CUSIP: 07389MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $969909.60    | 0.11%             | 2036-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Becton, Dickinson and Company                                                            | Becton, Dickinson and Company                                                            | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2516975.54   | 0.30%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Becton, Dickinson and Company                                                            | Becton, Dickinson and Company                                                            | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204501.78    | 0.02%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2002-HYB1                                                | CHL Mortgage Pass-Through Trust 2002-HYB1                                                | CUSIP: 17025JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549282 | PA      | $262253.55    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citadel Finance LLC                                                                      | Citadel Finance LLC                                                                      | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1009001.40   | 0.12%             | 2030-02-10      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Citadel Limited Partnership                                                              | Citadel Limited Partnership                                                              | CUSIP: 17288XAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $939076.29    | 0.11%             | 2032-01-23      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | Citigroup Inc.                                                                           | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     300000 | PA      | $306361.35    | 0.04%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | Citigroup Inc.                                                                           | CUSIP: 17325FBG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     700000 | PA      | $729468.25    | 0.09%             | 2034-04-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | Citigroup Inc.                                                                           | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     875000 | PA      | $893112.48    | 0.11%             | 2500-12-31      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                           | Citizens Financial Group, Inc.                                                           | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     800000 | PA      | $776912.00    | 0.09%             | 2500-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Cleveland Electric Illuminating Company                                              | The Cleveland Electric Illuminating Company                                              | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2793891.62   | 0.33%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CoBank, ACB                                                                              | CoBank, ACB                                                                              | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2118637.40   | 0.25%             | 2500-12-31      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Company LLC                                                   | Columbia Pipelines Holding Company LLC                                                   | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $301163.16    | 0.04%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                                      | Comcast Corporation                                                                      | CUSIP: 20030NEG2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     700000 | PA      | $650791.33    | 0.08%             | 2064-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Light and Power Company, The                                                 | Connecticut Light and Power Company, The                                                 | CUSIP: 207597EQ4<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399520.68    | 0.05%             | 2033-07-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                               | Cooperatieve Rabobank U.A.                                                               | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $991465.60    | 0.12%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                               | Corebridge Financial, Inc.                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1861213.21   | 0.22%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | Government National Mortgage Association                                                 | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13700000 | PA      | $12731694.96  | 1.50%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | Government National Mortgage Association                                                 | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2600000 | PA      | $2487596.80   | 0.29%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | Government National Mortgage Association                                                 | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500000 | PA      | $1472896.20   | 0.17%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | Government National Mortgage Association                                                 | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1400000 | PA      | $1373992.06   | 0.16%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eni S.P.A.                                                                               | Eni S.P.A.                                                                               | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | US        |     700000 | PA      | $676304.65    | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Georgia Power Company                                                                    | Georgia Power Company                                                                    | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1579576.75   | 0.19%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc.                                                                     | Global Payments Inc.                                                                     | CUSIP: 37940XAC6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     500000 | PA      | $371880.90    | 0.04%             | 2049-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc.                                                                     | Global Payments Inc.                                                                     | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     400000 | PA      | $368099.20    | 0.04%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Atlantic Financial Company                                                        | Global Atlantic Financial Company                                                        | CUSIP: 37959GAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $205403.92    | 0.02%             | 2054-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GA38<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     700000 | PA      | $742273.86    | 0.09%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GA79<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1053202.31   | 0.12%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GB52<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $997763.04    | 0.12%             | 2500-12-31      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2864633.63   | 0.34%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1743036.35   | 0.21%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394519.72    | 0.05%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1093476.01   | 0.13%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3378239.28   | 0.40%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                                                           | Goldman Sachs Group, Inc., The                                                           | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2008525.14   | 0.24%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners                                                                   | Golub Capital Partners                                                                   | CUSIP: 381929AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     633229 | PA      | $633228.92    | 0.07%             | 2033-04-20      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Six, LLC                                                              | Goodman US Finance Six, LLC                                                              | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1997974.00   | 0.24%             | 2034-10-07      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| GreenSaif Pipelines Bidco S.a r.l.                                                       | GreenSaif Pipelines Bidco S.a r.l.                                                       | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1515886.50   | 0.18%             | 2036-02-23      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                                              | HA Sustainable Infrastructure Capital, Inc.                                              | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1315675.14   | 0.16%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                                 | HCA Inc.                                                                                 | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $837010.71    | 0.10%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                        | NatWest Group PLC                                                                        | CUSIP: 639057AD0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |     800000 | PA      | $701000.00    | 0.08%             | 2500-12-31      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                        | NatWest Group PLC                                                                        | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1731106.60   | 0.20%             | 2028-03-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                                | Neuberger Berman Loan Advisers Clo 43 Ltd                                                | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2400000 | PA      | $2395200.00   | 0.28%             | 2036-07-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                       | New Century Home Equity Loan Trust                                                       | CUSIP: 64352VPR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $240624.69    | 0.03%             | 2036-02-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2006-2                                                | New Century Home Equity Loan Trust 2006-2                                                | CUSIP: 64360YAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     154162 | PA      | $152880.75    | 0.02%             | 2036-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2018-3                                               | New Residential Mortgage Loan Trust 2018-3                                               | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |     314726 | PA      | $305748.98    | 0.04%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corporation                                                | New York State Electric & Gas Corporation                                                | CUSIP: 649840CR4<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     100000 | PA      | $65723.86     | 0.01%             | 2049-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Newmark Group, Inc.                                                                      | Newmark Group, Inc.                                                                      | CUSIP: 65158NAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $741563.56    | 0.09%             | 2029-01-12      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| NextEra Energy Capital Holdings, Inc.                                                    | NextEra Energy Capital Holdings, Inc.                                                    | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     475000 | PA      | $427716.22    | 0.05%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                                    | NextEra Energy Capital Holdings, Inc.                                                    | CUSIP: 65339KCN8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     400000 | PA      | $409981.32    | 0.05%             | 2030-02-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Company LLC                                                      | Nissan Motor Acceptance Company LLC                                                      | CUSIP: 65480CAC9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1336632.67   | 0.16%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                    | Nomura Holdings, Inc.                                                                    | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1773784.14   | 0.21%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                    | Nomura Holdings, Inc.                                                                    | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2062056.00   | 0.24%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                    | Nomura Holdings, Inc.                                                                    | CUSIP: 65535HBV0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206792.74    | 0.02%             | 2034-07-03      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                    | Nomura Holdings, Inc.                                                                    | CUSIP: 65535HCC1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | US        |     600000 | PA      | $607438.21    | 0.07%             | 2500-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Oi S.A. - Em Recuperacao Judicial                                                        | Oi S.A. - Em Recuperacao Judicial                                                        | CUSIP: 67117EAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120597 | PA      | $78848.02     | 0.01%             | 2027-06-30      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Oi S.A. - Em Recuperacao Judicial                                                        | Oi S.A. - Em Recuperacao Judicial                                                        | CUSIP: 67117EAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     256922 | PA      | $16808.94     | 0.00%             | 2028-12-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                         | Occidental Petroleum Corporation                                                         | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2050000 | PA      | $2306709.61   | 0.27%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                         | Occidental Petroleum Corporation                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9785.59      | 0.00%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO 8                                                                       | Ocean Trails CLO 8                                                                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $999973.00    | 0.12%             | 2034-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                       | T-Mobile USA, Inc.                                                                       | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $986147.40    | 0.12%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                       | T-Mobile USA, Inc.                                                                       | CUSIP: 87264ADB8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2059397.97   | 0.24%             | 2054-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                       | T-Mobile USA, Inc.                                                                       | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101244.25    | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                       | T-Mobile USA, Inc.                                                                       | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2228923.33   | 0.26%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Jackson National Asset Management, LLC                                                   | JNL Government Money Market Fund - Class SL                                              | CUSIP: 46628D395<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    4253515 | NS      | $4253515.37   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     533874 | PA      | $-17110.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    1726901 | PA      | $-13354.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     535840 | PA      | $-2483.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     271134 | PA      | $-1839.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     113981 | PA      | $-446.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      51549 | PA      | $-1137.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                      | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | JP        |  186043243 | PA      | $6587.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SINGAPORE DOLLAR                                                                         | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | SG        |      40005 | PA      | $221.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      14495 | PA      | $-410.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | THAI BAHT                                                                                | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TH        |    2647188 | PA      | $1521.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      50854 | PA      | $-6307.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1627392 | PA      | $-29639.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    1474852 | PA      | $-32572.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      14481 | PA      | $-278.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |    3776874 | PA      | $-3860.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  405985114 | PA      | $-7724.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |     553000 | PA      | $1529.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | JP        |  537071691 | PA      | $10182.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |     555928 | PA      | $-3168.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     142276 | PA      | $-17346.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | PERUVIAN NUEVO SOL                                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     256807 | PA      | $1483.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      14279 | PA      | $-40.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |   26583000 | PA      | $34071.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |      84799 | PA      | $-10302.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | CN        |    1579000 | PA      | $3205.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | PERUVIAN NUEVO SOL                                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     235508 | PA      | $1549.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | SINGAPORE DOLLAR                                                                         | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | SG        |     698090 | PA      | $9212.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       2377 | PA      | $-286.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      25080 | PA      | $-498.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      14385 | PA      | $-284.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |       4346 | PA      | $4.62         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     707048 | PA      | $-2057.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       5562 | PA      | $-49.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     129219 | PA      | $-16070.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     491262 | PA      | $-2131.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |    4135990 | PA      | $-101418.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | THAI BAHT                                                                                | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TH        |    1068365 | PA      | $900.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       5574 | PA      | $-57.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | AUSTRALIAN DOLLAR                                                                        | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | AU        |     357000 | PA      | $3052.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    3939443 | PA      | $751.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    7853148 | PA      | $-69754.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     539816 | PA      | $-9442.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     808306 | PA      | $-24636.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     281175 | PA      | $-57.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |         62 | PA      | $-1.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |   19110642 | PA      | $8747.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | SWISS FRANC                                                                              | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | CH        |     260654 | PA      | $2159.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     142608 | PA      | $-16454.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | SINGAPORE DOLLAR                                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | SG        |      26194 | PA      | $143.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | JP        |  101738621 | PA      | $2288.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | PERUVIAN NUEVO SOL                                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |      54190 | PA      | $420.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    7774576 | PA      | $-146985.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    2797267 | PA      | $-24064.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | INDONESIAN RUPIAH                                                                        | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        | 2116714463 | PA      | $564.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | TW        |    7956280 | PA      | $-635.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      31242 | PA      | $-233.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    4611349 | PA      | $1118.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | CN        |    3259000 | PA      | $643.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     230070 | PA      | $-4889.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     200206 | PA      | $-22923.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     982083 | PA      | $-31883.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     317223 | PA      | $-11325.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     536401 | PA      | $-3337.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     174876 | PA      | $-19962.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |   20313380 | PA      | $-730707.95   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | INDONESIAN RUPIAH                                                                        | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | ID        | 5314771653 | PA      | $1943.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      52073 | PA      | $-674.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    1036629 | PA      | $-27060.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       4303 | PA      | $-19.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     298533 | PA      | $-1295.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     255209 | PA      | $-1710.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      46314 | PA      | $-1864.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |   21772622 | PA      | $-338907.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    3901455 | PA      | $2077.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     326348 | PA      | $-2278.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       5596 | PA      | $-73.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |     363315 | PA      | $-982.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        |  410465178 | PA      | $5830.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     202722 | PA      | $-19699.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      26027 | PA      | $-242.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | TW        |    9631000 | PA      | $2564.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     649433 | PA      | $-29108.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     141375 | PA      | $-17620.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        560 | PA      | $-0.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     399751 | PA      | $-5221.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       4310 | PA      | $10.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | TW        |    4023018 | PA      | $2421.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |        571 | PA      | $-22.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | CN        |    1167000 | PA      | $2690.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     142974 | PA      | $-17761.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       4353 | PA      | $1.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       4562 | PA      | $-18.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | CN        |     834000 | PA      | $2434.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | BRAZILIAN REAL                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | BR        |    1394412 | PA      | $12866.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      15860 | PA      | $-213.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | TW        |    4041762 | PA      | $2499.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     171509 | PA      | $-19254.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     114456 | PA      | $-14226.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     374789 | PA      | $-2819.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    1236209 | PA      | $205.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | JP        |   22878116 | PA      | $-202.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | NEW ZEALAND DOLLAR                                                                       | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | NZ        |      86435 | PA      | $669.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     174900 | PA      | $-20168.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | KR        |  223317886 | PA      | $3199.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      92628 | PA      | $-3702.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     627476 | PA      | $-317.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |    2537382 | PA      | $-32332.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     174225 | PA      | $-19744.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     141577 | PA      | $-16594.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | SINGAPORE DOLLAR                                                                         | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | SG        |     139039 | PA      | $1551.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | TW        |   25454461 | PA      | $16458.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TW        |    4022828 | PA      | $10935.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     201920 | PA      | $-884.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    7703482 | PA      | $4767.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | JP        |  285130041 | PA      | $6290.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |    1467000 | PA      | $2592.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | SINGAPORE DOLLAR                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | SG        |      18201 | PA      | $35.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | TW        |    1028811 | PA      | $643.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      20458 | PA      | $-151.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    1895703 | PA      | $416.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     535748 | PA      | $-22764.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    2795975 | PA      | $-26999.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     165660 | PA      | $-1024.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |         45 | PA      | $-1.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     265271 | PA      | $-2314.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     265984 | PA      | $-362.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     520401 | PA      | $-4657.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | NEW TURKISH LIRA                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    3895396 | PA      | $1683.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                  | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     107799 | PA      | $-1600.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     654522 | PA      | $-27232.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | CANADIAN DOLLAR                                                                          | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | CA        |    3843347 | PA      | $26383.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | KR        |  155860342 | PA      | $1301.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | INDONESIAN RUPIAH                                                                        | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        |  547205211 | PA      | $191.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | EURO DOLLAR                                                                              | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     457116 | PA      | $3232.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     248919 | PA      | $-96.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | MEXICAN PESO                                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | MX        |       2298 | PA      | $2.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     427314 | PA      | $-3873.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | BRITISH POUND STERLING                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | GB        |    5771000 | PA      | $69481.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     252140 | PA      | $-2496.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     143541 | PA      | $-16646.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    7452055 | PA      | $5050.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     145813 | PA      | $-16769.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     216350 | PA      | $-2214.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | CN        |    3315000 | PA      | $-463.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |    3734361 | PA      | $-8946.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    1732481 | PA      | $-50124.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     145686 | PA      | $-17682.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    1474852 | PA      | $-32572.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     238797 | PA      | $-2224.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | EURO DOLLAR                                                                              | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |   18767884 | PA      | $335018.90    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     199605 | PA      | $-1501.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     111350 | PA      | $-1067.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | INDIAN RUPEE                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    4795175 | PA      | $108.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  147683420 | PA      | $-1129.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | KR        |  315748907 | PA      | $4553.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |       2966 | PA      | $-52.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      49189 | PA      | $-6254.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | DANISH KRONE                                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DK        |    3540336 | PA      | $3035.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     177500 | PA      | $-6947.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      96768 | PA      | $-11115.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | CN        |    1280000 | PA      | $2413.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     274018 | PA      | $-4968.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                    | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    3071771 | PA      | $-50952.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     421921 | PA      | $-4574.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       4352 | PA      | $0.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       5602 | PA      | $-72.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                            | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        |  265181000 | PA      | $3133.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | KR        |  346057669 | PA      | $2804.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | SOUTH KOREAN WON                                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | KR        |  891851748 | PA      | $10599.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | CHINESE YUAN RENMINBI                                                                    | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | CN        |    1752000 | PA      | $2669.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                      | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | TW        |    2589664 | PA      | $9137.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       4310 | PA      | $5.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                    | THAI BAHT                                                                                | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TH        |    1600766 | PA      | $1296.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    7693242 | PA      | $4464.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | TAIWAN NEW DOLLAR                                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    7456430 | PA      | $4893.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      98520 | PA      | $-418.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                               | JAPANESE YEN                                                                             | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | JP        |  368691500 | PA      | $33189.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                              | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     100887 | PA      | $-12220.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                   | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     232043 | PA      | $-3084.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                           | UNITED STATES DOLLAR                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     707336 | PA      | $-24385.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION CDX - INDEX                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   -2800000 | PA      | $-189.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                                     | SWAPTION CDX - INDEX                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   -1300000 | PA      | $-80.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION CDX - INDEX                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   -1400000 | PA      | $-100.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -900000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -900000 | PA      | $-3035.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                         | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | XX        |    -400000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                         | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | XX        |    -400000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-312.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                                     | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                                     | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-262.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-2360.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -300000 | PA      | $-309.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -300000 | PA      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-2630.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-8.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-1949.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -300000 | PA      | $-3.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -300000 | PA      | $-1098.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-0.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-6022.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-5247.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-3.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                                     | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-5.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                                     | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-5446.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -800000 | PA      | $-91.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -800000 | PA      | $-3481.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -900000 | PA      | $-86.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -900000 | PA      | $-4285.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -400000 | PA      | $-648.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -400000 | PA      | $-368.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-60.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-3893.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-75.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-3957.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-203.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -700000 | PA      | $-3222.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-226.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-4526.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-651.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-2674.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -300000 | PA      | $-391.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -300000 | PA      | $-1156.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-974.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                           | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-2118.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-1045.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                              | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-1993.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-1582.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | SWAPTION INTEREST RATE                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -600000 | PA      | $-1925.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        836 | NC      | $911938.65    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | OPTION BOOKED AS A FUTURE                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -4 | NC      | $212.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | OPTION BOOKED AS A FUTURE                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -4 | NC      | $43.89        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -208 | NC      | $106099.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | OPTION BOOKED AS A FUTURE                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -3 | NC      | $1123.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | OPTION BOOKED AS A FUTURE                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -3 | NC      | $200.58       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                           | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          7 | NC      | $-8346.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        304 | NC      | $702084.60    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        278 | NC      | $623690.03    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        172 | NC      | $404347.06    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        330 | NC      | $679550.33    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        132 | NC      | $308691.97    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        231 | NC      | $493430.59    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8200000 | PA      | $-146660.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   12110000 | PA      | $698174.33    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8200000 | PA      | $3723.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   36700000 | PA      | $305120.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |   60600000 | PA      | $-235936.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   17060000 | PA      | $340834.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      20000 | PA      | $82.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1300000 | PA      | $9539.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1400000 | PA      | $14921.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     200000 | PA      | $1959.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | AU        |   31200000 | PA      | $303556.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   13400000 | PA      | $33490.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     500000 | PA      | $-16169.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   22610000 | PA      | $257457.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   15900000 | PA      | $196087.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   13000000 | PA      | $539628.13    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10600000 | PA      | $-138104.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10700000 | PA      | $-69332.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1400000 | PA      | $-28820.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     400000 | PA      | $442.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     400000 | PA      | $-2888.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    6500000 | PA      | $-871.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    3400000 | PA      | $3988.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |   32000000 | PA      | $34071.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   23869000 | PA      | $-219939.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    2543000 | PA      | $-34588.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                             | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   13420000 | PA      | $-179684.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |   45000000 | PA      | $71333.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                              | EXCHANGE CLEARED IRS                                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    4500000 | PA      | $-867.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | CREDIT DEFAULT SWAP SINGLE NAME                                                          | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DCR              | CORP              | MX        |    -300000 | PA      | $1004.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | IT        |   -1400000 | PA      | $67094.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |   -1700000 | PA      | $37403.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1000000 | PA      | $258.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -2100000 | PA      | $-17729.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1400000 | PA      | $-19056.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -320000 | PA      | $-32088.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1000000 | PA      | $-10070.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -800000 | PA      | $-1708.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1800000 | PA      | $45620.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1000000 | PA      | $46489.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - INDEX                                                             | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -400000 | PA      | $3528.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -800000 | PA      | $29347.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1500000 | PA      | $-20600.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -500000 | PA      | $10682.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - INDEX                                                             | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1200000 | PA      | $11833.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -300000 | PA      | $2915.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |    -300000 | PA      | $5994.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | XX        |    -600000 | PA      | $-4987.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |    -900000 | PA      | $7538.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - INDEX                                                             | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -2200000 | PA      | $1086.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -200000 | PA      | $-746.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | FR        |    -400000 | PA      | $-4370.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |    -500000 | PA      | $-1042.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -1000000 | PA      | $-2867.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | FR        |    -700000 | PA      | $-1009.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                            | CREDIT DEFAULT SWAP SINGLE NAME                                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | JP        |    -200000 | PA      | $-934.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - INDEX                                                             | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        | -177000000 | PA      | $659685.69    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -900000 | PA      | $444.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -200000 | PA      | $6.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                         | CREDIT DEFAULT SWAP SINGLE NAME                                                          | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | MX        |    -994110 | PA      | $-1955.44     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                | EXCHANGE CLEARED CDS - SINGLE NAME                                                       | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -2600000 | PA      | $-23260.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        747 | NC      | $556732.15    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | OPTION                                                                                   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-5250.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | OPTION                                                                                   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-1500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        254 | NC      | $568839.65    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -44 | NC      | $-222814.68   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        112 | NC      | $283579.97    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        689 | NC      | $2591870.95   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer