# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-25-185220
**Filing Date:** 2025-8
**Character Count:** 210493
**Document Hash:** ac5338ac83e2ff10f9bf78ca233e453e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-185220.hdr.sgml**: 20250806

**ACCESSION NUMBER**: 0001752724-25-185220

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250806

**DATE AS OF CHANGE**: 20250806

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 251187630

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP PIMCO Low Duration Bond Fund (Series ID: S000045002)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000139574 | Standard Class |  |
| C000139575 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP PIMCO Low Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000045002

- **c. LEI of Series:** 549300G0ZUNHVUP0B510

**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:** $1116353895.89

**Total Liabilities:** $241481341.55

**Net Assets:** $874872554.34

**Delayed Delivery Securities:** $208050810.20

**Cash Not Reported:** $4398183.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6295.91000000 | **1-Year:** -42140.81000000 | **5-Year:** -30527.49000000 | **10-Year:** -7535.26000000 | **30-Year:** -1817.61000000

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

- **3-Month:** -181.51000000 | **1-Year:** -926.60000000 | **5-Year:** 62173.15000000 | **10-Year:** -8794.99000000 | **30-Year:** -2519.08000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000139575 | 0.31%                | -0.03%               | 0.72%                |
| Class ID C000139574 | 0.34%                | -0.01%               | 0.74%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-794490.13              | $3135982.24                                |
| Month 2  | $401833.51               | $-2091441.97                               |
| Month 3  | $-253662.33              | $5862973.95                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

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

### Schedule of Portfolio Investments

| Name                                                       | Title                                                                                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Virginia College Building Authority                        | VIRGINIA ST CLG BLDG AUTH EDUCTNL FACS REVENUE PUBLIC HGR ED                                                          | CUSIP: 92778WKS4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3500000 | PA      | $3369048.20   | 0.39%             | 2026-09-01      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                                           | AGL CLO 14 Ltd                                                                                                        | CUSIP: 00851WAL3<br>LEI: 254900G6P36ERQHAIS15 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3507217.00   | 0.40%             | 2034-12-02      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                | MF1 2020-FL4 Ltd                                                                                                      | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    396729 | PA      | $396976.59    | 0.05%             | 2035-12-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                        | NextEra Energy Capital Holdings Inc                                                                                   | CUSIP: 65339MUU8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | STIV             | CORP              | US        |   2700000 | PA      | $2690685.00   | 0.31%             | 2025-07-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                   | Ford Motor Credit Co LLC                                                                                              | CUSIP: 345397XL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5394419.42   | 0.62%             | 2025-08-04      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                     | Skandinaviska Enskilda Banken AB                                                                                      | CUSIP: 830505BA0<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2043000 | PA      | $2056352.58   | 0.24%             | 2027-03-05      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Huntington Auto Trust                                      | Huntington Auto Trust 2024-1                                                                                          | CUSIP: 446144AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    853714 | PA      | $854725.51    | 0.10%             | 2027-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                           | ABN AMRO Bank NV                                                                                                      | CUSIP: 00084DBC3<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   7500000 | PA      | $7538871.00   | 0.86%             | 2026-10-13      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2010020.52   | 0.23%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                    | BSREP Commercial Mortgage Trust 2021-DC                                                                               | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152845 | PA      | $3009341.87   | 0.34%             | 2038-08-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst           | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE2                                                   | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338100 | PA      | $1393166.61   | 0.16%             | 2034-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                   | FirstEnergy Transmission LLC                                                                                          | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3301660.82   | 0.38%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                          | AlbaCore Euro CLO IV DAC                                                                                              | CUSIP: 000000000<br>LEI: 635400OMGYX1QQYCTI48 | Long             | ABS-CBDO         | CORP              | IE        |   1650000 | PA      | $1941523.35   | 0.22%             | 2035-07-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                    | Canadian Natural Resources Ltd                                                                                        | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $807209.37    | 0.09%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FNWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997509 | PA      | $1970585.89   | 0.23%             | 2038-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                   | South Bow USA Infrastructure Holdings LLC                                                                             | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2012833.66   | 0.23%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6106823 | PA      | $6090106.48   | 0.70%             | 2055-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2023-C                                                                               | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3512611 | PA      | $3605419.71   | 0.41%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                             | LoanCore 2021-CRE5 Issuer Ltd                                                                                         | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    188957 | PA      | $188896.57    | 0.02%             | 2036-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED SGD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |         1 | NC      | $3883.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |         1 | NC      | $68.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $2689.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38383KFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7417726 | PA      | $7456218.76   | 0.85%             | 2073-09-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                     | Banque Federative du Credit Mutuel SA                                                                                 | CUSIP: 000000000<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1100000 | PA      | $1105175.08   | 0.13%             | 2028-02-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2021-G                                                                      | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1601405 | PA      | $1446406.14   | 0.17%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                   | Sumitomo Mitsui Financial Group Inc                                                                                   | CUSIP: 86562MDA5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   4000000 | PA      | $4060410.72   | 0.46%             | 2026-07-13      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                        | American Tower Corp                                                                                                   | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1700000 | PA      | $1732946.53   | 0.20%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1458354.17   | 0.17%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |         1 | NC      | $4656.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                               | Barclays PLC                                                                                                          | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2997759.93   | 0.34%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AG Trust                                                   | AG Trust 2024-NLP                                                                                                     | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615563 | PA      | $1617584.87   | 0.18%             | 2041-07-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136A0J65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561992 | PA      | $558782.01    | 0.06%             | 2041-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |         1 | NC      | $54837.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD                     | Goldentree Loan Management US Clo 8 Ltd                                                                               | CUSIP: 38136NAY2<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005550.00   | 0.34%             | 2034-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   3421000 | PA      | $3416815.47   | 0.39%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HBR9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2200000 | PA      | $2248345.46   | 0.26%             | 2027-07-02      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-HY2                                                                                    | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456622 | PA      | $469136.83    | 0.05%             | 2058-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2021-RPL1 Trust                                                                                                   | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525874 | PA      | $1388074.70   | 0.16%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD CAD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-71731.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                   | Ford Credit Auto Owner Trust 2023-REV2                                                                                | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3501858.90   | 0.40%             | 2036-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED CAD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |         1 | NC      | $-5916.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard Inc                               | Alimentation Couche-Tard Inc                                                                                          | CUSIP: 01626UUV5<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |   2400000 | PA      | $2391338.66   | 0.27%             | 2025-07-29      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                       | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    898496 | PA      | $876643.10    | 0.10%             | 2026-12-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                      | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8057927.60   | 0.92%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                                              | CUSIP: 74977RDL5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   4200000 | PA      | $4050912.31   | 0.46%             | 2027-12-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BTS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564039 | PA      | $1559132.22   | 0.18%             | 2054-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU025TR4 IRS USD R V 12MSOFR SWUV25TR6 CCPOIS / Short: BWU025TR4 IRS USD P F  3.75000 SWU025TR4 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8200000 | OU      | $-115858.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Loan Trust 2020-A                                                                           | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1155536 | PA      | $1110931.09   | 0.13%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| UBS AG AUSTRALIA                                           | UBS AG/Australia                                                                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   2000000 | PA      | $1316826.93   | 0.15%             | 2025-07-30      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1181.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                     | Banque Federative du Credit Mutuel SA                                                                                 | CUSIP: 06675DCL4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $3014113.86   | 0.34%             | 2028-02-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC                                       | BARCLAYS CAPITAL INC                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -780000 | NS      | $-780000.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED INR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |         1 | NC      | $2813.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS ENERGY CANADA                                     | Petronas Energy Canada Ltd                                                                                            | CUSIP: 71675BAA8<br>LEI: 5493001PEB90YGTDC638 | Long             | DBT              | CORP              | CA        |   2400000 | PA      | $2265182.52   | 0.26%             | 2028-03-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |         1 | NC      | $40689.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                              | NYO Commercial Mortgage Trust 2021-1290                                                                               | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4477493.70   | 0.51%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                 | NBN Co Ltd                                                                                                            | CUSIP: 000000000<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   8750000 | PA      | $5686425.98   | 0.65%             | 2025-12-03      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                     | Brazil Letras do Tesouro Nacional                                                                                     | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  56000000 | PA      | $9940915.90   | 1.14%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                               | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    700000 | PA      | $710400.02    | 0.08%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                   | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      1000 | PA      | $995.61       | 0.00%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP SVCS BOC                                | MORGAN STANLEY CAP SVCS BOC                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -110000 | NS      | $-110000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-34748.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                                           | Carlyle Euro CLO 2019-2 DAC                                                                                           | CUSIP: 000000000<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |   2791555 | PA      | $3275867.48   | 0.37%             | 2032-08-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-26032.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-76957.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTIT                                   | Cassa Depositi e Prestiti SpA                                                                                         | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |   2500000 | PA      | $2614696.65   | 0.30%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD THB                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-6941.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 95 CLO Ltd                                                                                                     | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3498932.50   | 0.40%             | 2034-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137AX2H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4848305 | PA      | $4122719.04   | 0.47%             | 2042-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                | SREIT Trust 2021-IND                                                                                                  | CUSIP: 78473JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298687.41    | 0.03%             | 2038-10-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                        | Toyota Auto Receivables 2023-C Owner Trust                                                                            | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3896225 | PA      | $3917293.68   | 0.45%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                                             | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5068438.05   | 0.58%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |         1 | NC      | $6341.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING BANK (AUSTRALIA) LTD                                   | ING Bank Australia Ltd                                                                                                | CUSIP: 000000000<br>LEI: 70UN1RCXO6LO7KWNC831 | Long             | DBT              | CORP              | AU        |   5000000 | PA      | $3299833.49   | 0.38%             | 2025-12-08      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                           | Invesco Euro CLO I DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |    666299 | PA      | $780188.26    | 0.09%             | 2031-07-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                   | Sumitomo Mitsui Financial Group Inc                                                                                   | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2500000 | PA      | $2498501.23   | 0.29%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                         | Honda Auto Receivables 2024-4 Owner Trust                                                                             | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3307634.22   | 0.38%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-40845.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1800000 | PA      | $1809233.08   | 0.21%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust                             | Ford Auto Securitization Trust II                                                                                     | CUSIP: 345214BT6<br>LEI: 549300OMOD4L2OWKWN21 | Long             | ABS-O            | CORP              | CA        |   1450000 | PA      | $1071344.23   | 0.12%             | 2028-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust                                    | BMW Vehicle Lease Trust 2023-2                                                                                        | CUSIP: 055979AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619601 | PA      | $1625302.45   | 0.19%             | 2026-09-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                                  | Kubota Credit Owner Trust 2023-2                                                                                      | CUSIP: 500945AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3327332.25   | 0.38%             | 2028-01-18      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                                  | ACREC 2023-FL2 LLC                                                                                                    | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1431988 | PA      | $1432882.53   | 0.16%             | 2038-02-19      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CHF                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-18534.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |         1 | NC      | $4054.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                     | Chase Auto Owner Trust 2023-A                                                                                         | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2022438.60   | 0.23%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                           | Greywolf CLO III Ltd                                                                                                  | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4006800.00   | 0.46%             | 2033-04-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136ABM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4555346 | PA      | $3921804.52   | 0.45%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                    | Capital One Multi-Asset Execution Trust                                                                               | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4004736.00   | 0.46%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                                    | Greenwood Park CLO Ltd                                                                                                | CUSIP: 39729RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    234668 | PA      | $234787.12    | 0.03%             | 2031-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED PLN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |         1 | NC      | $37274.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO                                         | Cumulus Static CLO 2024-1 DAC                                                                                         | CUSIP: 000000000<br>LEI: 2549005ZFHRHIZ9ONM43 | Long             | ABS-CBDO         | CORP              | IE        |   2719530 | PA      | $3205537.89   | 0.37%             | 2033-11-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                                  | GPMT 2021-FL3 Ltd                                                                                                     | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1348454 | PA      | $1321479.68   | 0.15%             | 2035-07-16      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CCMSCZUS2 CCPC COC EQUITY                                  | CCMSCZUS2 CCPC COC EQUITY                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1462000 | NS      | $1462000.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                   | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    270000 | PA      | $269716.92    | 0.03%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1493.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                 | CAN 10YR BOND FUT SEP25                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -17 | NC      | $-15085.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Amortizing Residential Collateral Trust                    | Amortizing Residential Collateral Trust 2004-1                                                                        | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22658 | PA      | $22703.55     | 0.00%             | 2034-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD SGD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-4067.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                           | ABN AMRO Bank NV                                                                                                      | CUSIP: 00084DBE9<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $999385.12    | 0.11%             | 2028-12-03      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BTXD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2929759 | PA      | $2939849.04   | 0.34%             | 2053-11-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38384GP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349259 | PA      | $349039.14    | 0.04%             | 2054-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2908822 | PA      | $2907911.74   | 0.33%             | 2054-12-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                          | CUSIP: 11135FAN1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6253000 | PA      | $6194441.41   | 0.71%             | 2026-09-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED JPY / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |         1 | NC      | $-1659.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04686E4J8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401588.00    | 0.05%             | 2026-08-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                       | Enel Finance International NV                                                                                         | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1426061.50   | 0.16%             | 2029-06-26      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                                | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    395304 | PA      | $395048.05    | 0.05%             | 2034-08-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                     | Chase Auto Owner Trust 2024-5                                                                                         | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $799139.76    | 0.09%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-253.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                   | Huntington Ingalls Industries Inc                                                                                     | CUSIP: 446413BA3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4419641.74   | 0.51%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED CNH / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $16561.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED GBP / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |         1 | NC      | $40262.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4546495.76   | 0.52%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                                   | BXMT 2020-FL3 Ltd                                                                                                     | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1237772 | PA      | $1236172.45   | 0.14%             | 2037-11-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLNN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3619790 | PA      | $3621373.61   | 0.41%             | 2055-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1231224.59   | 0.14%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION PHARMACEUTICAL 4                             | CONSTELLATION PHARMACEUTICAL 4                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5886678 | PA      | $5939365.89   | 0.68%             | 2033-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                    | CUSIP: 31351DC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1462623 | PA      | $1450471.89   | 0.17%             | 2038-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                               | Barclays PLC                                                                                                          | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $4001114.80   | 0.46%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |         1 | NC      | $7865.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2022-CRE7 LLC                                                                                                   | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3796578 | PA      | $3797765.72   | 0.43%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2020-1                                                                                      | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863920 | PA      | $826766.62    | 0.09%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4122280 | PA      | $4115497.22   | 0.47%             | 2055-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                             | Synchrony Bank                                                                                                        | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $4899005.64   | 0.56%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Master Credit Card Trust                                   | Master Credit Card Trust II                                                                                           | CUSIP: 576339DF9<br>LEI: 549300G7G68IV2D8IM76 | Long             | ABS-O            | CORP              | CA        |   4000000 | PA      | $4001078.80   | 0.46%             | 2027-06-21      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2023-NQM6 Trust                                                                                                   | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742843 | PA      | $1754992.35   | 0.20%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CAD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-147.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BBVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523897 | PA      | $520087.79    | 0.06%             | 2040-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD JPY                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1132.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-5119.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-PT-A                                                                            | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2026301 | PA      | $2018842.13   | 0.23%             | 2054-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                   | Santander UK Group Holdings PLC                                                                                       | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   8500000 | PA      | $8569680.54   | 0.98%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38376RZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459306 | PA      | $460007.41    | 0.05%             | 2066-09-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | 31750QM06 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        | -54150000 | NC      | $-3671.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                      | Carlyle Euro CLO 2021-2 DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |    457550 | PA      | $537284.32    | 0.06%             | 2031-01-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                 | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22800000 | PA      | $21197771.50  | 2.42%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD ILS                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-34417.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                                    | Brighthouse Financial Global Funding                                                                                  | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $972658.70    | 0.11%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-2434.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Harvest CLO                                                | Harvest CLO XXI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400UREZHY9PWJR290 | Long             | ABS-CBDO         | CORP              | IE        |   1524616 | PA      | $1759664.47   | 0.20%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR CLO 18 Ltd                                                                                                        | CUSIP: 48251JAL7<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |    224474 | PA      | $224474.89    | 0.03%             | 2030-07-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                        | CommonSpirit Health                                                                                                   | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3967477.28   | 0.45%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                 | Bear Stearns Asset Backed Securities Trust 2003-2                                                                     | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24977 | PA      | $25018.12     | 0.00%             | 2043-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149013 | PA      | $1147641.98   | 0.13%             | 2053-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                               | Navient Refinance Loan Trust 2025-A                                                                                   | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2573037 | PA      | $2601188.44   | 0.30%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                             | Palmer Square Loan Funding 2021-4 Ltd                                                                                 | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     56389 | PA      | $56389.69     | 0.01%             | 2029-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                              | Boeing Co/The                                                                                                         | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514407.69    | 0.06%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                              | Synchrony Card Funding LLC                                                                                            | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7300000 | PA      | $7383393.01   | 0.84%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| LENDLEASE FINANCE LTD                                      | Lendlease Finance Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 5493002EE2IQRQ3JUP44 | Long             | DBT              | CORP              | AU        |   1000000 | PA      | $635325.55    | 0.07%             | 2027-10-27      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136B9TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690096 | PA      | $1698166.69   | 0.19%             | 2050-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A4B4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003970.00   | 0.11%             | 2026-08-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4124309 | PA      | $4105351.68   | 0.47%             | 2055-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                            | GSR Mortgage Loan Trust 2005-5F                                                                                       | CUSIP: 36242D7K3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98313 | PA      | $94729.40     | 0.01%             | 2035-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KR        |         1 | NC      | $4666.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                       | BAT International Finance PLC                                                                                         | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4896298.70   | 0.56%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                              | OFSI BSL X Ltd                                                                                                        | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3992720.00   | 0.46%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       272 | NC      | $218521.54    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Babson CLO Ltd                                             | Barings CLO Ltd 2018-I                                                                                                | CUSIP: 06760GAA9<br>LEI: 549300MY0JQGDVPG6R89 | Long             | ABS-CBDO         | CORP              | KY        |   2249230 | PA      | $2249680.33   | 0.26%             | 2031-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                | Bear Stearns ARM Trust 2003-1                                                                                         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10350 | PA      | $9992.91      | 0.00%             | 2033-04-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT JUN25                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      1193 | NC      | $-90610.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| 37 Capital CLO Ltd                                         | 37 Capital Clo 1 Ltd                                                                                                  | CUSIP: 88430TAQ4<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3398133.40   | 0.39%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        11 | NC      | $6563.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Credit Card Trust                          | BA Credit Card Trust                                                                                                  | CUSIP: 05522RDH8<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4345484.97   | 0.50%             | 2028-11-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-957.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT MAR26                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      2424 | NC      | $1031383.46   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-902756.83   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                            | Weyerhaeuser Co                                                                                                       | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |   5000000 | PA      | $5009820.50   | 0.57%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJB30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3272102 | PA      | $3270557.92   | 0.37%             | 2054-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | ARES L CLO Ltd                                                                                                        | CUSIP: 04018LAJ4<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |    394129 | PA      | $394136.92    | 0.05%             | 2032-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLSA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4347369 | PA      | $4349737.63   | 0.50%             | 2052-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2872573 | PA      | $2949790.22   | 0.34%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD GBP                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-165270.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                                  | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2005328.70   | 0.23%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                       | Verizon Master Trust                                                                                                  | CUSIP: 92348KCL5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5811640.60   | 0.66%             | 2028-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1599502.08   | 0.18%             | 2055-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED CNH / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $7649.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |         1 | NC      | $25259.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan Trust                        | Finance America Mortgage Loan Trust 2004-2                                                                            | CUSIP: 317350BD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273743 | PA      | $260138.82    | 0.03%             | 2034-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-D                                                                               | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2221448 | PA      | $2265005.83   | 0.26%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-139447.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                        | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4191028.00   | 0.48%             | 2028-04-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CCWFSXUS7 BMO HARRIS MGCC COC                              | CCWFSXUS7 BMO HARRIS MGCC COC                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   6332000 | NS      | $6332000.00   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                                                     | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8000000 | PA      | $7992047.92   | 0.91%             | 2026-09-12      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: BWPC0NEX0 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0NEX0 CDS USD P F  1.00000 1 CCPCDX                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  90000000 | OU      | $-1978776.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED IDR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ID        |         1 | NC      | $249.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-56480.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                               | Illumina Inc                                                                                                          | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401716.50    | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX 2021-MFM1                                                                                                          | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676386 | PA      | $1675862.04   | 0.19%             | 2034-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38383KKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3740131 | PA      | $3719062.11   | 0.43%             | 2073-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                      | CWABS Inc Asset-Backed Certificates Trust 2004-6                                                                      | CUSIP: 126673AW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1106100 | PA      | $1080276.35   | 0.12%             | 2034-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                                            | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    237473 | NS      | $237472.71    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM5 Trust                                                                                                   | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-MBS          | CORP              | US        |   1026572 | PA      | $1033822.93   | 0.12%             | 2064-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-955.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5059118.50   | 0.58%             | 2027-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2022-C                                                                               | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   1678959 | PA      | $1668713.32   | 0.19%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Bain Capital Euro CLO                                      | Bain Capital Euro Clo 2018-2 DAC                                                                                      | CUSIP: 000000000<br>LEI: 635400CJJQJHYAMATG34 | Long             | ABS-CBDO         | CORP              | IE        |   1659148 | PA      | $1949256.09   | 0.22%             | 2032-01-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund Ltd                                   | LCM Loan Income Fund I Ltd                                                                                            | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    274703 | PA      | $274768.09    | 0.03%             | 2031-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD AUD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-71561.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard Inc                               | Alimentation Couche-Tard Inc                                                                                          | CUSIP: 01626UUW3<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |   3600000 | PA      | $3586543.99   | 0.41%             | 2025-07-30      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                    | GA Global Funding Trust                                                                                               | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    600000 | PA      | $589817.53    | 0.07%             | 2026-01-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                        | Global Payments Inc                                                                                                   | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6313000 | PA      | $6164699.17   | 0.70%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Limited                            | Bain Capital Credit Clo 2019-3 Ltd                                                                                    | CUSIP: 05683TBA6<br>LEI: 549300434Q955VK1W392 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3505757.50   | 0.40%             | 2034-10-21      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Huntington Auto Trust                                      | Huntington Auto Trust 2024-1                                                                                          | CUSIP: 446144AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2017643.00   | 0.23%             | 2029-01-16      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                                                        | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551299 | PA      | $512641.10    | 0.06%             | 2031-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FQZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276085 | PA      | $249909.93    | 0.03%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |         1 | NC      | $94.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                         | STWD 2022-FL3 Ltd                                                                                                     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    225339 | PA      | $224916.31    | 0.03%             | 2038-11-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02I618 IRS USD R V 12MSOFR SWUV2I610 CCPOIS / Short: BWU02I618 IRS USD P F  3.62000 SWU02I618 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 400498000 | OU      | $-4173813.94  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38381NNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $6500005.85   | 0.74%             | 2055-06-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                        | PFS Financing Corp                                                                                                    | CUSIP: 69335PEY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5073212.50   | 0.58%             | 2028-10-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2018-3                                                                            | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |    262271 | PA      | $254790.65    | 0.03%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division           | LONG GILT FUTURE SEP25                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        52 | NC      | $136850.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1601731 | PA      | $1587727.47   | 0.18%             | 2038-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                            | Oceanview Mortgage Trust 2025-INV3                                                                                    | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1400000.28   | 0.16%             | 2055-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204933.24    | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    745105 | PA      | $746194.83    | 0.09%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HERA Commercial Mortgage Ltd                               | HERA Commercial Mortgage 2021-FL1 Ltd                                                                                 | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    571382 | PA      | $570300.58    | 0.07%             | 2038-02-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CCPC CCMSCHUS2 COC                                         | CCPC CCMSCHUS2 COC                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  11365000 | NS      | $11365000.00  | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                     | Daimler Truck Finance North America LLC                                                                               | CUSIP: 233853AP5<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4212560.52   | 0.48%             | 2026-01-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD SGD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-200.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-49548.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                 | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43400000 | PA      | $42507323.19  | 4.86%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                             | Carvana Auto Receivables Trust 2025-P1                                                                                | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3015025.80   | 0.34%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED CNH / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $5570.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust         | GM Financial Consumer Automobile Receivables Trust 2023-4                                                             | CUSIP: 379930AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220441 | PA      | $220671.51    | 0.03%             | 2026-11-16      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02F093 IRS USD R V 12MSOFR SWUV2F095 CCPOIS / Short: BWU02F093 IRS USD P F  4.10000 SWU02F093 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  82200000 | OU      | $21502.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                          | Mountain View CLO XVI Ltd                                                                                             | CUSIP: 62432UAN1<br>LEI: 549300MWKXOHYV7Z8O91 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3003000.00   | 0.34%             | 2034-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust         | GM Financial Consumer Automobile Receivables Trust 2024-4                                                             | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3008637.60   | 0.34%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308KS5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3999983.36   | 0.46%             | 2025-09-04      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHKS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2069974 | PA      | $2067337.95   | 0.24%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED IDR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |         1 | NC      | $2641.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Trust                                             | Progress 2020-1 Trust                                                                                                 | CUSIP: 000000000<br>LEI: 549300WU3U2KIA8O4L72 | Long             | ABS-MBS          | CORP              | AU        |   2702848 | PA      | $1780505.56   | 0.20%             | 2051-01-21      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| County of Williamson TX                                    | WILLIAMSON CNTY TX                                                                                                    | CUSIP: 9698878H4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2097323.80   | 0.24%             | 2027-02-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED ILS / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |         1 | NC      | $147.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Credit Card Trust                                   | Golden Credit Card Trust                                                                                              | CUSIP: 380881FP2<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |   9000000 | PA      | $8996468.40   | 1.03%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-529821.99   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-172583.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED IDR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |         1 | NC      | $6272.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 2021-A LLC                      | ELFI Graduate Loan Program 2021-A LLC                                                                                 | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1978630 | PA      | $1758890.43   | 0.20%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1448282 | PA      | $1446338.39   | 0.17%             | 2055-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2021-6                                                                                     | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986711 | PA      | $1735173.32   | 0.20%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED ZAR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |         1 | NC      | $228.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                       | Enel Finance International NV                                                                                         | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2000000 | PA      | $1940975.06   | 0.22%             | 2026-07-12      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                    | Hyundai Capital America                                                                                               | CUSIP: 44891ADQ7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1113212.06   | 0.13%             | 2030-03-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-53499.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5197747 | PA      | $5181942.00   | 0.59%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                             | Accredited Mortgage Loan Trust 2004-3                                                                                 | CUSIP: 004375BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2752 | PA      | $2724.98      | 0.00%             | 2034-10-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BK/NY                                   | Standard Chartered Bank/New York                                                                                      | CUSIP: 85325X2B1<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $3051649.44   | 0.35%             | 2027-12-03      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Tulane University                                          | TULANE LA UNIV                                                                                                        | CUSIP: 899062BQ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2820000 | PA      | $2616401.64   | 0.30%             | 2036-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                | Taurus 2021-1 UK DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400SG2ZVJCYHITE32 | Long             | ABS-MBS          | CORP              | IE        |   2581043 | PA      | $3534988.35   | 0.40%             | 2031-05-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                                  | ORIX Corp                                                                                                             | CUSIP: 686330AS0<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |   4000000 | PA      | $4029040.28   | 0.46%             | 2029-09-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SWU01PDU1 IRS AUD R F  4.50000 SWU01PDU1 CCPVANILLA / Short: SWU01PDU1 IRS AUD P V 06MBBSW SWUV1PDU3 CCPVANILLA | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7600000 | OU      | $194867.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED THB / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TH        |         1 | NC      | $176.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2165662.99   | 0.25%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                    | National Bank of Canada                                                                                               | CUSIP: 63307A2Z7<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5010868.90   | 0.57%             | 2027-07-02      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                                | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1865858 | PA      | $1865807.84   | 0.21%             | 2036-11-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                   | Avolon Holdings Funding Ltd                                                                                           | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    281000 | PA      | $275809.27    | 0.03%             | 2026-02-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-22265.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUTN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    902040 | PA      | $901932.49    | 0.10%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust               | American Express Credit Account Master Trust                                                                          | CUSIP: 02582JJV3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   8670000 | PA      | $8661412.37   | 0.99%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                           | CUSIP: 38141GXX7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    900000 | PA      | $901197.00    | 0.10%             | 2027-03-09      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GCAT                                                       | GCAT 2022-CM1 Trust                                                                                                   | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200177 | PA      | $1125883.82   | 0.13%             | 2066-12-27      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3311729 | PA      | $3295776.38   | 0.38%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BURBERRY GROUP PLC                                         | Burberry Group PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800PE1KEFCNFR1R50 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1905413.46   | 0.22%             | 2025-09-21      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                                | PNC Bank NA                                                                                                           | CUSIP: 69353RFX1<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8013038.80   | 0.92%             | 2027-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KR        |         1 | NC      | $1455.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                        | 522 Funding CLO 2018-3A Ltd                                                                                           | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    194038 | PA      | $194098.40    | 0.02%             | 2031-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                           | FirstEnergy Corp                                                                                                      | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $791030.46    | 0.09%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02CMK1 IRS USD R V 12MSOFR SWUV2CMK3 CCPOIS / Short: BWU02CMK1 IRS USD P F  3.86165 SWU02CMK1 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  22600000 | OU      | $-361963.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                            | Nordea Bank Abp                                                                                                       | CUSIP: 65558RAH2<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   3000000 | PA      | $3022764.99   | 0.35%             | 2029-09-10      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                           | Berry Global Inc                                                                                                      | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4124907.99   | 0.47%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                    | Nissan Motor Acceptance Co LLC                                                                                        | CUSIP: 000000000<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2384147.80   | 0.27%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SWU028YL5 IRS GBP R F  3.50000 SWU028YL5 CCPOIS / Short: SWU028YL5 IRS GBP P V 12MSONIA SWUV28YL7 CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  19600000 | OU      | $-169208.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136AYN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375371 | PA      | $1364137.21   | 0.16%             | 2047-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-E                                                                               | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713006 | PA      | $719939.76    | 0.08%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                                            | CUSIP: 00287BU72<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | STIV             | CORP              | US        |   8900000 | PA      | $8893117.36   | 1.02%             | 2025-07-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2020-H                                                                      | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606576 | PA      | $569974.17    | 0.07%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                          | Elevation Clo 2021-15 Ltd                                                                                             | CUSIP: 28623VAN9<br>LEI: 5493005VN5WX000OV470 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2999880.00   | 0.34%             | 2035-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CARDS II Trust                                             | CARDS II Trust                                                                                                        | CUSIP: 14161GCM0<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4033340.40   | 0.46%             | 2031-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |         1 | NC      | $425.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3006064 | PA      | $2993753.37   | 0.34%             | 2054-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |         1 | NC      | $319.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-A                                                                               | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1005533 | PA      | $968421.16    | 0.11%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                         | One New York Plaza Trust 2020-1NYP                                                                                    | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2900676.60   | 0.33%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                                | Harvest CLO XVI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400HU8ASOJYEX2I14 | Long             | ABS-CBDO         | CORP              | IE        |   2224707 | PA      | $2615626.38   | 0.30%             | 2031-10-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Rolls-Royce PLC                                            | Rolls-Royce PLC                                                                                                       | CUSIP: 77578JAB4<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2487282.25   | 0.28%             | 2025-10-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                    | New York Mortgage Trust 2005-3                                                                                        | CUSIP: 649603AG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65425 | PA      | $64799.92     | 0.01%             | 2036-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                          | CUSIP: 3137HHH38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3999990.80   | 0.46%             | 2027-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BNP PARIBUS CASH COLLATERAL                                | BNP PARIBUS CASH COLLATERAL                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | STIV             | CORP              | US        |   -290000 | NS      | $-290000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CarMax Auto Owner Trust                                    | CarMax Auto Owner Trust 2024-4                                                                                        | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2218175 | PA      | $2219919.44   | 0.25%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380458 | PA      | $380273.10    | 0.04%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2658738 | PA      | $2652739.36   | 0.30%             | 2055-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                   | International Flavors & Fragrances Inc                                                                                | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   1439000 | PA      | $1425047.01   | 0.16%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                 | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  60900000 | PA      | $61827165.96  | 7.07%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                    | Bayer US Finance II LLC                                                                                               | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4160890.23   | 0.48%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                    | Hyundai Capital America                                                                                               | CUSIP: 44891ADE4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    900000 | PA      | $899355.51    | 0.10%             | 2027-06-24      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                    | REVERSE REPO JPM CHASE                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -7511875 | PA      | $-7511875.00  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| 3137BL9M2                                                  | 3137BL9M2                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1600000 | PA      | $1599500.05   | 0.18%             | 2055-07-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | 317U8CKA4 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        | 226800000 | NC      | $18.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                          | Hyatt Hotels Corp                                                                                                     | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1718498.31   | 0.20%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                      | Arrow Electronics Inc                                                                                                 | CUSIP: 04273WAF8<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2233407.55   | 0.26%             | 2029-08-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                     | Goldman Sachs Bank USA/New York NY                                                                                    | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   2074000 | PA      | $2079043.62   | 0.24%             | 2027-03-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI SYD                                        | Sumitomo Mitsui Banking Corp/Sydney                                                                                   | CUSIP: 000000000<br>LEI: 5U0XI89JRFVHWIBS4F54 | Long             | DBT              | CORP              | JP        |   2700000 | PA      | $1782407.65   | 0.20%             | 2026-02-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC                                           | Santander UK PLC                                                                                                      | CUSIP: 80283LBB8<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |   3900000 | PA      | $3943719.00   | 0.45%             | 2027-12-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |         1 | NC      | $3270.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2573882 | PA      | $2572638.86   | 0.29%             | 2055-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                            | Nissan Motor Co Ltd                                                                                                   | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1588000 | PA      | $1577986.61   | 0.18%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                                           | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3624340.00   | 0.41%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                               | AES Corp/The                                                                                                          | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5101162.25   | 0.58%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                | CRSNT Trust 2021-MOON                                                                                                 | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4443749.10   | 0.51%             | 2036-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED JPY / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |         1 | NC      | $3877.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12495293 | PA      | $12472161.89  | 1.43%             | 2054-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust                                   | Toyota Lease Owner Trust 2025-A                                                                                       | CUSIP: 89239NAD7<br>LEI: 254900299R9KF5UH9O95 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8067734.40   | 0.92%             | 2028-02-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED JPY / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |         1 | NC      | $1273.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Navesink CLO, Limited                                      | Navesink CLO 2 Ltd                                                                                                    | CUSIP: 63942YAA2<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3493266.00   | 0.40%             | 2036-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED MXN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |         1 | NC      | $7469.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| County of Williamson TX                                    | WILLIAMSON CNTY TX                                                                                                    | CUSIP: 9698878G6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2154461.10   | 0.25%             | 2026-02-15      | Fixed         | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991393 | PA      | $992340.45    | 0.11%             | 2055-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | 317U8CLA3 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        | 226800000 | NC      | $161272.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                    | Hyundai Auto Lease Securitization Trust 2025-A                                                                        | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3531143.35   | 0.40%             | 2028-01-18      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                         | BMW US Capital LLC                                                                                                    | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1994429.52   | 0.23%             | 2028-03-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-4                                                                                      | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642332 | PA      | $1579140.30   | 0.18%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38385GMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1196916 | PA      | $1197465.28   | 0.14%             | 2055-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED ZAR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ZA        |         1 | NC      | $2078.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2022-4 LLC                                                                                 | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1748106 | PA      | $1755142.62   | 0.20%             | 2029-10-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                                                                               | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2700000 | PA      | $2763861.80   | 0.32%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | 31750QMA4 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |  -7500000 | NC      | $-466.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED AUD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $70098.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED INR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |         1 | NC      | $5819.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-131167.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-24882.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197371.32    | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-C                                                                               | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1908845 | PA      | $1953940.62   | 0.22%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -366 | NC      | $-1299737.16  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                                                  | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4086665.04   | 0.47%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2022-A                                                                      | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2882541 | PA      | $2638896.60   | 0.30%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38385GWL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2948283 | PA      | $2809727.44   | 0.32%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296583.65    | 0.03%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BWNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $899719.92    | 0.10%             | 2055-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD JPY                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-3812.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLEP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6042807 | PA      | $6036819.61   | 0.69%             | 2055-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                   | Lloyds Banking Group PLC                                                                                              | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2331165.30   | 0.27%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                     | Sequoia Mortgage Trust 2004-6                                                                                         | CUSIP: 81744FCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2509 | PA      | $2316.31      | 0.00%             | 2034-07-20      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623921 | PA      | $624239.72    | 0.07%             | 2066-08-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-40820.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11891707 | PA      | $11853150.77  | 1.35%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2024-PJ7                                                                          | CUSIP: 362949BR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742522 | PA      | $1743789.13   | 0.20%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | Israel Government International Bond                                                                                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   6700000 | PA      | $6827825.88   | 0.78%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Massachusetts School Building Authority                    | MASSACHUSETTS ST SCH BLDG AUTH SALES TAX REVENUE                                                                      | CUSIP: 576000ZF3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3100000 | PA      | $2999797.46   | 0.34%             | 2026-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED SGD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |         1 | NC      | $1009.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gemgarto                                                   | Gemgarto 2021-1 PLC                                                                                                   | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |    240279 | PA      | $329945.55    | 0.04%             | 2067-12-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                   | Lloyds Banking Group PLC                                                                                              | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2998749.30   | 0.34%             | 2026-08-11      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| UNITED OVERSEAS BANK LTD                                   | United Overseas Bank Ltd                                                                                              | CUSIP: 91127KAL6<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | DBT              | CORP              | SG        |   4000000 | PA      | $4006086.92   | 0.46%             | 2028-04-02      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                           | Bain Capital Credit CLO 2021-6 Ltd                                                                                    | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3502100.00   | 0.40%             | 2034-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1500729.00   | 0.17%             | 2055-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -143 | NC      | $-226989.33   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2024-1                                                                                     | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1153570 | PA      | $1158491.94   | 0.13%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                   | Benchmark 2019-B12 Mortgage Trust                                                                                     | CUSIP: 08162FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4338870 | PA      | $4229518.37   | 0.48%             | 2052-08-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |         1 | NC      | $27535.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2230296 | PA      | $2204698.27   | 0.25%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | CarMax Auto Owner Trust 2023-4                                                                                        | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6315000 | PA      | $6406033.25   | 0.73%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5006746.00   | 0.57%             | 2026-07-16      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-148.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                   | Ford Credit Auto Owner Trust 2023-REV1                                                                                | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6086553.00   | 0.70%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED CNH / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $4312.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-63033.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MBARC Credit Canada Inc                                    | MBarc Credit Canada Inc                                                                                               | CUSIP: 552755BX7<br>LEI: 549300T0LAPKEKVWBV33 | Long             | ABS-O            | CORP              | CA        |   2706527 | PA      | $1994253.81   | 0.23%             | 2026-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                                 | Intel Corp                                                                                                            | CUSIP: 45826CU32<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | STIV             | CORP              | US        |   7800000 | PA      | $7798011.00   | 0.89%             | 2025-07-03      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                       | CUSIP: 3136AVKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1746833 | PA      | $1709913.40   | 0.20%             | 2027-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                            | Citizens Auto Receivables Trust 2023-1                                                                                | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4735000 | PA      | $4815071.69   | 0.55%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                            | Citizens Auto Receivables Trust 2023-2                                                                                | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2093238 | PA      | $2108907.83   | 0.24%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJAP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3277676 | PA      | $3276173.20   | 0.37%             | 2055-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                                | Post Road Equipment Finance 2025-1 LLC                                                                                | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1206619.92   | 0.14%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO                                          | Toro European CLO 6 DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   2854748 | PA      | $3351056.48   | 0.38%             | 2032-01-12      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |         1 | NC      | $24201.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1866844 | PA      | $1869595.00   | 0.21%             | 2072-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED CNH / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $8297.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                      | Evergy Kansas Central Inc                                                                                             | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1820319.73   | 0.21%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BFMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848172 | PA      | $840750.64    | 0.10%             | 2040-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                            | Venture XXVII CLO Ltd                                                                                                 | CUSIP: 92331LBC3<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |     47644 | PA      | $47642.68     | 0.01%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2023-NQM4 Trust                                                                                                   | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659295 | PA      | $663187.66    | 0.08%             | 2068-12-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BCL48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1424687 | PA      | $1408421.03   | 0.16%             | 2037-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                     | Tesla Auto Lease Trust 2023-B                                                                                         | CUSIP: 88167QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1752062 | PA      | $1757641.34   | 0.20%             | 2026-09-21      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Metro/OR                                                   | METRO OR                                                                                                              | CUSIP: 59163PKJ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2184634.54   | 0.25%             | 2026-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                           | SoFi Consumer Loan Program 2025-1 Trust                                                                               | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2351188 | PA      | $2355569.93   | 0.27%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Student Loan Trust                                                                                            | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1054023 | PA      | $1079831.65   | 0.12%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD MXN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-432.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                   | CUSIP: 912797PQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     45000 | PA      | $44693.69     | 0.01%             | 2025-08-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2398724 | PA      | $2393385.82   | 0.27%             | 2055-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1304463.59   | 0.15%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2018-5                                                                                      | CUSIP: 89176VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5426370 | PA      | $5200143.83   | 0.59%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                   | Corebridge Financial Inc                                                                                              | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1677510.96   | 0.19%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2020-NQM2 Trust                                                                                                   | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250285 | PA      | $240880.82    | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS                                     | KKR Financial Holdings LLC                                                                                            | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4123185.84   | 0.47%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-10914.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD SGD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-16013.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED PLN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |         1 | NC      | $27210.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2023-1 LLC                                                                                 | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109845 | PA      | $1113330.64   | 0.13%             | 2029-01-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD SGD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-1099.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cheshire                                                   | Cheshire 2020-1 PLC                                                                                                   | CUSIP: 000000000<br>LEI: 635400BD1CVGTZGODD61 | Long             | ABS-MBS          | CORP              | GB        |   1097901 | PA      | $1507457.19   | 0.17%             | 2045-08-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                                              | CUSIP: 05377RHL1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7808733.24   | 0.89%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI SYD                                        | Sumitomo Mitsui Banking Corp/Sydney                                                                                   | CUSIP: 000000000<br>LEI: 5U0XI89JRFVHWIBS4F54 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $659946.95    | 0.08%             | 2025-11-07      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED JPY / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |         1 | NC      | $1226.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                                  | Dryden 27 R Euro CLO 2017 DAC                                                                                         | CUSIP: 000000000<br>LEI: 635400RDG3EM9CGEVD60 | Long             | ABS-CBDO         | CORP              | IE        |   1358153 | PA      | $1594891.84   | 0.18%             | 2033-04-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD CNH                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-4906.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom Inc                                               | Broadcom Inc                                                                                                          | CUSIP: 11135MUA2<br>LEI: 549300WV6GIDOZJTV909 | Long             | STIV             | CORP              | US        |   1100000 | PA      | $1098699.25   | 0.13%             | 2025-07-10      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | Israel Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   3900000 | PA      | $4720342.74   | 0.54%             | 2026-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BU5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537318 | PA      | $2532819.27   | 0.29%             | 2055-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                    | Bayer US Finance II LLC                                                                                               | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4686769.92   | 0.54%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Auto Trust                                 | Bank of America Auto Trust 2023-1                                                                                     | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3113566 | PA      | $3134666.37   | 0.36%             | 2028-02-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $11416.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                   | Volkswagen Group of America Finance LLC                                                                               | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2808278.09   | 0.32%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | Carmax Auto Owner Trust 2025-1                                                                                        | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4053617.20   | 0.46%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2023-NQM3 Trust                                                                                                  | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305528 | PA      | $307924.90    | 0.04%             | 2068-11-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2020-H                                                                      | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224583 | PA      | $1124844.83   | 0.13%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137H0VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4461439 | PA      | $3835913.60   | 0.44%             | 2044-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                            | Recette Clo Ltd                                                                                                       | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002400.00   | 0.11%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-24950.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                              | Gallatin CLO VIII 2017-1 Ltd                                                                                          | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    828520 | PA      | $828680.64    | 0.09%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      4341 | NC      | $4727154.91   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                    | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661908 | PA      | $656301.84    | 0.08%             | 2037-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240758 | PA      | $238994.94    | 0.03%             | 2044-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                        | American Tower Corp                                                                                                   | CUSIP: 03027XBL3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   7400000 | PA      | $7235918.69   | 0.83%             | 2026-04-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                 | Bear Stearns Asset Backed Securities I Trust 2005-AQ1                                                                 | CUSIP: 073879UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179395 | PA      | $178917.42    | 0.02%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                                             | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2679316.84   | 0.31%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2971309.23   | 0.34%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                   | Canadian Pacific Railway Co                                                                                           | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $1182014.93   | 0.14%             | 2026-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                             | Hyundai Auto Receivables Trust 2024-C                                                                                 | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2512581.50   | 0.29%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                   | Equitable Financial Life Global Funding                                                                               | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4419191.57   | 0.51%             | 2026-01-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                       | SoFi Professional Loan Program 2017-D LLC                                                                             | CUSIP: 78471CAB5<br>LEI: 549300RC6OGKQI1MHM67 | Long             | ABS-O            | CORP              | US        |     78090 | PA      | $77148.49     | 0.01%             | 2040-09-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD AUD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-418902.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| KT CORP                                                    | KT Corp                                                                                                               | CUSIP: 48268KAG6<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |   5600000 | PA      | $5595642.25   | 0.64%             | 2025-08-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                    | BDS 2022-FL12 LLC                                                                                                     | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2319643 | PA      | $2321092.68   | 0.27%             | 2038-08-19      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                             | Apidos CLO XV                                                                                                         | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |    135904 | PA      | $135972.94    | 0.02%             | 2031-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT SEP25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -422 | NC      | $-817524.23   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136B5K95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1443128 | PA      | $1401428.71   | 0.16%             | 2049-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-186.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GAIF BOND ISSUER P/L                                       | GAIF Bond Issuer Pty Ltd                                                                                              | CUSIP: 000000000<br>LEI: 2138007UNQRHCRSBNZ86 | Long             | DBT              | CORP              | AU        |   1800000 | PA      | $1774405.21   | 0.20%             | 2026-09-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-13904.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |         1 | NC      | $4641.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | CarMax Auto Owner Trust 2023-4                                                                                        | CUSIP: 14318XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550463 | PA      | $551013.99    | 0.06%             | 2026-12-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                   | Avolon Holdings Funding Ltd                                                                                           | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2800000 | PA      | $2804302.28   | 0.32%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                   | Volkswagen Group of America Finance LLC                                                                               | CUSIP: 928668CD2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3383000 | PA      | $3383427.31   | 0.39%             | 2026-03-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-56224.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED INR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |         1 | NC      | $16536.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                     | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3                                                            | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2693 | PA      | $2582.27      | 0.00%             | 2033-05-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3366710 | PA      | $3356151.24   | 0.38%             | 2055-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJG84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2057175 | PA      | $2052877.57   | 0.23%             | 2055-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7359935 | PA      | $7296226.00   | 0.83%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                          | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1800000 | PA      | $1810803.46   | 0.21%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-17

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP