# EDGAR Filing Document

**Accession Number:** 0000814679
**File Stem:** 0001752724-23-035909
**Filing Date:** 2023-2
**Character Count:** 807732
**Document Hash:** d3c18bdb145267d924e383d3600a37c7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035909.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035909

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVANCED SERIES TRUST
- **CENTRAL INDEX KEY:** 0000814679
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05186
- **FILM NUMBER:** 23657614

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 367-8982

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN SKANDIA TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON INTERNATIONAL GROWTH FUND
- **DATE OF NAME CHANGE:** 19920506

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON GLOBAL ASSET TRUST
- **DATE OF NAME CHANGE:** 19900302

## Series and Classes Contracts Data

### AST Global Bond Portfolio (Series ID: S000050071)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000158037 | AST Global Bond Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-05186

- **c. CIK number of Registrant:** 0000814679

- **d. LEI of Registrant:** 549300VWSUPW8FKG9V43

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-888-778-2888

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

- **a. Name of Series:** AST Global Bond Portfolio

- **b. EDGAR series identifier (if any):** S000050071

- **c. LEI of Series:** 549300SF6KHJDIL4FS48

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

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

- **b. Date as of which information is reported:** 2022-12-30

**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:** $348510644.70

**Total Liabilities:** $32547928.49

**Net Assets:** $315962716.21

**Delayed Delivery Securities:** $1711654.40

**Stand-by Commitments:** $7708380.99

**Cash Not Reported:** $11079801.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 665.55957000 | **1-Year:** 19035.46469000 | **5-Year:** 54083.84538000 | **10-Year:** 26990.82613000 | **30-Year:** 5578.44574000

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

- **3-Month:** 18.83263000 | **1-Year:** 864.99833000 | **5-Year:** 2218.56355000 | **10-Year:** 2912.21280000 | **30-Year:** 751.69487000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000158037 | -0.38%               | 2.77%                | -0.93%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4176470.93             | $2674891.97                                |
| Month 2  | $-2131509.80             | $17568208.79                               |
| Month 3  | $-1046231.61             | $139427.90                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate US Dollar Hedged Index

- **Index Identifier:** LBUSTREH Index

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| QUEENSLAND TREASURY CORP                           | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     661000 | PA      | $405459.58    | 0.13%             | 2029-03-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                | Bank of Nova Scotia/The                                                         | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     227000 | PA      | $211825.13    | 0.07%             | 2027-01-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                               | Entergy Arkansas LLC                                                            | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |      68000 | PA      | $47652.81     | 0.02%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133L74L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291984 | PA      | $260429.63    | 0.08%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                     | RALI Series 2007-QH8 Trust                                                      | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49510 | PA      | $42883.06     | 0.01%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                              | Portugal Obrigacoes do Tesouro OT                                               | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     129000 | PA      | $128641.47    | 0.04%             | 2029-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                | Malaysia Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     453000 | PA      | $106693.07    | 0.03%             | 2042-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $889.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4182.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9049.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-15611.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-559.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634881 | PA      | $565381.81    | 0.18%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                           | OZLM XVIII Ltd                                                                  | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |     497000 | PA      | $484926.38    | 0.15%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5296.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                     | Home Depot Inc/The                                                              | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      45000 | PA      | $43479.29     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3876.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BK OF JAPAN                            | Development Bank of Japan Inc                                                   | CUSIP: 000000000<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | NUSS              | JP        |     364000 | PA      | $366514.54    | 0.12%             | 2024-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SVCS INC 0 CP 10/01/2023                  | REPUBLIC SVCS INC 0 CP 10/01/2023                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     825000 | PA      | $823843.70    | 0.26%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13725.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       8000 | PA      | $5696.40      | 0.00%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176057 | PA      | $162874.67    | 0.05%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5278.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192090 | PA      | $187662.27    | 0.06%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2524.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181325 | PA      | $155066.82    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                         | Humana Inc                                                                      | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     105000 | PA      | $108802.66    | 0.03%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2022-BNK40                                                                 | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $219683.60    | 0.07%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SGD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20361.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31335ATV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38821 | PA      | $39355.70     | 0.01%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                               | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32673.65     | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      89000 | PA      | $35935.86     | 0.01%             | 2120-06-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $524.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                             | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    1087000 | PA      | $633193.02    | 0.20%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     997000 | PA      | $651549.48    | 0.21%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     149000 | PA      | $135429.32    | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PBW1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4492.81      | 0.00%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF CHILE                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-864.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138ENLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28027 | PA      | $27507.72     | 0.01%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                    | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2623975 | PA      | $2540410.17   | 0.80%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8613 | PA      | $8816.16      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117473 | PA      | $99620.96     | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16672.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358119 | PA      | $291989.33    | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      78000 | PA      | $73520.04     | 0.02%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $19584.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NZD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-489.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $17016.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      86000 | PA      | $80582.53     | 0.03%             | 2027-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SERV FIN                             | Anglian Water Services Financing PLC                                            | CUSIP: 000000000<br>LEI: 213800DL377MH46PDY63 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $104406.34    | 0.03%             | 2029-10-26      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |    1569000 | PA      | $1377924.97   | 0.44%             | 2032-02-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     235000 | PA      | $240575.99    | 0.08%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                  | HSBC Holdings PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $192905.54    | 0.06%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/PEN FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $976.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-40.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $912.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND                                        | Swiss Confederation Government Bond                                             | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     155000 | PA      | $197947.04    | 0.06%             | 2033-04-08      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                 | Finland Government Bond                                                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     109000 | PA      | $70965.37     | 0.02%             | 2040-09-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                  | Israel Government Bond - Fixed                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     317000 | PA      | $85731.73     | 0.03%             | 2025-08-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Wheels SPV LLC                                     | Wheels SPV 2 LLC                                                                | CUSIP: 96328DBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     429726 | PA      | $424654.41    | 0.13%             | 2029-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES (USA) LLC                 | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 1V8Y6QCX6YMJ2OELII46 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8365.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-64399.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QNB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98777 | PA      | $89869.83     | 0.03%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297185 | PA      | $253943.58    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS CDX.NA.IG.37                                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $45750.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13748.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | Barclays PLC                                                                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $209605.06    | 0.07%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                     | S&P Global Inc                                                                  | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     200000 | PA      | $175964.71    | 0.06%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                             | General Motors Financial Co Inc                                                 | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89765.68     | 0.03%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     148000 | PA      | $117897.12    | 0.04%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL                                      | ArcelorMittal SA                                                                | CUSIP: 03938LBC7<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $89428.37     | 0.03%             | 2029-07-16      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7647 | PA      | $7332.38      | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3356.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -480000 | OU      | $-12583.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                             | Discover Financial Services                                                     | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |      62000 | PA      | $63093.33     | 0.02%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-470.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QEDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514068 | PA      | $444060.10    | 0.14%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     709000 | PA      | $577630.39    | 0.18%             | 2035-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                | Consumers Energy Co                                                             | CUSIP: 210518DJ2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      75000 | PA      | $42615.36     | 0.01%             | 2060-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                             | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     179000 | PA      | $91144.30     | 0.03%             | 2037-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $27440.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      15000 | PA      | $13512.44     | 0.00%             | 2052-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -480000 | OU      | $-376.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KLA CORP                                           | KLA Corp                                                                        | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     148000 | PA      | $142673.00    | 0.05%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1473.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPER                                   | Essential Properties LP                                                         | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |     151000 | PA      | $109497.74    | 0.03%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158227.08    | 0.05%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  246820000 | PA      | $167724.19    | 0.05%             | 2044-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $687.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $39999.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8254.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     604000 | PA      | $626618.61    | 0.20%             | 2024-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379MMX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124680 | PA      | $13923.68     | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25958 | PA      | $25500.49     | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-68892.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12712.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $63162.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CDP FINANCIAL INC                                  | CDP Financial Inc                                                               | CUSIP: 000000000<br>LEI: 549300OXMGVYFCBFV096 | Long             | DBT              | NUSS              | CA        |    1186000 | PA      | $1153910.05   | 0.37%             | 2027-04-06      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      58235 | PA      | $59898.24     | 0.02%             | 2028-04-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -20 | NC      | $16336.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     705000 | PA      | $579829.26    | 0.18%             | 2031-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                 | Realty Income Corp                                                              | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     174000 | PA      | $172581.08    | 0.05%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33601 | PA      | $32889.55     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $9122.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC                                        | Ovintiv Inc                                                                     | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $80914.30     | 0.03%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -480000 | OU      | $-15871.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382FYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48382 | PA      | $7381.19      | 0.00%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $19533.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1144.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71722 | PA      | $66849.67     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2020-DNA4                                         | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218092 | PA      | $231877.84    | 0.07%             | 2050-08-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                      | Exeter Automobile Receivables Trust 2018-3                                      | CUSIP: 30166PAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22177 | PA      | $22155.36     | 0.01%             | 2024-06-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  101550000 | PA      | $908034.89    | 0.29%             | 2039-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     333687 | PA      | $390296.01    | 0.12%             | 2038-01-29      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                    | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     140000 | PA      | $158355.37    | 0.05%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                    | Lehman XS Trust 2007-3                                                          | CUSIP: 525245AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55402 | PA      | $52848.09     | 0.02%             | 2037-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                      | Sempra Energy                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9123.94      | 0.00%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36296UZG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10481 | PA      | $10727.18     | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-96401.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LANDWIRTSCH. RENTENBANK                            | Landwirtschaftliche Rentenbank                                                  | CUSIP: 000000000<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | CORP              | DE        |     291000 | PA      | $252783.02    | 0.08%             | 2029-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1155.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                            | HCA Inc                                                                         | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      64000 | PA      | $63613.34     | 0.02%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                             | General Motors Financial Co Inc                                                 | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96946.69     | 0.03%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140FHLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37023 | PA      | $33149.45     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                             | Commonwealth Bank of Australia                                                  | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     243000 | PA      | $201201.57    | 0.06%             | 2034-09-12      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                            | Duke Energy Florida LLC                                                         | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      30000 | PA      | $32106.92     | 0.01%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97256.45     | 0.03%             | 2027-03-11      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3232.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4847.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                     | Credit Acceptance Auto Loan Trust 2021-2                                        | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     316000 | PA      | $303895.68    | 0.10%             | 2030-02-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13355.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WPG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163754 | PA      | $153243.45    | 0.05%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBB TREASURY OYJ                                   | SBB Treasury Oyj                                                                | CUSIP: 000000000<br>LEI: 5493003HHOCW6FIMH724 | Long             | DBT              | CORP              | FI        |     190000 | PA      | $129500.63    | 0.04%             | 2028-12-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8501 | PA      | $7595.19      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                               | 225 Liberty Street Trust 2016-225L                                              | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137096 | PA      | $111088.64    | 0.04%             | 2036-02-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-112033.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     175000 | PA      | $137104.76    | 0.04%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382EW52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157251 | PA      | $15017.38     | 0.00%             | 2049-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      50000 | PA      | $40465.22     | 0.01%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1595.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                 | Vodafone Group PLC                                                              | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     275000 | PA      | $247645.39    | 0.08%             | 2030-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53110 | PA      | $49370.03     | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                  | HSBC Holdings PLC                                                               | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $207596.02    | 0.07%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       1000 | PA      | $1115.98      | 0.00%             | 2037-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                     | CarVal CLO II Ltd                                                               | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     472000 | PA      | $461901.94    | 0.15%             | 2032-04-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382ET31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54764 | PA      | $8700.29      | 0.00%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     185000 | PA      | $194258.58    | 0.06%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                           | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     214000 | PA      | $199853.89    | 0.06%             | 2025-03-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                              | Vale Overseas Ltd                                                               | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      12000 | PA      | $12384.75     | 0.00%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                             | CUSIP: 03027XAJ9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      57000 | PA      | $55587.37     | 0.02%             | 2026-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2413.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                           | European Investment Bank                                                        | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | N/A       |     422000 | PA      | $346912.48    | 0.11%             | 2036-09-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2208.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                  | Mountain View CLO 2016-1 LLC                                                    | CUSIP: 62432FAM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $677438.16    | 0.21%             | 2033-04-14      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1245160000 | PA      | $840856.67    | 0.27%             | 2029-12-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13572 | PA      | $13054.80     | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WFBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21173 | PA      | $19062.60     | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                            | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      60000 | PA      | $47911.80     | 0.02%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  145100000 | PA      | $954371.92    | 0.30%             | 2047-09-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                            | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     112000 | PA      | $89622.41     | 0.03%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13759 | PA      | $13853.26     | 0.00%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/IDR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2172.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-157.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                             | Republic of Poland Government Bond                                              | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     438000 | PA      | $82143.68     | 0.03%             | 2028-04-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | CDS CMBX.NA.BBB-.6                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-27796.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION INC                                     | AutoNation Inc                                                                  | CUSIP: 05329WAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      81000 | PA      | $73594.82     | 0.02%             | 2027-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $7829.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                             | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     425000 | PA      | $420641.56    | 0.13%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $8658.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                     | Starbucks Corp                                                                  | CUSIP: 855244BC2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85496.90     | 0.03%             | 2032-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72049.17     | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90689 | PA      | $81582.43     | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2019-R06                                    | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        787 | PA      | $785.48       | 0.00%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | HUF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4867.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID GAS PLC                              | National Grid Gas PLC                                                           | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $78587.59     | 0.02%             | 2033-01-14      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 74814ZFE8<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      70000 | PA      | $41837.09     | 0.01%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7564 | PA      | $7092.62      | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE                                  | Montreal Exchange 10 Year Canadian Bond                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         13 | NC      | $-28160.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     976000 | PA      | $383076.49    | 0.12%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                        | Swiss Confederation Government Bond                                             | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     258000 | PA      | $301024.21    | 0.10%             | 2027-06-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                           | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     174000 | PA      | $174411.67    | 0.06%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                 | Peru Government Bond                                                            | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     270000 | PA      | $56890.19     | 0.02%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade RE 2021-3 Ltd                                                        | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180876 | PA      | $171395.47    | 0.05%             | 2031-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $4390.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAND NORDRHEIN-WESTFALEN                           | State of North Rhine-Westphalia Germany                                         | CUSIP: 000000000<br>LEI: 529900VWPV1LPOHGJ702 | Long             | DBT              | NUSS              | DE        |     248000 | PA      | $193795.78    | 0.06%             | 2048-06-16      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $7241.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6373.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $19954.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EXELON CORP                                        | Exelon Corp                                                                     | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      60000 | PA      | $48256.10     | 0.02%             | 2052-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     505000 | PA      | $452211.72    | 0.14%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8447.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                      | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      87000 | PA      | $73387.06     | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61824 | PA      | $61809.89     | 0.02%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38378WUZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102355 | PA      | $10389.67     | 0.00%             | 2043-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YVEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64378 | PA      | $57793.14     | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8358.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-461.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-22286.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                            | Hungary Government Bond                                                         | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   20120000 | PA      | $47120.71     | 0.01%             | 2025-06-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CZK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $50.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIGMA ALIMENTOS SA                                 | Sigma Alimentos SA de CV                                                        | CUSIP: 000000000<br>LEI: 549300FW3RGHPHT21D10 | Long             | DBT              | CORP              | MX        |     300000 | PA      | $283743.75    | 0.09%             | 2026-05-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                           | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     152000 | PA      | $154908.03    | 0.05%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3300000 | PA      | $3280473.41   | 1.04%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133A2CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5889 | PA      | $5726.92      | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2943.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101260 | PA      | $86650.65     | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418AFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9554 | PA      | $9246.90      | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS BAYERISCHE MOTOREN WERKE AKTIENGESELLSCHAFT                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-8076.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      60000 | PA      | $48776.22     | 0.02%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-16593.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                             | Volkswagen International Finance NV                                             | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $98846.64     | 0.03%             | N/A             | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $5010.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-203.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     374332 | PA      | $325126.41    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | COP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $734.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                | Canadian Government Bond                                                        | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     191000 | PA      | $144815.81    | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     232000 | PA      | $217810.46    | 0.07%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HP INC                                             | HP Inc                                                                          | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     165000 | PA      | $155203.92    | 0.05%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                       | QUALCOMM Inc                                                                    | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     110000 | PA      | $117516.57    | 0.04%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                           | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $6805.15      | 0.00%             | 2051-12-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     108000 | PA      | $71746.70     | 0.02%             | 2053-06-22      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36180SNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8617 | PA      | $8103.73      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION              | IRS MYR                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-11040.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                     | PMT Credit Risk Transfer Trust 2019-3R                                          | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35888 | PA      | $34322.99     | 0.01%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      43000 | PA      | $38830.08     | 0.01%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                        | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-8912.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                              | Bank of Ireland Group PLC                                                       | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     204000 | PA      | $183570.10    | 0.06%             | 2031-08-11      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2906.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                | Dominion Energy Inc                                                             | CUSIP: 25746UDC0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     775000 | PA      | $772718.85    | 0.24%             | 2023-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-791435.10   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                      | AIB Group PLC                                                                   | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     185000 | PA      | $167413.01    | 0.05%             | 2027-11-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                  | CPPIB Capital Inc                                                               | CUSIP: 000000000<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    1133000 | PA      | $1064795.19   | 0.34%             | 2027-04-06      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-118747.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                  | CPPIB Capital Inc                                                               | CUSIP: 22411VAX6<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |     695000 | PA      | $659141.27    | 0.21%             | 2027-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     176000 | PA      | $155408.00    | 0.05%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                   | Bank of Montreal                                                                | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     330000 | PA      | $309147.19    | 0.10%             | 2027-01-26      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                              | Indonesia Government International Bond                                         | CUSIP: 455780DM5<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $196022.00    | 0.06%             | 2027-09-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                 | Ameren Illinois Co                                                              | CUSIP: 02361DAZ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |      65000 | PA      | $71494.51     | 0.02%             | 2052-12-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NZD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $702.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8692 | PA      | $8330.62      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9801 | PA      | $9400.62      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38375AN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56836 | PA      | $6521.37      | 0.00%             | 2040-01-16      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                             | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     184932 | PA      | $156961.04    | 0.05%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | EUR/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-31.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                           | Ford Motor Credit Co LLC                                                        | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194841.81    | 0.06%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELEC CO 0 CP 06/01/2023            | SAN DIEGO GAS & ELEC CO 0 CP 06/01/2023                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1198908.00   | 0.38%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7276.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OOREDOO INTL FINANCE                               | Ooredoo International Finance Ltd                                               | CUSIP: 74735KAA0<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     200000 | PA      | $171500.00    | 0.05%             | 2031-04-08      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                          | Hess Corp                                                                       | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      50000 | PA      | $54346.79     | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2839.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                           | Discovery Communications LLC                                                    | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      75000 | PA      | $56034.81     | 0.02%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                           | Petroleos de Venezuela SA                                                       | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |   11730000 | PA      | $351900.00    | 0.11%             | 2022-10-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132L62M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7798 | PA      | $7697.98      | 0.00%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      70000 | PA      | $72278.50     | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2430.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55467 | PA      | $5376.03      | 0.00%             | 2044-03-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                             | Commonwealth Bank of Australia                                                  | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     245000 | PA      | $200430.04    | 0.06%             | 2032-03-14      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10618.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7833.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138ENQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19976 | PA      | $19790.10     | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                              | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     236000 | PA      | $250147.31    | 0.08%             | 2025-07-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $33589.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                           | Occidental Petroleum Corp                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      75000 | PA      | $84692.76     | 0.03%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                            | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      75000 | PA      | $62734.38     | 0.02%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-11219.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3671.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   40750000 | PA      | $296624.79    | 0.09%             | 2036-12-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                               | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     114000 | PA      | $106559.93    | 0.03%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                        | Swedbank AB                                                                     | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     200000 | PA      | $191000.00    | 0.06%             | N/A             | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7578 | PA      | $7866.50      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -720000 | OU      | $-16751.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                             | Netherlands Government Bond                                                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      77000 | PA      | $64820.63     | 0.02%             | 2031-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                         | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      44000 | PA      | $36984.95     | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     525000 | PA      | $294620.62    | 0.09%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  114000000 | PA      | $840267.82    | 0.27%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36610 | PA      | $34965.35     | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                           | American Water Capital Corp                                                     | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      14000 | PA      | $10335.95     | 0.00%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5451000 | PA      | $5138419.22   | 1.63%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     250000 | PA      | $246941.74    | 0.08%             | 2034-05-23      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140L5F92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62382 | PA      | $51372.36     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                             | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBU3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     750000 | PA      | $744983.65    | 0.24%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLAND                                 | Republic of Poland Government International Bond                                | CUSIP: 857524AD4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     110000 | PA      | $112467.30    | 0.04%             | 2027-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON GROUP                                 | CK Hutchison Group Telecom Finance SA                                           | CUSIP: 000000000<br>LEI: 254900OM17Q9YNDIUG82 | Long             | DBT              | CORP              | LU        |     235000 | PA      | $208148.12    | 0.07%             | 2028-10-17      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                | Consumers Energy Co                                                             | CUSIP: 210518DP8<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      35000 | PA      | $31835.62     | 0.01%             | 2032-08-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                               | Colombian TES                                                                   | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  703000000 | PA      | $109299.61    | 0.03%             | 2027-11-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1799.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     504000 | PA      | $411052.28    | 0.13%             | 2031-04-30      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/TWD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-359.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1208.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379MNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51659 | PA      | $7720.14      | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      95000 | PA      | $70035.35     | 0.02%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     223280 | PA      | $121767.56    | 0.04%             | 2050-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-37260.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1066.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-79.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137AR2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54503 | PA      | $6406.60      | 0.00%             | 2042-06-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust 2020-4                                               | CUSIP: 33845XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4678 | PA      | $4671.34      | 0.00%             | 2025-04-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     135000 | PA      | $108005.40    | 0.03%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                               | Entegris Escrow Corp                                                            | CUSIP: 29365BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     177000 | PA      | $161890.58    | 0.05%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 000000000<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |    1421000 | PA      | $1265967.68   | 0.40%             | 2028-05-19      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 000000000<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     257000 | PA      | $248320.68    | 0.08%             | 2027-05-04      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65951 | PA      | $66177.92     | 0.02%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                       | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-742.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3268.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                              | Palmer Square CLO 2021-4 Ltd                                                    | CUSIP: 69702EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243659.35    | 0.08%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade Re 2019-3 Ltd                                                        | CUSIP: 07877GAB5<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |      20850 | PA      | $20839.92     | 0.01%             | 2029-07-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $17149.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -420000 | OU      | $-17475.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3229 | PA      | $3114.77      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                   | Crown Castle Inc                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      45000 | PA      | $40962.90     | 0.01%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24719 | PA      | $22124.86     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11913.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                            | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DV7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32528.35     | 0.01%             | 2042-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-84185.62    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      15478 | PA      | $15708.63     | 0.00%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                     | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366EQ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     105000 | PA      | $111652.88    | 0.04%             | 2031-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                             | Netherlands Government Bond                                                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     976000 | PA      | $671621.99    | 0.21%             | 2038-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22049 | PA      | $19008.04     | 0.01%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STONEGATE PUB FIN                                  | Stonegate Pub Co Financing 2019 PLC                                             | CUSIP: 000000000<br>LEI: 254900L5266ML3505282 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $109010.42    | 0.03%             | 2025-07-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                       | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      75000 | PA      | $58908.77     | 0.02%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     165000 | PA      | $161086.29    | 0.05%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                             | Republic of Poland Government Bond                                              | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     961000 | PA      | $189491.17    | 0.06%             | 2026-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                               | Volkswagen Bank GmbH                                                            | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $410888.42    | 0.13%             | 2024-06-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $105.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                      | Carnival Corp                                                                   | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     114000 | PA      | $92529.24     | 0.03%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42331 | PA      | $44201.87     | 0.01%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138ENTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9562 | PA      | $9331.73      | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     317000 | PA      | $394910.55    | 0.12%             | 2046-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                                          | Orange SA                                                                       | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $179595.73    | 0.06%             | 2032-04-07      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5676.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                 | Boston Gas Co                                                                   | CUSIP: 100743AL7<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     137000 | PA      | $117823.36    | 0.04%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | IDR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1723.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $13426.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1154.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211800 | PA      | $189610.77    | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                               | Booking Holdings Inc                                                            | CUSIP: 09857LAV0<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     285000 | PA      | $305793.66    | 0.10%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     754000 | PA      | $775178.44    | 0.25%             | 2024-05-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3047.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     142000 | PA      | $133494.19    | 0.04%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    5071000 | PA      | $173544.67    | 0.05%             | 2044-06-29      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $7779.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                           | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30760.04     | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                               | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     211000 | PA      | $174457.15    | 0.06%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    -390000 | OU      | $-15790.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1798.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140K0E38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5818 | PA      | $5660.24      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                            | Office Properties Income Trust                                                  | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     152000 | PA      | $102461.64    | 0.03%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Nassau LTD                                         | Nassau 2019-II Ltd                                                              | CUSIP: 63172WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     355000 | PA      | $344705.00    | 0.11%             | 2032-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                             | Anglo American Capital PLC                                                      | CUSIP: 000000000<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     235000 | PA      | $245711.41    | 0.08%             | 2032-09-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                            | International Bank for Reconstruction & Development                             | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     140000 | PA      | $127501.66    | 0.04%             | 2028-04-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                         | Fiserv Inc                                                                      | CUSIP: 337738AY4<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     225000 | PA      | $198609.75    | 0.06%             | 2030-07-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-50813.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     162000 | PA      | $149540.59    | 0.05%             | 2027-10-29      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     130000 | PA      | $125117.04    | 0.04%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $108213.80    | 0.03%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140Q8QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164784 | PA      | $152680.82    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                    | Weyerhaeuser Co                                                                 | CUSIP: 962166CB8<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |      25000 | PA      | $18950.07     | 0.01%             | 2052-03-09      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                  | CF Industries Inc                                                               | CUSIP: 12527GAE3<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      85000 | PA      | $76264.36     | 0.02%             | 2044-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS KRW                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $47557.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                            | Philippine Government International Bond                                        | CUSIP: 718286BZ9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $170022.00    | 0.05%             | 2040-01-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-209438.53   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2649000 | PA      | $1743373.13   | 0.55%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36184LF59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10788 | PA      | $10719.55     | 0.00%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                      | Radnor RE 2019-2 Ltd                                                            | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      25523 | PA      | $25493.58     | 0.01%             | 2029-06-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| DNB BOLIGKREDITT AS                                | DNB Boligkreditt AS                                                             | CUSIP: 000000000<br>LEI: 5967007LIEEXZX659K67 | Long             | DBT              | CORP              | NO        |     138000 | PA      | $138378.88    | 0.04%             | 2025-06-19      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                | Virgin Money UK PLC                                                             | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $240639.08    | 0.08%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                     | Alternative Loan Trust 2007-16CB                                                | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44710 | PA      | $29715.02     | 0.01%             | 2037-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4555.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                     | CFMT 2021-AL1 LLC                                                               | CUSIP: 12529UAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     232843 | PA      | $220914.08    | 0.07%             | 2031-09-22      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/PHP FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1755.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X6ZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155876 | PA      | $152818.78    | 0.05%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1495.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                            | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      35000 | PA      | $27329.21     | 0.01%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140JNRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40998 | PA      | $39091.53     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     270000 | PA      | $222058.83    | 0.07%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                           | Discovery Communications LLC                                                    | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      80000 | PA      | $60636.50     | 0.02%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     168841 | PA      | $131449.86    | 0.04%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31419A3Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17593 | PA      | $18338.08     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                           | Thermo Fisher Scientific Inc                                                    | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     410000 | PA      | $425383.32    | 0.13%             | 2034-11-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                             | Logicor Financing Sarl                                                          | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     130000 | PA      | $116928.36    | 0.04%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-0.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $556.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                             | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $89482.17     | 0.03%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     993781 | PA      | $964197.02    | 0.31%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                           | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $120417.46    | 0.04%             | 2031-07-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216024 | PA      | $177177.43    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-64592.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST                                | OMERS Finance Trust                                                             | CUSIP: 682142AG9<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | NUSS              | CA        |     635000 | PA      | $574335.47    | 0.18%             | 2032-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -69 | NC      | $22889.77     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1232000 | PA      | $1174476.22   | 0.37%             | 2027-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                  | National Grid PLC                                                               | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $259980.11    | 0.08%             | 2028-09-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      95000 | PA      | $67064.47     | 0.02%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CADENT FINANCE PLC                                 | Cadent Finance PLC                                                              | CUSIP: 000000000<br>LEI: 5493005M8TJ0J6IMUF67 | Long             | DBT              | CORP              | GB        |     155000 | PA      | $130049.68    | 0.04%             | 2030-03-19      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | SEK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $702.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                            | Japan Finance Organization for Municipalities                                   | CUSIP: 000000000<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |     460000 | PA      | $429359.21    | 0.14%             | 2027-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 312946JS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38176 | PA      | $37888.07     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $24299.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                | Province of Alberta Canada                                                      | CUSIP: 01306ZCV1<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |     296000 | PA      | $205411.76    | 0.07%             | 2029-09-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-24438.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374635 | PA      | $305892.33    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                  | Israel Government Bond - Fixed                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     999000 | PA      | $265370.14    | 0.08%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27456 | PA      | $27248.50     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     143000 | PA      | $101388.80    | 0.03%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                           | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8944.06      | 0.00%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD SPECIAL INVEST                     | MT LOGAN RE LTD SPECIAL INVEST                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        474 | NS      | $402208.06    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | THB/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14140.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     216000 | PA      | $203655.83    | 0.06%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62843 | PA      | $58310.74     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA REVENUES                     | University of California                                                        | CUSIP: 91412HGF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     175000 | PA      | $151290.85    | 0.05%             | 2027-05-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                     | IndyMac INDX Mortgage Loan Trust 2006-AR8                                       | CUSIP: 456618AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18502 | PA      | $19751.43     | 0.01%             | 2046-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     305000 | PA      | $225618.36    | 0.07%             | 2057-07-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                      | Aircastle Ltd                                                                   | CUSIP: 00928QAP6<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |       8000 | PA      | $7987.64      | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                             | Commonwealth Bank of Australia                                                  | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     345000 | PA      | $293742.15    | 0.09%             | 2029-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                             | Boston Scientific Corp                                                          | CUSIP: 000000000<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     165000 | PA      | $151717.93    | 0.05%             | 2027-12-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                             | Netherlands Government Bond                                                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     254000 | PA      | $243864.72    | 0.08%             | 2027-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 000000000<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |     424000 | PA      | $288697.23    | 0.09%             | 2041-05-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-41538.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     306000 | PA      | $268264.84    | 0.08%             | 2038-06-22      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55096.32     | 0.02%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON INC                            | Consolidated Edison Inc                                                         | CUSIP: 209115AE4<br>LEI: 54930033SBW53OO8T749 | Long             | DBT              | CORP              | US        |     800000 | PA      | $768434.39    | 0.24%             | 2023-12-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $101258.63    | 0.03%             | 2027-12-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     760000 | PA      | $675687.50    | 0.21%             | 2027-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                                  | Bon Secours Mercy Health Inc                                                    | CUSIP: 09778PAB1<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |      72000 | PA      | $55883.80     | 0.02%             | 2031-06-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3107.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X4RK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322161 | PA      | $315855.81    | 0.10%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                                 | Valero Energy Corp                                                              | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |      54000 | PA      | $57730.18     | 0.02%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      25000 | PA      | $23800.34     | 0.01%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33808 | PA      | $32432.71     | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171950 | PA      | $171909.13    | 0.05%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          1 | NC      | $-6632.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL Discount 01-03-23             | EDISON INTERNATIONAL Discount 01-03-23                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1451000 | PA      | $1450255.00   | 0.46%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     856000 | PA      | $1022099.78   | 0.32%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                           | Anheuser-Busch InBev SA/NV                                                      | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     105000 | PA      | $109678.16    | 0.03%             | 2026-03-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                | General Electric Co                                                             | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $110818.74    | 0.04%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         23 | NC      | $-103969.14   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EQ6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15508 | PA      | $15196.95     | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161422 | PA      | $144434.66    | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                           | EQT Corp                                                                        | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30080.55     | 0.01%             | 2025-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                     | Air Lease Corp                                                                  | CUSIP: 00912XBC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     327000 | PA      | $324191.20    | 0.10%             | 2023-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     188000 | PA      | $128256.22    | 0.04%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                           | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      64000 | PA      | $61257.14     | 0.02%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 2608560000 | PA      | $1947612.16   | 0.62%             | 2027-03-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      55000 | PA      | $49222.52     | 0.02%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac Stacr Remic Trust 2020-DNA1                                         | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |       6189 | PA      | $6169.50      | 0.00%             | 2050-01-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                           | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57548.99     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                           | Comision Federal de Electricidad                                                | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $175975.00    | 0.06%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         12 | NC      | $-115690.55   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      14000 | PA      | $12366.51     | 0.00%             | 2029-03-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502958 | PA      | $467541.66    | 0.15%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4433.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIMINI BIDCO SPA                                   | Rimini Bidco SpA                                                                | CUSIP: 000000000<br>LEI: 815600E0EAFAEE1B3F69 | Long             | DBT              | CORP              | IT        |     180000 | PA      | $170723.07    | 0.05%             | 2026-12-14      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                              | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      75000 | PA      | $76337.58     | 0.02%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                 | Finland Government Bond                                                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     220000 | PA      | $203800.83    | 0.06%             | 2032-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1206.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $589.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97763 | PA      | $75529.68     | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                          | Prosus NV                                                                       | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $126850.00    | 0.04%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                             | General Motors Financial Co Inc                                                 | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     277000 | PA      | $240443.79    | 0.08%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                       | ING Groep NV                                                                    | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $248766.20    | 0.08%             | 2030-02-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34643 | PA      | $33794.30     | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-18033.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $23404.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                  | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9094.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9115.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3111.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSX CORP                                           | CSX Corp                                                                        | CUSIP: 126408HU0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     150000 | PA      | $140509.74    | 0.04%             | 2032-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WE4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15252 | PA      | $14589.71     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-8545.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                              | Province of Ontario Canada                                                      | CUSIP: 68333ZAE7<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     421000 | PA      | $289811.39    | 0.09%             | 2029-06-02      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-80.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5664.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                          | Ashford Hospitality Trust 2018-KEYS                                             | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209000 | PA      | $201197.90    | 0.06%             | 2035-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                          | Amgen Inc                                                                       | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92796.51     | 0.03%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                         | MasTec Inc                                                                      | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     145000 | PA      | $129980.78    | 0.04%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169154 | PA      | $155372.22    | 0.05%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      72000 | PA      | $70699.75     | 0.02%             | 2026-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                  | TenneT Holding BV                                                               | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |     125000 | PA      | $140963.32    | 0.04%             | 2042-10-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1046.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-85128.91    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-29274.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27989 | PA      | $26923.20     | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $847.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         66 | NC      | $-584178.64   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| GLENCORE CAP FIN DAC                               | Glencore Capital Finance DAC                                                    | CUSIP: 000000000<br>LEI: 213800HCUCI1HC7X6Q34 | Long             | DBT              | CORP              | IE        |     183000 | PA      | $161219.40    | 0.05%             | 2028-03-10      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-29837.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP                                       | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78237.36     | 0.02%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                 | Energy Transfer LP                                                              | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      41000 | PA      | $40749.05     | 0.01%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $40466.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                         | Allianz SE                                                                      | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $86210.30     | 0.03%             | 2050-07-08      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | THB/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14516.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $154072.00    | 0.05%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15312.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2332.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORWEGIAN GOVERNMENT                               | Norway Government Bond                                                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    1526000 | PA      | $148269.71    | 0.05%             | 2026-02-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1813.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $684.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6241.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14023.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8074 | PA      | $8216.70      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24906 | PA      | $23877.97     | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| L Street Securities                                | JP Morgan Madison Avenue Securities Trust Series 2014-1                         | CUSIP: 46643HAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15539 | PA      | $14980.29     | 0.00%             | 2024-11-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                        | PepsiCo Inc                                                                     | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      35000 | PA      | $33097.12     | 0.01%             | 2032-07-18      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3622A2JQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19870 | PA      | $19248.29     | 0.01%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      47000 | PA      | $28844.01     | 0.01%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SC FNCE I                            | Thermo Fisher Scientific Finance I BV                                           | CUSIP: 000000000<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |     160000 | PA      | $138315.52    | 0.04%             | 2030-10-18      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     107000 | PA      | $102585.11    | 0.03%             | 2026-04-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      36856 | PA      | $38108.40     | 0.01%             | 2028-09-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136BBWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434561 | PA      | $252345.32    | 0.08%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $21010.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1609000 | PA      | $1513465.63   | 0.48%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                              | Wells Fargo & Co                                                                | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     231000 | PA      | $230090.36    | 0.07%             | 2026-04-27      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36183V2T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9235 | PA      | $8250.82      | 0.00%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132QP5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28603 | PA      | $25756.52     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $24495.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                              | Japan Government Forty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  161150000 | PA      | $982810.55    | 0.31%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEDER WATERSCHAPSBANK                              | Nederlandse Waterschapsbank NV                                                  | CUSIP: 000000000<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |    1569000 | PA      | $1492835.46   | 0.47%             | 2026-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                           | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      20000 | PA      | $13356.33     | 0.00%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE                                  | Montreal Exchange 5 Year Canadian Bond                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         -3 | NC      | $1914.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -6 | NC      | $29182.57     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      45000 | PA      | $39252.73     | 0.01%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2228.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6154.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                             | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     245000 | PA      | $245786.00    | 0.08%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                       | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     110000 | PA      | $70096.42     | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       1000 | PA      | $739.50       | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253428 | PA      | $206501.06    | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193318 | PA      | $157878.37    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                              | Southwest Airlines Co                                                           | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |      43000 | PA      | $35585.87     | 0.01%             | 2030-02-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136A7NR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40592 | PA      | $3428.56      | 0.00%             | 2042-07-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2020-HQA4                                         | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135000 | PA      | $137868.41    | 0.04%             | 2050-09-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132KE7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43502 | PA      | $41662.89     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      59000 | PA      | $43818.65     | 0.01%             | 2117-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8101 | PA      | $7957.73      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36188 | PA      | $34594.43     | 0.01%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KFW                                                | Kreditanstalt fuer Wiederaufbau                                                 | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     559000 | PA      | $379405.79    | 0.12%             | 2026-02-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                            | MPLX LP                                                                         | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     139000 | PA      | $131585.65    | 0.04%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                            | Principal Financial Group Inc                                                   | CUSIP: 74251VAS1<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     188000 | PA      | $153613.32    | 0.05%             | 2030-06-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                    | OEC Finance Ltd                                                                 | CUSIP: 67614CAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1162580 | PA      | $28192.56     | 0.01%             | 2046-12-26      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/PHP FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1628.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                             | Mizuho Financial Group Inc                                                      | CUSIP: 60687YAX7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $171098.58    | 0.05%             | 2030-07-16      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     122000 | PA      | $103121.66    | 0.03%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7813.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     321000 | PA      | $278715.99    | 0.09%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379MNM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46098 | PA      | $4574.87      | 0.00%             | 2045-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $433.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS ITRAXX.EUR.38.V1                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-8416.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144605 | PA      | $128508.41    | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2269.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6745.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                     | RALI Series 2006-QO10 Trust                                                     | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56621 | PA      | $47130.87     | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154717 | PA      | $144322.77    | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                            | Romania Government Bond                                                         | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     325000 | PA      | $70107.89     | 0.02%             | 2032-09-29      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6060.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS ITRAXX.EU.XO.38.V1                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-4613.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ODEBRECHT HOLDCO FIN LTD                           | Odebrecht Holdco Finance Ltd                                                    | CUSIP: 67577TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1223756 | PA      | $1468.51      | 0.00%             | 2058-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                            | Imperial Brands Finance PLC                                                     | CUSIP: 000000000<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $103739.56    | 0.03%             | 2026-02-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138XSP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13926 | PA      | $13339.06     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WQKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15371 | PA      | $14378.17     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4646.49      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                | Synchrony Financial                                                             | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     192000 | PA      | $143085.82    | 0.05%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244732 | PA      | $229567.90    | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    1285000 | PA      | $1058244.64   | 0.33%             | 2032-06-22      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-687.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                   | Altria Group Inc                                                                | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     203000 | PA      | $179345.32    | 0.06%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-12791.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FCC AQUALIA SA                                     | FCC Aqualia SA                                                                  | CUSIP: 000000000<br>LEI: 959800BYDMFZGPTXHN28 | Long             | DBT              | CORP              | ES        |     183000 | PA      | $178267.27    | 0.06%             | 2027-06-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1754 | PA      | $1752.17      | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-24755.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                           | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     445000 | PA      | $451062.32    | 0.14%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                               | New England Power Co                                                            | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |      87000 | PA      | $53177.85     | 0.02%             | 2050-10-06      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                     | Alternative Loan Trust 2005-50CB                                                | CUSIP: 12668ALH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17866 | PA      | $14558.64     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $960.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | SEK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1268.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA                            | JPMorgan Chase Bank NA                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        | 2772000000 | PA      | $177517.95    | 0.06%             | 2027-05-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WEMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9082 | PA      | $8262.72      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                  | ITC Holdings Corp                                                               | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      25000 | PA      | $24697.92     | 0.01%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69998 | PA      | $63893.57     | 0.02%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                           | BX Trust 2022-PSB                                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197713 | PA      | $197323.54    | 0.06%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                           | Microchip Technology Inc                                                        | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     625000 | PA      | $622158.49    | 0.20%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RJU7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     102000 | PA      | $96740.59     | 0.03%             | 2028-05-19      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4202.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140GQ4C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18142 | PA      | $16784.30     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    3596000 | PA      | $3567582.04   | 1.13%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    2409000 | PA      | $80257.05     | 0.03%             | 2029-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137FWXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161719 | PA      | $24904.18     | 0.01%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                           | Province of British Columbia Canada                                             | CUSIP: 110709FL1<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     119000 | PA      | $92144.80     | 0.03%             | 2037-06-18      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                       | CaixaBank SA                                                                    | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $100019.64    | 0.03%             | 2025-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133A1B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124527 | PA      | $115754.99    | 0.04%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                               | Colombia Government International Bond                                          | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     215000 | PA      | $189777.81    | 0.06%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                           | Constellation Brands Inc                                                        | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95842.09     | 0.03%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 74814ZFB4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     350000 | PA      | $247345.83    | 0.08%             | 2027-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8998.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-24902.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                           | Terraform Global Operating LP                                                   | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18622.92     | 0.01%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XA6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79277 | PA      | $70715.62     | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XAA77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344676 | PA      | $307453.91    | 0.10%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-94714.76    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     155000 | PA      | $151186.62    | 0.05%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     460317 | PA      | $411403.92    | 0.13%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                            | Wintershall Dea Finance BV                                                      | CUSIP: 000000000<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $157667.12    | 0.05%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70132 | PA      | $58973.61     | 0.02%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                            | International Bank for Reconstruction & Development                             | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     105000 | PA      | $68360.57     | 0.02%             | 2026-10-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS ZAR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3192.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140MYAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322713 | PA      | $318791.45    | 0.10%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                   | CIFC Funding 2018-I Ltd                                                         | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |     355000 | PA      | $349501.72    | 0.11%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    -580000 | OU      | $-946.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                             | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     130000 | PA      | $131592.32    | 0.04%             | 2025-10-28      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC 0 CP 01/02/2023             | CENTERPOINT ENERGY INC 0 CP 01/02/2023                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1443721.02   | 0.46%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                           | British Telecommunications PLC                                                  | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |      66000 | PA      | $79117.50     | 0.03%             | 2030-12-15      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     336000 | PA      | $218446.30    | 0.07%             | 2042-07-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       6000 | PA      | $4052.51      | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31335CB60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165202 | PA      | $153340.17    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| iShares Core U.S. Aggregate Bond ETF               | iShares Core U.S. Aggregate Bond ETF                                            | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             | EC               | RF                | US        |      46792 | NS      | $4538356.08   | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     125000 | PA      | $118808.38    | 0.04%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIKA SLOVENIJA                                | Slovenia Government Bond                                                        | CUSIP: 000000000<br>LEI: 485100000LWQHIX4XX88 | Long             | DBT              | NUSS              | SI        |      48000 | PA      | $44035.06     | 0.01%             | 2045-08-07      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-31466.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58982 | PA      | $56494.93     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5687.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          5 | NC      | $-33555.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                           | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42795.57     | 0.01%             | 2048-10-06      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      53000 | PA      | $35879.17     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $24930.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $37483.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                      | Exeter Automobile Receivables Trust 2020-1                                      | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     347154 | PA      | $340349.84    | 0.11%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                             | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     119000 | PA      | $92471.54     | 0.03%             | 2028-05-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     357000 | PA      | $348594.00    | 0.11%             | 2032-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     227000 | PA      | $132731.11    | 0.04%             | 2051-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $662.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                 | Sweden Government Bond                                                          | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    4320000 | PA      | $343434.09    | 0.11%             | 2031-05-12      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087L69<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     341000 | PA      | $239722.50    | 0.08%             | 2024-04-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                          | Apple Inc                                                                       | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      24000 | PA      | $15399.61     | 0.00%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                     | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33510.12     | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30244 | PA      | $28968.74     | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                            | Bayer US Finance II LLC                                                         | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     243000 | PA      | $235976.26    | 0.07%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58969 | PA      | $52769.09     | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF PERU                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-697.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35611 | PA      | $33038.71     | 0.01%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XBFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160741 | PA      | $142851.28    | 0.05%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4565.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                   | TotalEnergies SE                                                                | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |     235000 | PA      | $203676.09    | 0.06%             | N/A             | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                              | Province of Ontario Canada                                                      | CUSIP: 68323ADP6<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     243000 | PA      | $227514.39    | 0.07%             | 2026-04-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                        | PepsiCo Inc                                                                     | CUSIP: 713448FN3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4580.21      | 0.00%             | 2052-07-18      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2996.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140F5A37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94333 | PA      | $84376.52     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                        | Corp Nacional del Cobre de Chile                                                | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $175787.50    | 0.06%             | 2030-01-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | MYR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-18984.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON                            | Bank of New York Mellon/The                                                     | CUSIP: 06405LAC5<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249790.81    | 0.08%             | 2025-11-21      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      15000 | PA      | $9732.79      | 0.00%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                      | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     247000 | PA      | $210964.73    | 0.07%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/THB FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-26541.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3622A2TK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35420 | PA      | $36108.99     | 0.01%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     227000 | PA      | $199535.95    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                  | NatWest Group PLC                                                               | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $378221.22    | 0.12%             | 2030-08-14      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41220 | PA      | $3621.48      | 0.00%             | 2049-01-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1984.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                  | Suncor Energy Inc                                                               | CUSIP: 86722TAB8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     128000 | PA      | $134669.16    | 0.04%             | 2039-06-01      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                           | Southwestern Public Service Co                                                  | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |      74000 | PA      | $64726.32     | 0.02%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNG BANK NV                                        | BNG Bank NV                                                                     | CUSIP: 000000000<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |     135000 | PA      | $125446.65    | 0.04%             | 2029-01-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74642 | PA      | $63567.91     | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                     | Home Depot Inc/The                                                              | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     175000 | PA      | $155559.73    | 0.05%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 74814ZER0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     212000 | PA      | $137931.13    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                            | Hyundai Capital America                                                         | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     400000 | PA      | $346335.44    | 0.11%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     403000 | PA      | $245086.73    | 0.08%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                             | Standard Chartered PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     319000 | PA      | $276950.15    | 0.09%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/DKK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10960.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                 | Finland Government Bond                                                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     180000 | PA      | $183361.02    | 0.06%             | 2025-09-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137AFUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173451 | PA      | $12098.22     | 0.00%             | 2041-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  108250000 | PA      | $649137.08    | 0.21%             | 2050-09-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRMV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34612 | PA      | $32248.34     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31292LNZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15186 | PA      | $14599.60     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                 | Panama Government International Bond                                            | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     400000 | PA      | $405700.00    | 0.13%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82823 | PA      | $78548.97     | 0.02%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS AUD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-8473.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140FTAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28529 | PA      | $27273.19     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                     | Eli Lilly & Co                                                                  | CUSIP: 532457BY3<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      15000 | PA      | $9452.13      | 0.00%             | 2050-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    -580000 | OU      | $-17127.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE PIPELINES INC                             | Enbridge Pipelines Inc                                                          | CUSIP: 29250ZAZ1<br>LEI: 549300I7CU6YE54FMU33 | Long             | DBT              | CORP              | CA        |      54000 | PA      | $33190.47     | 0.01%             | 2031-05-12      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                           | Baxter International Inc                                                        | CUSIP: 071813CE7<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144268.07    | 0.05%             | 2023-12-01      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WE3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18323 | PA      | $17179.24     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING Discount 01-12-23             | PENSKE TRUCK LEASING Discount 01-12-23                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1098130.67   | 0.35%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43769 | PA      | $42105.85     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      23000 | PA      | $20125.72     | 0.01%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $622.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-212.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                            | Eni SpA                                                                         | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     150000 | PA      | $132858.77    | 0.04%             | N/A             | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                 | Braskem Idesa SAPI                                                              | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $142500.00    | 0.05%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                    | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1376543 | PA      | $1290415.05   | 0.41%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33217 | PA      | $32538.62     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6082.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                         | Affirm Asset Securitization Trust 2021-Z2                                       | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     254498 | PA      | $243473.82    | 0.08%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-277.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                     | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366EP1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      60000 | PA      | $68286.02     | 0.02%             | 2048-05-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-29275.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                           | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     115000 | PA      | $101625.23    | 0.03%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                               | Western Digital Corp                                                            | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      68000 | PA      | $52591.12     | 0.02%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                     | Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS                 | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39288 | PA      | $35697.04     | 0.01%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $506.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADANI TRANS STEP-ONE LTD                           | Adani Transmission Step-One Ltd                                                 | CUSIP: 000000000<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |     200000 | PA      | $177812.00    | 0.06%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-65798.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $19159.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                | Canadian Government Bond                                                        | CUSIP: 135087N67<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     320000 | PA      | $221772.22    | 0.07%             | 2029-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL Discount 01-27-23              | GENERAL MOTORS FINL Discount 01-27-23                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     480000 | PA      | $478155.36    | 0.15%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229639 | PA      | $196088.65    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24050 | PA      | $18573.50     | 0.01%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                           | Lloyds Banking Group PLC                                                        | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $212290.80    | 0.07%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $287.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                     | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              | CORP              | US        |          1 | NC      | $710.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5749.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  102750000 | PA      | $608298.40    | 0.19%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                     | CWABS Asset-Backed Certificates Trust 2007-BC1                                  | CUSIP: 12668TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81639 | PA      | $76111.11     | 0.02%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                           | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $112943.93    | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     166000 | PA      | $103017.60    | 0.03%             | 2025-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 9128282U3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     497000 | PA      | $475256.25    | 0.15%             | 2024-08-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     104000 | PA      | $97142.29     | 0.03%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                             | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    1050000 | PA      | $475683.74    | 0.15%             | 2051-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EURO STABILITY MECHANISM                           | European Stability Mechanism                                                    | CUSIP: 000000000<br>LEI: 222100W4EEAQ77386N50 | Long             | DBT              | NUSS              | N/A       |     265000 | PA      | $252074.20    | 0.08%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                           | Enel SpA                                                                        | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     263000 | PA      | $221934.15    | 0.07%             | N/A             | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 748149AN1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     234000 | PA      | $219241.18    | 0.07%             | 2027-04-12      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     148271 | PA      | $137901.04    | 0.04%             | 2041-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BNG BANK NV                                        | BNG Bank NV                                                                     | CUSIP: 000000000<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |     581000 | PA      | $377278.56    | 0.12%             | 2027-07-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                             | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAL7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107221.15    | 0.03%             | 2052-11-22      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1806.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-345.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IBERDROLA INTL BV                                  | Iberdrola International BV                                                      | CUSIP: 000000000<br>LEI: 549300ZMLFJKWC63XN87 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $90640.62     | 0.03%             | N/A             | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24288 | PA      | $23815.03     | 0.01%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $21051.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION          | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -400000 | OU      | $-19922.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $31.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     300000 | PA      | $327830.35    | 0.10%             | 2026-04-28      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1787.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133KPUP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99088 | PA      | $97717.50     | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-33943.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                 | Denmark Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     944000 | PA      | $168208.60    | 0.05%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | IDR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10029.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                           | American Water Capital Corp                                                     | CUSIP: 03040WAY1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     105000 | PA      | $86262.57     | 0.03%             | 2031-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      15234 | PA      | $15309.62     | 0.00%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL FIN                              | Thames Water Utilities Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $126987.50    | 0.04%             | 2028-11-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4821.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $75203.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                            | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     235000 | PA      | $223753.45    | 0.07%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167775 | PA      | $157639.89    | 0.05%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     360000 | PA      | $276809.90    | 0.09%             | 2041-10-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $526.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13920 | PA      | $14435.11     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3377.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9563.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXELON CORP                                        | Exelon Corp                                                                     | CUSIP: 30161NAV3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      53000 | PA      | $44946.35     | 0.01%             | 2046-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     214000 | PA      | $120206.68    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $159000.00    | 0.05%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53990 | PA      | $4278.69      | 0.00%             | 2049-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $388.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                    | Danske Bank A/S                                                                 | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     200000 | PA      | $174227.38    | 0.06%             | 2029-06-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                               | Western Digital Corp                                                            | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     172000 | PA      | $123682.03    | 0.04%             | 2032-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust 2021-1                                               | CUSIP: 33843WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      62614 | PA      | $62294.20     | 0.02%             | 2025-06-16      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                               | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     114000 | PA      | $112042.01    | 0.04%             | 2024-03-12      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     234000 | PA      | $221326.49    | 0.07%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-412.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                            | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     109000 | PA      | $90690.47     | 0.03%             | N/A             | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade Re 2019-1 Ltd                                                        | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |       9146 | PA      | $9142.17      | 0.00%             | 2029-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EP6F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37051 | PA      | $35582.13     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54664 | PA      | $50714.47     | 0.02%             | 2036-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $452.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                             | Boston Scientific Corp                                                          | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |      26000 | PA      | $22306.05     | 0.01%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                     | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     140000 | PA      | $81396.20     | 0.03%             | 2051-07-06      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1296.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      35000 | PA      | $23854.11     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4793.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57078.05     | 0.02%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                        | Bell Telephone Co of Canada or Bell Canada/The                                  | CUSIP: 07813ZCG7<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |      31000 | PA      | $19661.19     | 0.01%             | 2031-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      95000 | PA      | $64425.43     | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WEU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22038 | PA      | $21084.19     | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $367958.59    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS                                 | Vivion Investments Sarl                                                         | CUSIP: 000000000<br>LEI: 529900SJ7X71ESJK9N76 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $164299.62    | 0.05%             | 2024-08-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87609 | PA      | $81813.92     | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41252 | PA      | $40028.08     | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                     | BBCMS Mortgage Trust 2022-C17                                                   | CUSIP: 054976AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $235601.18    | 0.07%             | 2055-09-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                    | Dollar Tree Inc                                                                 | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |      94000 | PA      | $91801.64     | 0.03%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                            | Halsey Point CLO I Ltd                                                          | CUSIP: 406375AA3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |     591000 | PA      | $581066.71    | 0.18%             | 2033-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 3678420000 | PA      | $2863634.70   | 0.91%             | 2025-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                   | Duke Energy Corp                                                                | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      65000 | PA      | $62694.97     | 0.02%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                           | International Flavors & Fragrances Inc                                          | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      70000 | PA      | $61890.03     | 0.02%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5152.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89895 | PA      | $88141.66     | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11156.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      64000 | PA      | $50742.38     | 0.02%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SGD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $25635.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XFUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65838 | PA      | $58087.61     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96022 | PA      | $92434.33     | 0.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                       | Comcast Corp                                                                    | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      55000 | PA      | $55748.46     | 0.02%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          2 | NC      | $-38367.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16095 | PA      | $14188.15     | 0.00%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                            | Ireland Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      50000 | PA      | $41296.36     | 0.01%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                               | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 3544000000 | PA      | $218939.18    | 0.07%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   20300000 | PA      | $133952.02    | 0.04%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2022-R02                                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255972 | PA      | $241185.01    | 0.08%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13519.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                   | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     227000 | PA      | $185589.20    | 0.06%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| ROYALTY PHARMA PLC                                 | Royalty Pharma PLC                                                              | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      95000 | PA      | $71947.86     | 0.02%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                | Elevance Health Inc                                                             | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     146000 | PA      | $109915.06    | 0.03%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | CZK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11331.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18784 | PA      | $18499.43     | 0.01%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-39919.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SGD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1710.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  135280000 | PA      | $97955.06     | 0.03%             | 2026-12-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -81 | NC      | $237071.60    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8880 | PA      | $8670.87      | 0.00%             | 2030-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                           | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $349218.90    | 0.11%             | N/A             | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                           | European Investment Bank                                                        | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | N/A       |     280000 | PA      | $162221.02    | 0.05%             | 2027-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      76000 | PA      | $57992.97     | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                     | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80086.98     | 0.03%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                     | AutoNation Inc                                                                  | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      21000 | PA      | $18792.05     | 0.01%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -380000 | OU      | $-18832.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                     | Eli Lilly & Co                                                                  | CUSIP: 532457BV9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      55000 | PA      | $51529.90     | 0.02%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $90289.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | TWD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-186.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XF2Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427196 | PA      | $363805.10    | 0.12%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132AEN28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47374 | PA      | $46421.12     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/PLN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8255.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EMCP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7596 | PA      | $7537.36      | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32298.11     | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE SA                                      | RCI Banque SA                                                                   | CUSIP: 000000000<br>LEI: 96950001WI712W7PQG45 | Long             | DBT              | CORP              | FR        |     150000 | PA      | $159639.29    | 0.05%             | 2027-07-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $919.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138981 | PA      | $125219.61    | 0.04%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-653.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBO COMMUNICACOES PART                           | Globo Comunicacao e Participacoes SA                                            | CUSIP: 37959DAB0<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |     200000 | PA      | $166787.50    | 0.05%             | 2030-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122819 | PA      | $110087.42    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISA INC                                           | Visa Inc                                                                        | CUSIP: 92826CAS1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97727.91     | 0.03%             | 2029-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-42724.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      63000 | PA      | $53240.84     | 0.02%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/TWD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-30.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                          | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108860 | PA      | $1007180.55   | 0.32%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7169 | PA      | $7042.92      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                            | HCA Inc                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      75000 | PA      | $75109.04     | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309799 | PA      | $263788.62    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                            | DCP Midstream Operating LP                                                      | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99351.94     | 0.03%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    2600000 | PA      | $63960.56     | 0.02%             | 2035-12-17      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                           | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CU4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101679.94    | 0.03%             | 2032-11-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                               | Booking Holdings Inc                                                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48381.17     | 0.02%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-22589.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                            | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       |     110000 | PA      | $69159.47     | 0.02%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-988.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                | SOUND POINT CLO III-R LTD                                                       | CUSIP: 83611LAA8<br>LEI: 5493006VH6ZUE3FHGC30 | Long             | ABS-CBDO         | CORP              | KY        |     311183 | PA      | $307340.79    | 0.10%             | 2029-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     115000 | PA      | $87453.21     | 0.03%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                               | Japan Government Two Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120300000 | PA      | $916152.79    | 0.29%             | 2024-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                               | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      65000 | PA      | $56723.54     | 0.02%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | Barclays PLC                                                                    | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $173046.96    | 0.05%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                           | Saudi Government International Bond                                             | CUSIP: 80413TBA6<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     440000 | PA      | $465960.00    | 0.15%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132CWMV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53911 | PA      | $53133.89     | 0.02%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $100.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $83838.45     | 0.03%             | 2027-06-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379Q8A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40453 | PA      | $3022.55      | 0.00%             | 2045-10-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                            | Ireland Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      48000 | PA      | $35522.05     | 0.01%             | 2050-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS AUD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13657.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                              | Mexico Government International Bond                                            | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $173850.00    | 0.06%             | 2030-04-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16355 | PA      | $15724.83     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                               | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  330000000 | PA      | $20159.31     | 0.01%             | 2037-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE SA                                      | RCI Banque SA                                                                   | CUSIP: 000000000<br>LEI: 96950001WI712W7PQG45 | Long             | DBT              | CORP              | FR        |     599000 | PA      | $623340.99    | 0.20%             | 2024-07-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $549.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSRNCES                           | Credit Agricole Assurances SA                                                   | CUSIP: 000000000<br>LEI: 969500K2MUPSI57XK083 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $206130.13    | 0.07%             | 2048-09-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                            | Ireland Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      97000 | PA      | $79628.07     | 0.03%             | 2031-10-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3693000 | PA      | $2531436.10   | 0.80%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WEQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18199 | PA      | $17064.39     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087N83<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1337000 | PA      | $959993.66    | 0.30%             | 2027-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    4051000 | PA      | $128439.86    | 0.04%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -720000 | OU      | $-2382.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -2210000 | OU      | $-133349.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     110000 | PA      | $113932.96    | 0.04%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087N91<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1089000 | PA      | $786931.19    | 0.25%             | 2024-08-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                             | Verizon Communications Inc                                                      | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      65000 | PA      | $44982.34     | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-32584.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                               | Lockheed Martin Corp                                                            | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151107.16    | 0.05%             | 2025-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                              | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      22000 | PA      | $20834.22     | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $5208.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-60071.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73600 | PA      | $69650.98     | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASNG/PTL FIN 0 CP 05/01/2023        | PENSKE TRUCK LEASNG/PTL FIN 0 CP 05/01/2023                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1323975.11   | 0.42%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                            | Volkswagen Leasing GmbH                                                         | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $160143.83    | 0.05%             | 2023-02-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                            | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $148028.37    | 0.05%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                            | America Movil SAB de CV                                                         | CUSIP: 02364WBJ3<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $170162.50    | 0.05%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE                      | Metropolitan Transportation Authority                                           | CUSIP: 59259YCA5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     135000 | PA      | $138843.87    | 0.04%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2162.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                           | Enterprise Products Operating LLC                                               | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      41000 | PA      | $39870.17     | 0.01%             | 2025-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $38986.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9670 | PA      | $9262.78      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X6J69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598235 | PA      | $569515.40    | 0.18%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-284.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NZD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $2163.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trysail CLO Ltd                                    | Trysail CLO 2021-1 Ltd                                                          | CUSIP: 89855AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     709000 | PA      | $698082.75    | 0.22%             | 2032-07-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro-BTP Italian Bond                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -55 | NC      | $473699.03    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31416CBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10342 | PA      | $10741.00     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     274000 | PA      | $262897.53    | 0.08%             | 2024-10-30      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $40546.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE GAS INC                                        | ONE Gas Inc                                                                     | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     109000 | PA      | $104536.14    | 0.03%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38611 | PA      | $38344.74     | 0.01%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                             | BP Capital Markets PLC                                                          | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $91624.36     | 0.03%             | N/A             | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                               | E.ON International Finance BV                                                   | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |     105000 | PA      | $131886.27    | 0.04%             | 2030-06-03      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CARNIVAL PLC                                       | Carnival PLC                                                                    | CUSIP: 000000000<br>LEI: 4DR1VPDQMHD3N3QW8W95 | Long             | DBT              | CORP              | GB        |     167000 | PA      | $72516.08     | 0.02%             | 2029-10-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36185GDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35696 | PA      | $34379.13     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8049.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -380000 | OU      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NZD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-81732.47    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12730 | PA      | $12619.69     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10874.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                     | CWABS Asset-Backed Certificates Trust 2007-8                                    | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      70645 | PA      | $60079.88     | 0.02%             | 2047-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     140000 | PA      | $152003.79    | 0.05%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     414866 | PA      | $402779.31    | 0.13%             | 2039-04-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                            | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1084700 | PA      | $51445.81     | 0.02%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $11604.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                       | CaixaBank SA                                                                    | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $189766.44    | 0.06%             | 2026-11-18      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                     | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      10000 | PA      | $6730.38      | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-483.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                      | Aircastle Ltd                                                                   | CUSIP: 00928QAR2<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     120000 | PA      | $118772.94    | 0.04%             | 2023-09-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-945.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                             | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $113738.64    | 0.04%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          4 | NC      | $-6334.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SUEZ                                               | Suez SACA                                                                       | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $193907.03    | 0.06%             | 2027-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212000 | PA      | $217064.51    | 0.07%             | 2050-10-25      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $630.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54973 | PA      | $53659.85     | 0.02%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                 | Peru Government Bond                                                            | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2409000 | PA      | $557693.89    | 0.18%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                             | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     470000 | PA      | $297215.12    | 0.09%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                           | Petroleos de Venezuela SA                                                       | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    1800000 | PA      | $81900.00     | 0.03%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7002.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NZD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-14493.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      35836 | PA      | $35760.75     | 0.01%             | 2050-11-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| SUEZ                                               | Suez SACA                                                                       | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $269194.82    | 0.09%             | 2034-05-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR Trust 2019-DNA4                                               | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4053 | PA      | $4053.04      | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF INDONESIA                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $156.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $30142.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $19.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104839 | PA      | $97158.00     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13113.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14565 | PA      | $14237.46     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39736 | PA      | $37814.59     | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable                     | Westlake Automobile Receivables Trust 2021-2                                    | CUSIP: 96042RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59532 | PA      | $58907.21     | 0.02%             | 2025-04-15      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                           | J.P. Morgan Mortgage Trust 2021-LTV2                                            | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232723 | PA      | $186386.66    | 0.06%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EPWN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74982 | PA      | $67594.87     | 0.02%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1514.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2161100 | PA      | $1380740.30   | 0.44%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4362 | PA      | $4552.04      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      19000 | PA      | $16573.16     | 0.01%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087L51<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     922000 | PA      | $611365.47    | 0.19%             | 2026-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41221 | PA      | $40457.28     | 0.01%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9653.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12107.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1285.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20787.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION INC                                     | AutoNation Inc                                                                  | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8000 | PA      | $6394.39      | 0.00%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                      | Aircastle Ltd                                                                   | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |      40000 | PA      | $38781.89     | 0.01%             | 2024-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18534.46     | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2975.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HESS CORP                                          | Hess Corp                                                                       | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     177000 | PA      | $169395.22    | 0.05%             | 2027-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      17000 | PA      | $16067.02     | 0.01%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 000000000<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     100000 | PA      | $117582.68    | 0.04%             | 2033-11-18      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort                     | LCCM 2021-FL2 Trust                                                             | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     183000 | PA      | $177223.33    | 0.06%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-792.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458169 | PA      | $389208.40    | 0.12%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EFSF                                               | European Financial Stability Facility                                           | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     205000 | PA      | $202154.98    | 0.06%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132D56L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29583 | PA      | $27144.13     | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-22656.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 77586RAJ9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     132000 | PA      | $86691.00     | 0.03%             | 2051-02-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                         | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     263000 | PA      | $251802.23    | 0.08%             | 2024-11-21      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                                | Technip Energies NV                                                             | CUSIP: 000000000<br>LEI: 724500FLODI49NSCIP70 | Long             | DBT              | CORP              | NL        |     225000 | PA      | $194902.67    | 0.06%             | 2028-05-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/DKK FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7852.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7243.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6723.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      82000 | PA      | $71435.34     | 0.02%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $289.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      41000 | PA      | $31876.90     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6471.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-97.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115170 | PA      | $94217.48     | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORTHEASTERN UNIVERSITY                            | Northeastern University                                                         | CUSIP: 664675AT2<br>LEI: 549300I2J5CUY7XEVC78 | Long             | DBT              | CORP              | US        |     103000 | PA      | $67601.53     | 0.02%             | 2050-10-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION          | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -400000 | OU      | $-38.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS KRW                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $21259.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9358.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                        | Citycon Oyj                                                                     | CUSIP: 000000000<br>LEI: 549300P8N0P6KDGTJ206 | Long             | DBT              | CORP              | FI        |     250000 | PA      | $128919.65    | 0.04%             | N/A             | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                  | NatWest Group PLC                                                               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     220000 | PA      | $230314.92    | 0.07%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      55000 | PA      | $45103.95     | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                         | Eaton Corp                                                                      | CUSIP: 278062AH7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     165000 | PA      | $153725.90    | 0.05%             | 2033-03-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                              | Waste Connections Inc                                                           | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |      34000 | PA      | $31647.24     | 0.01%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     467000 | PA      | $574275.39    | 0.18%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                             | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50922.48     | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1335000 | PA      | $1179389.06   | 0.37%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $390.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $387.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |      92288 | PA      | $92084.63     | 0.03%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19219 | PA      | $19052.39     | 0.01%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17261 | PA      | $16501.32     | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-35216.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $63.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                             | General Motors Financial Co Inc                                                 | CUSIP: 37045XCG9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      50000 | PA      | $45737.30     | 0.01%             | 2028-01-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-443.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     182000 | PA      | $157103.21    | 0.05%             | 2030-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET                            | Samhallsbyggnadsbolaget i Norden AB                                             | CUSIP: 000000000<br>LEI: 549300HX9MRFY47AH564 | Long             | DBT              | CORP              | SE        |     295000 | PA      | $117815.39    | 0.04%             | N/A             | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $27900.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $95.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                               | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAS5<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100041.38    | 0.03%             | 2052-09-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                           | American Water Capital Corp                                                     | CUSIP: 03040WAZ8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      53000 | PA      | $37965.36     | 0.01%             | 2051-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47536.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4689.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNUM GROUP                                         | Unum Group                                                                      | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     125000 | PA      | $85677.78     | 0.03%             | 2051-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                               | Singapore Government Bond                                                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     339000 | PA      | $251387.46    | 0.08%             | 2023-07-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $526.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                     | Bain Capital Credit CLO 2017-2 Ltd                                              | CUSIP: 05683HAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     544000 | PA      | $521954.45    | 0.17%             | 2034-07-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     250000 | PA      | $170092.37    | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                      | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     134000 | PA      | $107035.21    | 0.03%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $168309.10    | 0.05%             | 2030-01-19      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    1014001 | PA      | $1191248.52   | 0.38%             | 2042-07-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF PANAMA                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-500.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                            | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      10000 | PA      | $7809.36      | 0.00%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                           | Northwestern Mutual Global Funding                                              | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     153000 | PA      | $129252.70    | 0.04%             | 2028-06-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                     | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust                  | CUSIP: 93363TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63337 | PA      | $57732.55     | 0.02%             | 2046-09-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $70884.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                              | PACCAR Financial Corp                                                           | CUSIP: 69371RR57<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |     125000 | PA      | $116641.30    | 0.04%             | 2024-11-08      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      85000 | PA      | $65364.95     | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                             | BP Capital Markets PLC                                                          | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     315000 | PA      | $309436.15    | 0.10%             | N/A             | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                     | Bain Capital Credit CLO 2021-4 Ltd                                              | CUSIP: 05685AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     322000 | PA      | $313544.70    | 0.10%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48867 | PA      | $43724.09     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-77.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-59296.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CSX CORP                                           | CSX Corp                                                                        | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      25000 | PA      | $21838.84     | 0.01%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $24941.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                  | Israel Government Bond - Fixed                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      94000 | PA      | $22259.67     | 0.01%             | 2030-03-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                             | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     102000 | PA      | $105829.80    | 0.03%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-3400.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     743000 | PA      | $477016.64    | 0.15%             | 2024-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29611 | PA      | $27717.95     | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31371LCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1705.42      | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4681.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-40839.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable                     | Westlake Automobile Receivables Trust 2019-2                                    | CUSIP: 96041LAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     285000 | PA      | $283848.66    | 0.09%             | 2025-04-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                     | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     237000 | PA      | $169298.80    | 0.05%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22429.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                            | Hungary Government Bond                                                         | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   32730000 | PA      | $59049.26     | 0.02%             | 2030-08-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                         | Atlas Senior Loan Fund XIV                                                      | CUSIP: 04942CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     639000 | PA      | $619147.61    | 0.20%             | 2032-07-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      64000 | PA      | $61611.45     | 0.02%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     198000 | PA      | $184750.07    | 0.06%             | 2027-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     395000 | PA      | $368661.52    | 0.12%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     699000 | PA      | $557576.43    | 0.18%             | 2039-01-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/MYR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-713.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                 | Macquarie Bank Ltd                                                              | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |     285000 | PA      | $206128.90    | 0.07%             | 2036-03-03      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $32113.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                 | Ally Financial Inc                                                              | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      75000 | PA      | $76464.40     | 0.02%             | 2027-11-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133AJGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19912 | PA      | $16435.12     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                     | Wells Fargo Commercial Mortgage Trust 2022-C62                                  | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $226663.20    | 0.07%             | 2055-04-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $10827.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                       | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1962.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                       | UBS Group AG                                                                    | CUSIP: 902613AN8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     305000 | PA      | $307388.73    | 0.10%             | 2026-05-12      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42667.70     | 0.01%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-141480.37   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QKF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313801 | PA      | $275784.63    | 0.09%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                       | Parallel 2020-1 Ltd                                                             | CUSIP: 69917AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     296000 | PA      | $286459.54    | 0.09%             | 2034-07-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11230.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $116769.25    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust                                                   | CUSIP: 26828WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     256134 | PA      | $247469.20    | 0.08%             | 2066-12-27      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7948.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-71332.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                          | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444687 | PA      | $390154.70    | 0.12%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                        | Exelon Corp                                                                     | CUSIP: 30161NBC4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     335000 | PA      | $292079.56    | 0.09%             | 2032-03-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YN2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101350 | PA      | $91082.57     | 0.03%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14315 | PA      | $13057.53     | 0.00%             | 2030-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     129000 | PA      | $94393.03     | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                           | Corebridge Financial Inc                                                        | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      85000 | PA      | $81474.37     | 0.03%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      74000 | PA      | $61395.55     | 0.02%             | 2037-06-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                | Elevance Health Inc                                                             | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      35000 | PA      | $37694.29     | 0.01%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| EFSF                                               | European Financial Stability Facility                                           | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     190000 | PA      | $188002.54    | 0.06%             | 2026-01-26      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-588997.80   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                   | MDC Holdings Inc                                                                | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     232000 | PA      | $189839.27    | 0.06%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56614 | PA      | $50981.51     | 0.02%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                    | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     268000 | PA      | $315860.93    | 0.10%             | 2041-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/DKK FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1574.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $58729.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      68000 | PA      | $53286.50     | 0.02%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     795000 | PA      | $518677.49    | 0.16%             | 2027-11-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214434 | PA      | $180086.87    | 0.06%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-159066.35   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $30499.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                          | ONEOK Inc                                                                       | CUSIP: 682680AV5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4189.67      | 0.00%             | 2048-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $4486.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $51501.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3170.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XFLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336278 | PA      | $308195.25    | 0.10%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | EUR/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $32.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     275057 | PA      | $190215.23    | 0.06%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43780.73     | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 3617U2BL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140231 | PA      | $116455.15    | 0.04%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7435.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-618251.20   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46749 | PA      | $44884.08     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                | Ecuador Government International Bond                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       4036 | PA      | $1562.18      | 0.00%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X65T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104253 | PA      | $94485.38     | 0.03%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EFSF                                               | European Financial Stability Facility                                           | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     343000 | PA      | $277766.37    | 0.09%             | 2040-09-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                   | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      50000 | PA      | $52945.60     | 0.02%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24449 | PA      | $22706.99     | 0.01%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NAT GRID ELECTY EM                                 | National Grid Electricity Distribution East Midlands PLC                        | CUSIP: 000000000<br>LEI: 549300KXFU5Q7NZE9L79 | Long             | DBT              | CORP              | GB        |     210000 | PA      | $218849.81    | 0.07%             | 2028-09-20      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6290.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36183QTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48114 | PA      | $43495.09     | 0.01%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $289830.00    | 0.09%             | 2024-06-26      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382ET64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130833 | PA      | $12113.21     | 0.00%             | 2043-07-20      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          2 | NC      | $-5440.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONSUMERS ENERGY CO                                | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      90000 | PA      | $77319.16     | 0.02%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                  | Israel Government Bond - Fixed                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $72619.38     | 0.02%             | 2042-01-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                             | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     155000 | PA      | $96274.38     | 0.03%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAISSE D'AMORT DETTE SOC                           | Caisse d'Amortissement de la Dette Sociale                                      | CUSIP: 000000000<br>LEI: 969500P04DQJS4BPM574 | Long             | DBT              | NUSS              | FR        |    1100000 | PA      | $1149681.98   | 0.36%             | 2023-10-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                     | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC2                   | CUSIP: 86361GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      62957 | PA      | $39323.78     | 0.01%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22574.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                    | Venture 39 CLO Ltd                                                              | CUSIP: 92332TAB8<br>LEI: 549300VI1BOFEK7C6D74 | Long             | ABS-CBDO         | CORP              | KY        |     316000 | PA      | $306364.50    | 0.10%             | 2033-04-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                             | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69142.04     | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -14 | NC      | $111498.23    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     979300 | PA      | $891469.03    | 0.28%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140MSU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298089 | PA      | $286934.95    | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8068 | PA      | $8047.75      | 0.00%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   64250000 | PA      | $544032.18    | 0.17%             | 2033-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                     | S&P Global Inc                                                                  | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     170000 | PA      | $155293.20    | 0.05%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                                          | Aviva PLC                                                                       | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |      60000 | PA      | $72362.91     | 0.02%             | 2036-11-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                          | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169000 | PA      | $162621.31    | 0.05%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-27954.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MARATHON OIL CORP                                  | Marathon Oil Corp                                                               | CUSIP: 565849AP1<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |      29000 | PA      | $27692.88     | 0.01%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     165000 | PA      | $163150.39    | 0.05%             | 2026-07-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLLD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31013 | PA      | $29097.68     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HP INC                                             | HP Inc                                                                          | CUSIP: 40434LAK1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     234000 | PA      | $214249.58    | 0.07%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $55360.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WALMART INC                                        | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      60000 | PA      | $48922.85     | 0.02%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12929.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QBMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361576 | PA      | $336115.03    | 0.11%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      41000 | PA      | $40208.71     | 0.01%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37284 | PA      | $36960.95     | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72569 | PA      | $65068.77     | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     333000 | PA      | $268502.90    | 0.08%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NZD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $134.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                              | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     234000 | PA      | $224572.19    | 0.07%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS CDX.NA.IG.34.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $16442.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                     | ICG US CLO 2015-1 Ltd                                                           | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |     385442 | PA      | $380238.67    | 0.12%             | 2028-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| KFW                                                | Kreditanstalt fuer Wiederaufbau                                                 | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     396000 | PA      | $399825.66    | 0.13%             | 2025-04-23      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $159545.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYST EU                           | American Medical Systems Europe BV                                              | CUSIP: 000000000<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $250975.19    | 0.08%             | 2025-03-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4956.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-21439.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-11497.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                | Charles Schwab Corp/The                                                         | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     179000 | PA      | $155220.23    | 0.05%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XGPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89215 | PA      | $79576.00     | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3929.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOLAB INC                                         | Ecolab Inc                                                                      | CUSIP: 278865BN9<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |      10000 | PA      | $6262.59      | 0.00%             | 2051-12-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF SASKATCHEWAN                           | Province of Saskatchewan Canada                                                 | CUSIP: 803854KQ0<br>LEI: 549300FKDIB7OJMBSP83 | Long             | DBT              | NUSS              | CA        |     381000 | PA      | $362888.33    | 0.11%             | 2027-06-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS UNIBAIL-RODAMCO-WESTFIELD SE                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-800.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                    | Canadian When Issued Government Bond                                            | CUSIP: 135087D35<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |       3000 | PA      | $2003.33      | 0.00%             | 2048-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7803.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                   | Berry Global Inc                                                                | CUSIP: 000000000<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95134.19     | 0.03%             | 2027-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83583 | PA      | $83165.52     | 0.03%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                          | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1002466.60   | 0.32%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-907075.74   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20320.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   29550000 | PA      | $194986.95    | 0.06%             | 2039-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $56976.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NZD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16735.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                            | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $127412.24    | 0.04%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     148000 | PA      | $121823.57    | 0.04%             | N/A             | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION              | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-4475.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $51317.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                           | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      56000 | PA      | $47476.89     | 0.02%             | 2031-05-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132AEE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50787 | PA      | $49715.99     | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                               | Petronas Capital Ltd                                                            | CUSIP: 716743AP4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $182388.00    | 0.06%             | 2030-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     752000 | PA      | $746338.00    | 0.24%             | 2023-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KMH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339435 | PA      | $318791.14    | 0.10%             | 2041-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable                     | Westlake Automobile Receivables Trust 2021-2                                    | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     123000 | PA      | $118733.43    | 0.04%             | 2026-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382BUQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99569 | PA      | $16534.49     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                           | Japan Treasury Discount Bill                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  563200000 | PA      | $4288463.74   | 1.36%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2106.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                               | Singapore Government Bond                                                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     137000 | PA      | $98193.22     | 0.03%             | 2032-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10336.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3411.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | COP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1794.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                               | Tencent Holdings Ltd                                                            | CUSIP: 88032XBC7<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $141750.00    | 0.04%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                 | Denmark Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    1954000 | PA      | $273597.94    | 0.09%             | 2025-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140KPMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276438 | PA      | $238213.28    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $26129.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $759.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORP                                         | TELUS Corp                                                                      | CUSIP: 87971MBX0<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |     152000 | PA      | $111418.02    | 0.04%             | 2032-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      50000 | PA      | $45602.78     | 0.01%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                              | Portugal Obrigacoes do Tesouro OT                                               | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     239000 | PA      | $230390.23    | 0.07%             | 2027-10-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio                         | MSILF Government Portfolio                                                      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |     114319 | NS      | $114319.32    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-669.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-26824.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                    | Xcel Energy Inc                                                                 | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      40000 | PA      | $29242.75     | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1464.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORSTED A/S                                         | Orsted AS                                                                       | CUSIP: 000000000<br>LEI: W9NG6WMZIYEU8VEDOG48 | Long             | DBT              | CORP              | DK        |     109000 | PA      | $128692.99    | 0.04%             | 2032-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                           | European Investment Bank                                                        | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | N/A       |     365000 | PA      | $224979.44    | 0.07%             | 2027-01-19      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     175000 | PA      | $173272.07    | 0.05%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1666.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136AYRR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335021 | PA      | $40248.87     | 0.01%             | 2047-11-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403091 | PA      | $345184.99    | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3498.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CAD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-26961.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5292.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $60522.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                             | Anglo American Capital PLC                                                      | CUSIP: 034863BA7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $163725.00    | 0.05%             | 2031-03-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     805000 | PA      | $733706.62    | 0.23%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1090.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EQCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27776 | PA      | $25267.80     | 0.01%             | 2030-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $20846.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2714.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WEUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6962 | PA      | $6527.43      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $955.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     194000 | PA      | $177751.96    | 0.06%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2377.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38380ABR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58424 | PA      | $8157.45      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                | Erste Group Bank AG                                                             | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     100000 | PA      | $92450.59     | 0.03%             | 2031-09-08      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WE4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18311 | PA      | $17169.39     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5587.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-11152.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                  | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     120000 | PA      | $116497.76    | 0.04%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382BDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148753 | PA      | $21460.30     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43316 | PA      | $38061.93     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                           | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      75000 | PA      | $71586.27     | 0.02%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-235415.95   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 2017-2                                               | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      94185 | PA      | $92501.69     | 0.03%             | 2066-12-27      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -56 | NC      | $465778.91    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     490311 | PA      | $446503.52    | 0.14%             | 2037-09-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31307NNZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11848 | PA      | $11097.22     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WE3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7639 | PA      | $7307.82      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                     | Home Depot Inc/The                                                              | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48995.91     | 0.02%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MEHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6195 | PA      | $6087.28      | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236884 | PA      | $193688.13    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-21736.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6272.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31419ABL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7251 | PA      | $7500.69      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | ILS/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3400.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10869 | PA      | $10458.36     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-33258.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8078.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                            | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCL6<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29179.93     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                          | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     220000 | PA      | $224195.50    | 0.07%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $97422.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $70206.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS/TYCO FI                           | Johnson Controls International plc / Tyco Fire & Security Finance SCA           | CUSIP: 47837RAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      25000 | PA      | $24566.06     | 0.01%             | 2032-12-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WEIBO CORP                                         | Weibo Corp                                                                      | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $152412.50    | 0.05%             | 2030-07-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63223.42     | 0.02%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-38613.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                 | Province of Quebec Canada                                                       | CUSIP: 74814ZFP3<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     176000 | PA      | $126417.13    | 0.04%             | 2032-05-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X6PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80039 | PA      | $74193.55     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                           | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     120000 | PA      | $86794.24     | 0.03%             | 2033-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                             | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     125000 | PA      | $114482.85    | 0.04%             | 2027-01-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-227830.59   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| EATON CORP                                         | Eaton Corp                                                                      | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |      75000 | PA      | $68370.96     | 0.02%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                        | Netflix Inc                                                                     | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     124000 | PA      | $129677.57    | 0.04%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33949 | PA      | $33909.99     | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      90000 | PA      | $79297.17     | 0.03%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                           | Mill City Mortgage Loan Trust 2017-2                                            | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30617 | PA      | $28871.84     | 0.01%             | 2059-07-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                           | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     131000 | PA      | $113850.68    | 0.04%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X97B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344416 | PA      | $303151.51    | 0.10%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 0 CP 17/01/2023                       | NISOURCE INC 0 CP 17/01/2023                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1446638.18   | 0.46%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136B2TQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96438 | PA      | $10837.20     | 0.00%             | 2048-08-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6195.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $64269.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                           | Deutsche Telekom International Finance BV                                       | CUSIP: 000000000<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |      63000 | PA      | $90679.03     | 0.03%             | 2028-11-27      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                       | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     325000 | PA      | $250571.85    | 0.08%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                           | Medtronic Global Holdings SCA                                                   | CUSIP: 58507LAM1<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $98891.71     | 0.03%             | 2025-07-02      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-24243.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5934 | PA      | $5705.38      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                        | Bacardi Ltd                                                                     | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     154000 | PA      | $147494.27    | 0.05%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                          | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-813460.26   | -0.26%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13822.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     775000 | PA      | $759290.42    | 0.24%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE HOME LOA                           | Credit Agricole Home Loan SFH SA                                                | CUSIP: 000000000<br>LEI: 969500C9913Z7PKUGB44 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $391920.86    | 0.12%             | 2026-02-19      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                           | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAJ3<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94614.48     | 0.03%             | 2028-09-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $93709.62     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                            | Walt Disney Co/The                                                              | CUSIP: 254687FM3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |      65000 | PA      | $43075.80     | 0.01%             | 2049-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                    | AstraZeneca PLC                                                                 | CUSIP: 046353AU2<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |      50000 | PA      | $44629.24     | 0.01%             | 2048-08-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4944.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $572.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31335AEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31041 | PA      | $30527.89     | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                              | Japan Government Ten Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  219000000 | PA      | $1634797.45   | 0.52%             | 2032-09-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                           | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     310000 | PA      | $274748.80    | 0.09%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  101850000 | PA      | $733589.84    | 0.23%             | 2037-09-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                | American International Group Inc                                                | CUSIP: 026874DH7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     150000 | PA      | $145097.08    | 0.05%             | 2026-04-01      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                     | PMT Credit Risk Transfer Trust 2019-2R                                          | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95110 | PA      | $91020.26     | 0.03%             | 2023-05-27      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -2210000 | OU      | $-51990.45    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $133371.40    | 0.04%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                    | ZF Finance GmbH                                                                 | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $174473.54    | 0.06%             | 2027-05-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                            | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       |      80000 | PA      | $51958.66     | 0.02%             | 2026-01-29      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41144 | PA      | $39274.95     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                            | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6981100 | PA      | $312407.49    | 0.10%             | 2027-03-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2110.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89742 | PA      | $78938.70     | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLWYN ENTERTAINMENT FIN                           | Allwyn Entertainment Financing UK PLC                                           | CUSIP: 000000000<br>LEI: 315700J7ZTIN8XGCX365 | Long             | DBT              | CORP              | GB        |     170000 | PA      | $175880.29    | 0.06%             | 2028-02-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF PANAMA                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2731.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM CORP                                           | SLM Corp                                                                        | CUSIP: 78442PGD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     158000 | PA      | $143889.23    | 0.05%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22221.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | SFE 3 YEAR AUSTRALIAN BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          4 | NC      | $-3939.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2003-1                                                   | CUSIP: 78442GFK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160444 | PA      | $142264.20    | 0.05%             | 2032-12-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                           | Ford Motor Credit Co LLC                                                        | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     109000 | PA      | $110388.59    | 0.03%             | 2025-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-49821.44    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                               | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 6897000000 | PA      | $452342.19    | 0.14%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      71000 | PA      | $65732.71     | 0.02%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WZD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47365 | PA      | $45957.03     | 0.01%             | 2052-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      90000 | PA      | $85936.25     | 0.03%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179W5G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24528 | PA      | $24363.87     | 0.01%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade Re 2019-4 Ltd                                                        | CUSIP: 07876LAC3<br>LEI: 254900KXN235YISGF415 | Long             | ABS-MBS          | CORP              | BM        |     157860 | PA      | $157627.50    | 0.05%             | 2029-10-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7435 | PA      | $7113.15      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     392684 | PA      | $380869.14    | 0.12%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                             | Marlette Funding Trust 2022-2                                                   | CUSIP: 57107LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      87195 | PA      | $86032.73     | 0.03%             | 2032-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138MFS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263984 | PA      | $247103.21    | 0.08%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     190000 | PA      | $190288.69    | 0.06%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31417EJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52319 | PA      | $48973.27     | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1076.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138AFDV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10433 | PA      | $10181.93     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                            | HCA Inc                                                                         | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     174000 | PA      | $173812.40    | 0.06%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                        | Swiss Confederation Government Bond                                             | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     486000 | PA      | $591777.86    | 0.19%             | 2028-04-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                           | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     125000 | PA      | $103064.55    | 0.03%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                  | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     266000 | PA      | $256191.70    | 0.08%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                              | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     103000 | PA      | $100466.81    | 0.03%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                            | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1418000 | PA      | $1399109.83   | 0.44%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7832.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |    -720000 | OU      | $-7325.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | ILS/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-329.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/PEN FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2881.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-499.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79962 | PA      | $74113.57     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    -400000 | OU      | $-9551.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHP Trust                                          | BHP Trust 2019-BXHP                                                             | CUSIP: 05550TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91700 | PA      | $87771.89     | 0.03%             | 2036-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116515 | PA      | $97947.21     | 0.03%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4992.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-34311.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     204000 | PA      | $184801.64    | 0.06%             | 2065-07-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                           | Japan Treasury Discount Bill                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  784150000 | PA      | $5971032.18   | 1.89%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                             | Marlette Funding Trust 2021-3                                                   | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      68666 | PA      | $67771.00     | 0.02%             | 2031-12-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6575.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1610.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $553.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                            | National Australia Bank Ltd                                                     | CUSIP: 000000000<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |     345000 | PA      | $299775.34    | 0.09%             | 2029-01-06      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132A5J89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.54        | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                   | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     168000 | PA      | $148104.70    | 0.05%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                              | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     140000 | PA      | $130446.52    | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418DAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33578 | PA      | $32868.60     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  196200000 | PA      | $1430730.05   | 0.45%             | 2052-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1635.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3617A0C87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10513 | PA      | $9388.97      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | JPY CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | DE        |     164000 | NC      | $1256.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS AUD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6478.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-82529.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMTM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41146 | PA      | $40223.39     | 0.01%             | 2030-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                             | Verizon Communications Inc                                                      | CUSIP: 000000000<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     184000 | PA      | $198781.38    | 0.06%             | 2030-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                   | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      95000 | PA      | $89271.38     | 0.03%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-5146.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $1005591.60   | 0.32%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                            | BPCE SA                                                                         | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     430000 | PA      | $381100.31    | 0.12%             | 2026-10-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1038562.26  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (5 YEAR ISSUE)                               | Japan Government Five Year Bond                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  249000000 | PA      | $1879470.18   | 0.59%             | 2027-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | Barclays PLC                                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     148000 | PA      | $156719.32    | 0.05%             | 2025-04-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                               | Mercedes-Benz Finance North America LLC                                         | CUSIP: 58769JAB3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     190000 | PA      | $191106.18    | 0.06%             | 2025-11-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                            | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $61280.22     | 0.02%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management                 | Dreyfus Government Cash Management                                              | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |    4703914 | NS      | $4703914.00   | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YD4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8665 | PA      | $8125.33      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-18107.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1799.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES (USA) LLC                            | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4978.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0LJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     208309 | PA      | $212492.23    | 0.07%             | 2029-03-25      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                | Malaysia Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1816000 | PA      | $423707.22    | 0.13%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                           | Enbridge Energy Partners LP                                                     | CUSIP: 29250RAX4<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |     135000 | PA      | $151016.04    | 0.05%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $26658.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-722.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/ILS FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14198.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF PHILIPPINES                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $646.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                             | Republic of Poland Government Bond                                              | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     272000 | PA      | $40706.72     | 0.01%             | 2032-04-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WE2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11601 | PA      | $11171.03     | 0.00%             | 2035-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     268000 | PA      | $234447.90    | 0.07%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                           | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     204000 | PA      | $190592.22    | 0.06%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138W6RG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72419 | PA      | $67791.21     | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133A7S26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151621 | PA      | $130477.22    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8BJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51078 | PA      | $48882.36     | 0.02%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                    | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     550000 | PA      | $505600.59    | 0.16%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-511729.65   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2019-R03                                    | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9953 | PA      | $9928.39      | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22893 | PA      | $20455.74     | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                         | Affirm Asset Securitization Trust 2021-Z1                                       | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      75457 | PA      | $73331.53     | 0.02%             | 2025-08-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2516.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CZK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11626.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTION FINCO SARL                                  | Motion Finco Sarl                                                               | CUSIP: 000000000<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |     110000 | PA      | $116940.21    | 0.04%             | 2025-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YNB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30437 | PA      | $29117.96     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | GBP CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | DE        |     110000 | NC      | $1569.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRW22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20939 | PA      | $20078.98     | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCHNEIDER ELECTRIC SE                              | Schneider Electric SE                                                           | CUSIP: 000000000<br>LEI: 969500A1YF1XUYYXS284 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $97607.73     | 0.03%             | 2028-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                             | CUSIP: 03027XAB6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     550000 | PA      | $549377.72    | 0.17%             | 2023-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9577 | PA      | $9212.06      | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                   | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17942.88     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4033.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                           | Martin Marietta Materials Inc                                                   | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2397.52      | 0.00%             | 2031-07-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                     | GreenPoint MTA Trust 2005-AR1                                                   | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80994 | PA      | $73589.11     | 0.02%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5935.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137BJAS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46339 | PA      | $3423.90      | 0.00%             | 2045-05-15      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132A5J71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5285 | PA      | $5171.37      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                             | PNC Financial Services Group Inc/The                                            | CUSIP: 693475AK1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      26000 | PA      | $26036.16     | 0.01%             | N/A             | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      61000 | PA      | $75523.96     | 0.02%             | 2040-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                           | Uruguay Government International Bond                                           | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      22000 | PA      | $21901.00     | 0.01%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES (USA) LLC                 | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 1V8Y6QCX6YMJ2OELII46 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12489.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-134846.05   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1468.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                               | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $124066.38    | 0.04%             | 2031-12-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38726 | PA      | $37088.27     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418MC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7424 | PA      | $7720.16      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $153784.23    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                     | BHG Securitization Trust 2022-A                                                 | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     436852 | PA      | $408121.44    | 0.13%             | 2035-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                               | Singapore Government Bond                                                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     513000 | PA      | $392387.17    | 0.12%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                           | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      35000 | PA      | $29036.75     | 0.01%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79686 | PA      | $78091.75     | 0.02%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     999999 | PA      | $814654.98    | 0.26%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/COP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2347.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                        | Equinor ASA                                                                     | CUSIP: 29446MAD4<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     110000 | PA      | $105374.30    | 0.03%             | 2025-04-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                   | Deutsche Bank AG                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $105176.10    | 0.03%             | 2026-05-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138X3XG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68688 | PA      | $59224.14     | 0.02%             | 2043-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  964540000 | PA      | $738614.30    | 0.23%             | 2027-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $219156.55    | 0.07%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                           | Nationwide Mutual Insurance Co                                                  | CUSIP: 638671AK3<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |      65000 | PA      | $84159.67     | 0.03%             | 2039-08-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                             | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      58000 | PA      | $38293.17     | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         41 | NC      | $-16910.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 000000000<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |    1132000 | PA      | $1131679.42   | 0.36%             | 2025-05-06      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                   | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $192581.92    | 0.06%             | 2023-11-08      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418B3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11811 | PA      | $10742.94     | 0.00%             | 2031-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2314000 | PA      | $1992390.17   | 0.63%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                 | Banco Santander SA                                                              | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $151598.76    | 0.05%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6178.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      70000 | PA      | $56849.03     | 0.02%             | 2049-05-23      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| PGIM Institutional Money Market Fund - D           | PGIM Institutional Money Market Fund - D                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     932502 | NS      | $932128.72    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CZECH REPUBLIC                                     | Czech Republic Government Bond                                                  | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    7640000 | PA      | $294771.30    | 0.09%             | 2028-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2208.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                | Nigeria Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     200000 | PA      | $135225.00    | 0.04%             | 2038-02-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $76895.06     | 0.02%             | 2032-04-02      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95589 | PA      | $95273.33     | 0.03%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-78584.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                              | DuPont de Nemours Inc                                                           | CUSIP: 26078JAC4<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     135000 | PA      | $132846.84    | 0.04%             | 2025-11-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X6GL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233966 | PA      | $217048.18    | 0.07%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                       | CaixaBank SA                                                                    | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $105553.03    | 0.03%             | 2026-12-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-751.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | COP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1774.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROATIA                                            | Croatia Government International Bond                                           | CUSIP: 000000000<br>LEI: 74780000O00QGQ7CER13 | Long             | DBT              | NUSS              | HR        |     150000 | PA      | $136361.95    | 0.04%             | 2029-06-19      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS PLN                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $11.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WLC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6187 | PA      | $6066.39      | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                          | Chesapeake Funding II LLC                                                       | CUSIP: 165183CP7<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     180810 | PA      | $177955.45    | 0.06%             | 2033-04-15      | Fixed         | 0.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38382DJV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306289 | PA      | $28295.61     | 0.01%             | 2050-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                           | Martin Marietta Materials Inc                                                   | CUSIP: 573284AX4<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |      63000 | PA      | $42662.79     | 0.01%             | 2051-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1042000 | PA      | $668259.40    | 0.21%             | 2046-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1412.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6492 | PA      | $6498.75      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $354874.95    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                           | Mill City Mortgage Loan Trust 2019-GS2                                          | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51756 | PA      | $48390.11     | 0.02%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128M95Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13698 | PA      | $13594.37     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENA MASTER TRUST                                   | ENA Master Trust                                                                | CUSIP: 29249BAA3<br>LEI: 549300CBCHB6Q73VG753 | Long             | DBT              | CORP              | PA        |     323000 | PA      | $216611.88    | 0.07%             | 2048-05-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN GAS NETWORK PLC                           | Southern Gas Networks PLC                                                       | CUSIP: 000000000<br>LEI: 549300SPX8573VZ2SK79 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $118006.42    | 0.04%             | 2029-03-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XHHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166819 | PA      | $141586.35    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10938.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR Trust 2019-DNA3                                               | CUSIP: 35564TAH3<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | USGSE             | US        |      13181 | PA      | $12916.57     | 0.00%             | 2049-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     195000 | PA      | $163801.31    | 0.05%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-5624.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31292K4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48746 | PA      | $48378.28     | 0.02%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-29719.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                           | African Export-Import Bank/The                                                  | CUSIP: 00831TAB7<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | N/A       |     219000 | PA      | $194362.50    | 0.06%             | 2026-05-17      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                  | Jamestown CLO VI-R Ltd                                                          | CUSIP: 47047LAA7<br>LEI: 254900G01W2J355PT310 | Long             | ABS-CBDO         | CORP              | KY        |     250080 | PA      | $245378.00    | 0.08%             | 2030-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     155000 | PA      | $168738.31    | 0.05%             | 2028-10-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     387000 | PA      | $285761.76    | 0.09%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                               | Japan Government Two Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  196200000 | PA      | $1494785.07   | 0.47%             | 2024-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                             | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC           | CUSIP: 013092AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      87000 | PA      | $86490.21     | 0.03%             | 2023-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31999 | PA      | $29979.92     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  126350000 | PA      | $901033.10    | 0.29%             | 2042-06-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-28229.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                           | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      85000 | PA      | $78870.83     | 0.02%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS REPUBLIC OF PERU                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1929.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | SGX Mini Japan Government 10 Year Bond                                          | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DIR              | CORP              | SG        |          6 | NC      | $-12442.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                           | Cooperatieve Rabobank UA                                                        | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $190050.69    | 0.06%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8498.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                 | Raytheon Technologies Corp                                                      | CUSIP: 75513ECN9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     110000 | PA      | $89175.55     | 0.03%             | 2032-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     239000 | PA      | $162282.87    | 0.05%             | 2052-10-31      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $34422.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-65817.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                     | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      45000 | PA      | $35904.12     | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | CZK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-938.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379TYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42361 | PA      | $4196.61      | 0.00%             | 2046-01-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140KTMR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161700 | PA      | $139237.77    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                             | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182807.53    | 0.06%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140X6J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299244 | PA      | $286637.57    | 0.09%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CZK FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $127.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        -30 | NC      | $150215.28    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1360.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179QJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18745 | PA      | $18858.89     | 0.01%             | 2044-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2475.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/COP FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-365.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8VM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11162 | PA      | $11080.05     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36178GFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33015 | PA      | $31051.48     | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7225.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                    | McDonald's Corp                                                                 | CUSIP: 58013MFS8<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19581.17     | 0.01%             | 2032-09-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14203.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                                  | International Finance Corp                                                      | CUSIP: 000000000<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | N/A       |     272000 | PA      | $185654.18    | 0.06%             | 2027-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                   | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBG3<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |      81000 | PA      | $80510.32     | 0.03%             | 2023-10-02      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                            | International Bank for Reconstruction & Development                             | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     162000 | PA      | $153373.31    | 0.05%             | 2027-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2236.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14949.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12582.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-134812.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8838.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                            | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      35000 | PA      | $30271.20     | 0.01%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10503.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234782 | PA      | $200783.63    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2483.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                    | PSP Capital Inc                                                                 | CUSIP: 69376P2B0<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | NUSS              | CA        |     630000 | PA      | $536405.06    | 0.17%             | 2028-10-26      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                             | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     119000 | PA      | $120698.95    | 0.04%             | 2024-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                 | Voya Financial Inc                                                              | CUSIP: 45685EAG1<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |     224000 | PA      | $220029.47    | 0.07%             | 2053-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13746.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      24922 | PA      | $25357.68     | 0.01%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3551.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                           | British Telecommunications PLC                                                  | CUSIP: 000000000<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $88617.39     | 0.03%             | 2029-09-12      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                       | Comcast Corp                                                                    | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     160000 | PA      | $166566.96    | 0.05%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38380W4A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37264 | PA      | $3350.21      | 0.00%             | 2048-05-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7729.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                              | Japan Government Ten Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  343900000 | PA      | $2632103.27   | 0.83%             | 2023-09-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15912 | PA      | $14777.45     | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                               | Glencore Funding LLC                                                            | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      76000 | PA      | $67264.31     | 0.02%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -49 | NC      | $10435.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $6895.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                           | American Water Capital Corp                                                     | CUSIP: 03040WAT2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      50000 | PA      | $41906.39     | 0.01%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93040.04     | 0.03%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     850000 | PA      | $25531.11     | 0.01%             | 2028-12-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                            | Honeywell International Inc                                                     | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     535000 | PA      | $561175.37    | 0.18%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                              | Indonesia Government International Bond                                         | CUSIP: 455780CS3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $187537.50    | 0.06%             | 2030-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66572 | PA      | $61070.56     | 0.02%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DANAHER CORP                                       | Danaher Corp                                                                    | CUSIP: 235851AW2<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | DBT              | CORP              | US        |      45000 | PA      | $29938.92     | 0.01%             | 2051-12-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $31944.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |     990000 | OU      | $13375.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     596000 | PA      | $473757.28    | 0.15%             | 2031-12-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                  | Magnetite XVI Ltd                                                               | CUSIP: 55953RAL5<br>LEI: 549300Z3WHVYABE20I45 | Long             | ABS-CBDO         | CORP              | KY        |     297373 | PA      | $295142.82    | 0.09%             | 2028-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  132460000 | PA      | $86638.99     | 0.03%             | 2048-03-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379XTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286000 | PA      | $28358.44     | 0.01%             | 2046-01-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     107000 | PA      | $104353.65    | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $1015888.87   | 0.32%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA REVENUES                     | University of California                                                        | CUSIP: 91412HGG2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     170000 | PA      | $134001.51    | 0.04%             | 2030-05-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418BU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15579 | PA      | $14903.51     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade Re Ltd                                                               | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     224000 | PA      | $215109.62    | 0.07%             | 2031-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                            | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      50000 | PA      | $34749.96     | 0.01%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3291.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-67544.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                | Elevance Health Inc                                                             | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36385.35     | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                             | Netherlands Government Bond                                                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      43000 | PA      | $21658.19     | 0.01%             | 2052-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1254.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1568.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                             | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     190000 | PA      | $166625.48    | 0.05%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QMA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542999 | PA      | $444218.12    | 0.14%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     715571 | PA      | $643511.96    | 0.20%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE                           | Walgreens Boots Alliance Inc                                                    | CUSIP: 931427AU2<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |     225000 | PA      | $216988.66    | 0.07%             | 2023-11-17      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47050.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     175000 | PA      | $145185.60    | 0.05%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS PLN                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-12155.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-11780.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                           | Public Service Enterprise Group Inc                                             | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80097.75     | 0.03%             | 2031-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                     | ICG US CLO 2018-1 LTD                                                           | CUSIP: 449258AA0<br>LEI: 63540028G9FPZW4LFZ33 | Long             | ABS-CBDO         | CORP              | KY        |     591000 | PA      | $584362.77    | 0.18%             | 2031-04-21      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14090.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | TWD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-100.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                             | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $104048.00    | 0.03%             | 2025-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | Barclays PLC                                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $266868.76    | 0.08%             | 2032-05-12      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      14000 | PA      | $8367.04      | 0.00%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/THB FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3405.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539326 | PA      | $440178.34    | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $36370.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                      | Sempra Energy                                                                   | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     110000 | PA      | $105594.22    | 0.03%             | 2025-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | COP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1791.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     135000 | PA      | $163227.02    | 0.05%             | 2033-11-18      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146494 | PA      | $135250.88    | 0.04%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36297AKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46418 | PA      | $47514.35     | 0.02%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XHGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265499 | PA      | $248876.29    | 0.08%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                              | Province of Ontario Canada                                                      | CUSIP: 000000000<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1511000 | PA      | $1538557.83   | 0.49%             | 2026-12-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96937 | PA      | $10604.92     | 0.00%             | 2046-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| LEAR CORP                                          | Lear Corp                                                                       | CUSIP: 521865BB0<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10982.65     | 0.00%             | 2030-05-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4221.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $30605.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $110247.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | TWD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-50.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     539682 | PA      | $480555.24    | 0.15%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138WFRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12322 | PA      | $11432.35     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-147.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                 | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201830.13    | 0.06%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35474 | PA      | $34991.12     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 000000000<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |     454000 | PA      | $415808.17    | 0.13%             | 2032-05-03      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | Societe Generale SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     330000 | PA      | $288084.19    | 0.09%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                           | Volcan Cia Minera SAA                                                           | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |      20000 | PA      | $17197.50     | 0.01%             | 2026-02-11      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                              | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   37550000 | PA      | $260562.92    | 0.08%             | 2036-06-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12470.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | TRY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-117.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -5 | NC      | $6952.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS GOVERNMENT OF MEXICO                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-5383.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-93613.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                           | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     119000 | PA      | $118398.91    | 0.04%             | 2023-03-14      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP                             | Hartford Financial Services Group Inc/The                                       | CUSIP: 416515BF0<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |      50000 | PA      | $36188.11     | 0.01%             | 2049-08-19      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140L5BW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79543 | PA      | $68106.33     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                    | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      50000 | PA      | $45558.89     | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132M9BZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29591 | PA      | $28375.00     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6235 | PA      | $6219.90      | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                               | Heimstaden Bostad AB                                                            | CUSIP: 000000000<br>LEI: 549300TJR3PR8EXILG79 | Long             | DBT              | CORP              | SE        |     124000 | PA      | $110542.37    | 0.03%             | 2026-01-21      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7747 | PA      | $7657.67      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      14000 | PA      | $13188.87     | 0.00%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                          | Apple Inc                                                                       | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      76000 | PA      | $61163.89     | 0.02%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140JV6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42083 | PA      | $41085.65     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140L5F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59520 | PA      | $49126.27     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QKRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071950 | PA      | $879776.31    | 0.28%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28297 | PA      | $28211.92     | 0.01%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | USD/SGD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16782.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                            | Goldman Sachs Group Inc/The                                                     | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     601000 | PA      | $639232.08    | 0.20%             | 2025-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/THB FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1292.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43761.80     | 0.01%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                     | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      85000 | PA      | $69095.36     | 0.02%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                    | ZF Finance GmbH                                                                 | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $179276.65    | 0.06%             | 2028-09-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                           | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    3501000 | PA      | $592821.47    | 0.19%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YGW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10510 | PA      | $9061.56      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                        | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41584.95     | 0.01%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     546000 | PA      | $483423.28    | 0.15%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237691 | PA      | $225525.87    | 0.07%             | 2041-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS AUD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $23034.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                            | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     159000 | PA      | $155114.56    | 0.05%             | 2024-06-06      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                 | Diageo Capital PLC                                                              | CUSIP: 25243YBG3<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |     390000 | PA      | $399517.56    | 0.13%             | 2027-10-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12470.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                            | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      80000 | PA      | $54912.36     | 0.02%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $316.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                     | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     239000 | PA      | $171054.96    | 0.05%             | 2035-07-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     214000 | PA      | $212195.67    | 0.07%             | 2026-10-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                          | Regatta XXIV Funding Ltd                                                        | CUSIP: 75889HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243220.60    | 0.08%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                           | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88374.94     | 0.03%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     302000 | PA      | $264561.46    | 0.08%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                           | European Investment Bank                                                        | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | N/A       |     405000 | PA      | $426776.34    | 0.14%             | 2033-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                               | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAQ9<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |      32000 | PA      | $25924.05     | 0.01%             | 2032-01-10      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      67000 | PA      | $55275.00     | 0.02%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC 0 CP 11/01/2023                      | VW CREDIT INC 0 CP 11/01/2023                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $798773.06    | 0.25%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      32000 | PA      | $22422.29     | 0.01%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      27497 | PA      | $28708.26     | 0.01%             | 2028-08-25      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31410G4K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8046 | PA      | $8321.30      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                               | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     111000 | PA      | $110415.84    | 0.03%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                           | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     145000 | PA      | $137918.16    | 0.04%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $23336.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -1000000 | PA      | $-969912.54   | -0.31%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-141401.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418EF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47587 | PA      | $46928.83     | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31417YNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6673 | PA      | $6660.50      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                           | Saudi Government International Bond                                             | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $161537.50    | 0.05%             | 2033-02-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                         | Intel Corp                                                                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     124000 | PA      | $109416.27    | 0.03%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3947.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                           | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CT7<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90449.72     | 0.03%             | 2027-11-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE                      | Metropolitan Transportation Authority                                           | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      35000 | PA      | $37835.89     | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1872.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $538898.45    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Vanguard Total International Bond ETF              | Vanguard Total International Bond ETF                                           | CUSIP: 92203J407<br>LEI: N/A                  | Long             | EC               | RF                | US        |      94983 | NS      | $4505043.69   | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4859.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8399.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                | Malaysia Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2599000 | PA      | $580518.07    | 0.18%             | 2027-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MEMP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6496 | PA      | $6350.76      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     577108 | PA      | $560036.10    | 0.18%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -10 | NC      | $254380.24    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                  | NatWest Group PLC                                                               | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $344012.16    | 0.11%             | N/A             | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EGE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10275 | PA      | $10668.62     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SEK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $234.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $60.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108927 | PA      | $99747.29     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136AQC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42725 | PA      | $4870.98      | 0.00%             | 2046-02-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-48986.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $13904.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $34260.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2920000 | PA      | $2370675.00   | 0.75%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136BAA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54850 | PA      | $10195.44     | 0.00%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12923.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4242.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12859 | PA      | $11929.14     | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                           | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      20000 | PA      | $15074.45     | 0.00%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                             | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    6219000 | PA      | $3201920.04   | 1.01%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC. Discount 01-10-23                | CROWN CASTLE INC. Discount 01-10-23                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1223170.77   | 0.39%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2468.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22963.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORP                                         | Intel Corp                                                                      | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      25000 | PA      | $23377.34     | 0.01%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-31895.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                           | Republic of South Africa Government International Bond                          | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     233000 | PA      | $206758.38    | 0.07%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                               | Glencore Funding LLC                                                            | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     135000 | PA      | $133295.56    | 0.04%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAISSE D'AMORT DETTE SOC                           | Caisse d'Amortissement de la Dette Sociale                                      | CUSIP: 000000000<br>LEI: 969500P04DQJS4BPM574 | Long             | DBT              | NUSS              | FR        |    1400000 | PA      | $1397212.31   | 0.44%             | 2027-11-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-27125.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  380540000 | PA      | $188857.17    | 0.06%             | 2050-03-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |    -720000 | OU      | $-9845.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     140000 | PA      | $75379.22     | 0.02%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                            | BPCE SA                                                                         | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     590000 | PA      | $582007.03    | 0.18%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/ILS FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2874.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                              | Portugal Obrigacoes do Tesouro OT                                               | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     116000 | PA      | $89282.30     | 0.03%             | 2035-10-12      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    -390000 | OU      | $-67.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                              | Japan Government Forty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   64950000 | PA      | $340197.55    | 0.11%             | 2056-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                            | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FK4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80923.47     | 0.03%             | 2056-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38995 | PA      | $35011.50     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                              | Continental Resources Inc/OK                                                    | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     130000 | PA      | $96526.37     | 0.03%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4170.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                   | ABN AMRO Bank NV                                                                | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $343654.40    | 0.11%             | 2027-06-16      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                        | PepsiCo Inc                                                                     | CUSIP: 713448FL7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96055.14     | 0.03%             | 2028-02-18      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                           | Harley-Davidson Financial Services Inc                                          | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     283000 | PA      | $252899.41    | 0.08%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                       | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      60000 | PA      | $43766.19     | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $7961.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $5688.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     333000 | PA      | $244307.57    | 0.08%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15612.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                            | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       |     183000 | PA      | $124549.33    | 0.04%             | 2026-06-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                            | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3303100 | PA      | $164607.07    | 0.05%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     111000 | PA      | $128546.59    | 0.04%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10012 | PA      | $8631.66      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                            | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     107000 | PA      | $107267.50    | 0.03%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                             | Williams Cos Inc/The                                                            | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18655.32     | 0.01%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-271193.77   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XTAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519893 | PA      | $495425.85    | 0.16%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     145000 | PA      | $130835.97    | 0.04%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                   | Bellemeade Re 2019-3 Ltd                                                        | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |     187322 | PA      | $185610.29    | 0.06%             | 2029-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                             | Standard Chartered PLC                                                          | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $154000.00    | 0.05%             | N/A             | Floating      | 5.92%                 | No            |                  2 | On Loan: —       |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     500000 | PA      | $318924.52    | 0.10%             | 2052-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                      | AIB Group PLC                                                                   | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $199950.21    | 0.06%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                               | DH Europe Finance II Sarl                                                       | CUSIP: 23291KAB1<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     125000 | PA      | $113937.28    | 0.04%             | 2028-03-18      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| EURO STABILITY MECHANISM                           | European Stability Mechanism                                                    | CUSIP: 000000000<br>LEI: 222100W4EEAQ77386N50 | Long             | DBT              | NUSS              | N/A       |     130000 | PA      | $131295.72    | 0.04%             | 2024-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -133 | NC      | $217848.51    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                                 | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $185251.76    | 0.06%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-30997.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6773.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                     | Santander Drive Auto Receivables Trust 2020-4                                   | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     131696 | PA      | $130369.97    | 0.04%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                        | Swiss Confederation Government Bond                                             | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     150000 | PA      | $158557.29    | 0.05%             | 2042-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $34205.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO                           | British American Tobacco PLC                                                    | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |     197000 | PA      | $162627.51    | 0.05%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0EW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      47182 | PA      | $47663.51     | 0.02%             | 2027-10-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| DIGITAL EURO FINCO                                 | Digital Euro Finco LLC                                                          | CUSIP: 000000000<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              | CORP              | US        |     127000 | PA      | $125696.50    | 0.04%             | 2026-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                               | Bank 2019-BNK19                                                                 | CUSIP: 06540WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24000 | PA      | $15282.11     | 0.00%             | 2061-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12156.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1983.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-387.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1628390.03   | 0.52%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         48 | NC      | $-61595.56    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                           | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     214000 | PA      | $188113.96    | 0.06%             | 2026-08-21      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36866 | PA      | $36440.06     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                           | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     200000 | PA      | $175180.14    | 0.06%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                          | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     127000 | PA      | $127461.88    | 0.04%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1218.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4883.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                              | CUSIP: 3137FUKH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327698 | PA      | $59521.80     | 0.02%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                  | ONEOK Partners LP                                                               | CUSIP: 68268NAL7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     725000 | PA      | $722607.01    | 0.23%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                           | Teledyne Technologies Inc                                                       | CUSIP: 879360AB1<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |     161000 | PA      | $152480.23    | 0.05%             | 2024-04-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $63021.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                              | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              | CORP              | US        |          1 | NC      | $16840.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                     | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHP2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |     166000 | PA      | $158911.43    | 0.05%             | 2025-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                     | Var Energi ASA                                                                  | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |     200000 | PA      | $206132.22    | 0.07%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                           | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     843000 | PA      | $822401.56    | 0.26%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4845.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $276617.44    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                     | RALI Series 2007-QA5 Trust                                                      | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65613 | PA      | $47540.60     | 0.02%             | 2037-09-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| CANADA HOUSING TRUST                               | Canada Housing Trust No 1                                                       | CUSIP: 13509PFX6<br>LEI: 549300M44WH89JG50067 | Long             | DBT              | NUSS              | CA        |     205000 | PA      | $142792.19    | 0.05%             | 2027-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     225000 | PA      | $164122.61    | 0.05%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                              | TransCanada PipeLines Ltd                                                       | CUSIP: 89353ZCK2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $110194.33    | 0.03%             | 2032-05-12      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QQUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993622 | PA      | $1008790.69   | 0.32%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CLP FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $33149.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CLP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3260.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                     | Soundview Home Loan Trust 2007-OPT1                                             | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109990 | PA      | $78707.26     | 0.02%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                 | Union Pacific Corp                                                              | CUSIP: 907818FW3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     120000 | PA      | $81372.08     | 0.03%             | 2052-03-10      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS AUD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13495.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  101850000 | PA      | $589649.73    | 0.19%             | 2049-12-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47290 | PA      | $47664.56     | 0.02%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NOK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-31558.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                               | Lockheed Martin Corp                                                            | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     535000 | PA      | $547943.71    | 0.17%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QKR59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560875 | PA      | $480577.15    | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         15 | NC      | $-40461.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138A9NJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26435 | PA      | $25387.31     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     875000 | PA      | $866066.52    | 0.27%             | 2035-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      19000 | PA      | $14429.93     | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                              | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   10050000 | PA      | $57704.82     | 0.02%             | 2049-09-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2474.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                           | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     317000 | PA      | $279078.82    | 0.09%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                         | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      31000 | PA      | $26549.00     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                     | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      97000 | PA      | $67566.49     | 0.02%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                       | Enbridge Inc                                                                    | CUSIP: 29251ZBW6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      52000 | PA      | $40300.96     | 0.01%             | 2032-11-09      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                            | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      32000 | PA      | $26761.33     | 0.01%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                           | EQT Corp                                                                        | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      73000 | PA      | $72592.98     | 0.02%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4717.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                  | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     224000 | PA      | $197591.56    | 0.06%             | 2033-03-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| VERISURE HOLDING AB                                | Verisure Holding AB                                                             | CUSIP: 000000000<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |     100000 | PA      | $92612.12     | 0.03%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XDA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310322 | PA      | $265264.54    | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                             | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     289959 | PA      | $231930.96    | 0.07%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2785000 | PA      | $1734532.81   | 0.55%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                             | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     110000 | PA      | $113604.35    | 0.04%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS NZD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-33287.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                              | Province of Ontario Canada                                                      | CUSIP: 683234B98<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     281000 | PA      | $215510.29    | 0.07%             | 2041-06-02      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36295NM20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5905 | PA      | $6009.10      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                             | Mondelez International Inc                                                      | CUSIP: 609207AE5<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     205000 | PA      | $201621.67    | 0.06%             | 2027-03-08      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7011.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10102.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.                          | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-539885.14   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $3901.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC 0 CP 20/01/2023                        | OVINTIV INC 0 CP 20/01/2023                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1226444.78   | 0.39%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138XYGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24371 | PA      | $24152.44     | 0.01%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7487.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                              | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      95000 | PA      | $104657.45    | 0.03%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3112800 | PA      | $2895876.75   | 0.92%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                        | Bell Telephone Co of Canada or Bell Canada/The                                  | CUSIP: 07813ZCK8<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |     120000 | PA      | $92365.21     | 0.03%             | 2032-11-10      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                            | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      70000 | PA      | $75881.16     | 0.02%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/PLN FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $49029.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC             | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    -480000 | OU      | $-51.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      12773 | PA      | $13569.35     | 0.00%             | 2028-08-25      | Floating      | 11.34%                | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                           | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $100984.55    | 0.03%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                               | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     107000 | PA      | $102232.19    | 0.03%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION              | IRS CNY                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2180.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE                                  | Montreal Exchange 10 Year Canadian Bond                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         -8 | NC      | $280.30       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      55000 | PA      | $48556.42     | 0.02%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53814 | PA      | $53001.29     | 0.02%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12895.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $888.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                 | Roche Holdings Inc                                                              | CUSIP: 771196BW1<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |     545000 | PA      | $466610.49    | 0.15%             | 2028-12-13      | Fixed         | 1.93%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1292723 | PA      | $1121325.45   | 0.35%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                      | Citigroup Inc                                                                   | CUSIP: 172967GT2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      14000 | PA      | $13927.19     | 0.00%             | 2023-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16585.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS KRW                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4525.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                               | CUSIP: 3136BAC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1807583 | PA      | $201811.93    | 0.06%             | 2050-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      88000 | PA      | $76282.30     | 0.02%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                            | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      30000 | PA      | $34414.11     | 0.01%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         21 | NC      | $-46117.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LOGICOR FINANCING SARL                             | Logicor Financing Sarl                                                          | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     124000 | PA      | $120769.89    | 0.04%             | 2025-05-13      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                               | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 5962000000 | PA      | $372828.45    | 0.12%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274251 | PA      | $232332.47    | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                        | Cargill Inc                                                                     | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150412.77    | 0.05%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DIRECT LINE INSURANCE GR                           | Direct Line Insurance Group PLC                                                 | CUSIP: 000000000<br>LEI: 213800FF2R23ALJQOP04 | Long             | DBT              | CORP              | GB        |     238000 | PA      | $210942.13    | 0.07%             | N/A             | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40567 | PA      | $37699.78     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $941.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3620AQG49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37376 | PA      | $37135.73     | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31417DRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47887 | PA      | $44824.30     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13671.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTEL CHILE SA                                     | Empresa Nacional de Telecomunicaciones SA                                       | CUSIP: 29245VAE5<br>LEI: 529900N4SUIP0URJT330 | Long             | DBT              | CORP              | CL        |     150000 | PA      | $119325.00    | 0.04%             | 2032-09-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                             | Zimmer Biomet Holdings Inc                                                      | CUSIP: 000000000<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     200000 | PA      | $185630.59    | 0.06%             | 2027-11-15      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SGD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5330.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         -1 | NC      | $22259.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| IRELAND GOVERNMENT BOND                            | Ireland Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     218000 | PA      | $208410.07    | 0.07%             | 2029-05-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                              | Japan Government Ten Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  238900000 | PA      | $1829490.34   | 0.58%             | 2024-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                             | Digital Dutch Finco BV                                                          | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $74268.14     | 0.02%             | 2032-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                | DBWF 2018-GLKS Mortgage Trust                                                   | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319686 | PA      | $310061.73    | 0.10%             | 2030-12-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                               | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     261000 | PA      | $226832.07    | 0.07%             | 2030-02-11      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4200.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITY HEALTH CORP                                | Trinity Health Corp                                                             | CUSIP: 896517AB5<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |      92000 | PA      | $63167.30     | 0.02%             | 2040-12-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43701.65     | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                           | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     150000 | PA      | $131056.41    | 0.04%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13665.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                               | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     130000 | PA      | $122096.02    | 0.04%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1095000 | PA      | $1107504.53   | 0.35%             | 2029-10-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                           | Japan Treasury Discount Bill                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  563000000 | PA      | $4291534.59   | 1.36%             | 2023-03-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                      | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $630.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                    | United States Treasury Note/Bond                                                | CUSIP: 9128285N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1885000 | PA      | $1814165.24   | 0.57%             | 2025-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                              | Province of Ontario Canada                                                      | CUSIP: 68323ACC6<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     500000 | PA      | $322308.90    | 0.10%             | 2045-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-22516.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                            | Fidelity National Information Services Inc                                      | CUSIP: 31620MBL9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     197000 | PA      | $191817.75    | 0.06%             | 2025-12-03      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                   | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      53000 | PA      | $55634.95     | 0.02%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                           | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      87000 | PA      | $75246.48     | 0.02%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                         | FedEx Corp                                                                      | CUSIP: 31428XCB0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     123000 | PA      | $104050.52    | 0.03%             | 2029-05-04      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | Societe Generale SA                                                             | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     257000 | PA      | $223730.27    | 0.07%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4794.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278025 | PA      | $235952.00    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                           | Japan Treasury Discount Bill                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  363700000 | PA      | $2769752.31   | 0.88%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                       | ING Groep NV                                                                    | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $192068.74    | 0.06%             | 2026-03-28      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       8641 | PA      | $8736.45      | 0.00%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7407.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         33 | NC      | $-39685.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                      | Citigroup Mortgage Loan Trust 2007-AR5                                          | CUSIP: 17311LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33475 | PA      | $29368.39     | 0.01%             | 2037-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     145000 | PA      | $121056.88    | 0.04%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                    | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $14946.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | SGX Mini Japan Government 10 Year Bond                                          | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DIR              | CORP              | SG        |         -2 | NC      | $4188.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST MARKETS PLC                                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-25109.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                  | General Motors Co                                                               | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     215000 | PA      | $214797.43    | 0.07%             | 2023-10-02      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                 | Leviathan Bond Ltd                                                              | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |      68196 | PA      | $66503.89     | 0.02%             | 2025-06-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                            | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     165000 | PA      | $157824.80    | 0.05%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18131.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2374574 | PA      | $2227438.19   | 0.70%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      33000 | PA      | $32204.60     | 0.01%             | 2024-01-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | TWD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1829.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-22957.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6159.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                              | Bonos de la Tesoreria de la Republica en pesos                                  | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   75000000 | PA      | $85141.81     | 0.03%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                               | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 3172000000 | PA      | $196524.43    | 0.06%             | 2033-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3132KE4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26513 | PA      | $24887.48     | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YVEZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11404 | PA      | $10229.07     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3321.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                               | DH Europe Finance II Sarl                                                       | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     110000 | PA      | $88409.79     | 0.03%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-53841.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                           | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     150000 | PA      | $125628.41    | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $16254.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LOCAL                                 | Dexia Credit Local SA                                                           | CUSIP: 000000000<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $363658.41    | 0.12%             | 2028-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1054000 | PA      | $748975.71    | 0.24%             | 2027-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57298 | PA      | $47027.40     | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SWOP IRS EUR                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    1000000 | OU      | $7511.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                            | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     223000 | PA      | $191922.57    | 0.06%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-88112.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                 | RON/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1089.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11401 | PA      | $10898.87     | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                   | Deutsche Bank AG                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $83794.59     | 0.03%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                            | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     530000 | PA      | $493814.47    | 0.16%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                           | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    1980000 | PA      | $57649.96     | 0.02%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | PLN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-336.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17228 | PA      | $16573.10     | 0.01%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10408.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                | Dominion Energy Inc                                                             | CUSIP: 25746UCY3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     250000 | PA      | $238352.12    | 0.08%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENERGIAS DE PORTUGAL SA                            | EDP - Energias de Portugal SA                                                   | CUSIP: 000000000<br>LEI: 529900CLC3WDMGI9VH80 | Long             | DBT              | CORP              | PT        |     100000 | PA      | $86834.10     | 0.03%             | 2082-03-14      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2473.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 3620AMTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36105 | PA      | $34951.32     | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMTP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7133 | PA      | $6831.05      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 31415LCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20357 | PA      | $20743.51     | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1818000 | PA      | $1728610.69   | 0.55%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                           | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAL8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     113000 | PA      | $75622.60     | 0.02%             | 2050-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                          | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $117560.39    | 0.04%             | 2033-01-18      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 68329AAH1<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |     854000 | PA      | $668429.98    | 0.21%             | 2030-09-27      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                           | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |      22000 | PA      | $18082.20     | 0.01%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-77266.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                               | Booking Holdings Inc                                                            | CUSIP: 09857LAW8<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     530000 | PA      | $573036.22    | 0.18%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                           | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      41000 | PA      | $29090.15     | 0.01%             | 2067-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS ZAR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $2350.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                            | Shell International Finance BV                                                  | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      20000 | PA      | $14556.53     | 0.00%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association              | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1476.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25762 | PA      | $25677.52     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                       | Upstart Securitization Trust 2021-4                                             | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     205881 | PA      | $199297.53    | 0.06%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                | CUSIP: 3133A44J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328940 | PA      | $281784.08    | 0.09%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                           | Ontario Teachers' Finance Trust                                                 | CUSIP: 68329AAJ7<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |    1251000 | PA      | $1030929.96   | 0.33%             | 2031-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                           | Cooperatieve Rabobank UA                                                        | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $809839.74    | 0.26%             | 2031-12-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS CHF                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $27773.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25105 | PA      | $23329.39     | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                          | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-33817.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                     | Credit Acceptance Auto Loan Trust 2021-3                                        | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     390000 | PA      | $372513.02    | 0.12%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                       | Newmont Corp                                                                    | CUSIP: 651639AZ9<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |      75000 | PA      | $59758.94     | 0.02%             | 2032-07-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                         | DOLP Trust 2021-NYC                                                             | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313000 | PA      | $248598.03    | 0.08%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                     | BHG Securitization Trust 2021-B                                                 | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      57122 | PA      | $53768.65     | 0.02%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | TWD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $84.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae II Pool                                                              | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131478 | PA      | $126470.18    | 0.04%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                              | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     456000 | PA      | $266791.02    | 0.08%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                             | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $83291.45     | 0.03%             | 2027-04-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138YR6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14872 | PA      | $13940.75     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10334.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                     | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12489WQE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15396 | PA      | $14937.27     | 0.00%             | 2035-12-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                   | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10487 | PA      | $10474.42     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CIE FINANCEMENT FONCIER                            | Cie de Financement Foncier SA                                                   | CUSIP: 000000000<br>LEI: DKGVVH5FKILG8R13CO13 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $188501.96    | 0.06%             | 2028-01-11      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Government National Mortgage Association                                        | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86653 | PA      | $10761.25     | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 0 CP 18/01/2023                        | ORACLE CORP 0 CP 18/01/2023                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1621081.44   | 0.51%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     115000 | PA      | $85826.72     | 0.03%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                   | ABN AMRO Bank NV                                                                | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $190993.05    | 0.06%             | 2041-09-17      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association          | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3213.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                            | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     109000 | PA      | $84438.57     | 0.03%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                            | EIG Pearl Holdings Sarl                                                         | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $335450.00    | 0.11%             | 2036-08-31      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138AUGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6424 | PA      | $6368.14      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                     | Ginnie Mae I Pool                                                               | CUSIP: 36290X7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11321 | PA      | $11781.10     | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                | Freddie Mac STACR REMIC Trust 2020-HQA4                                         | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1259 | PA      | $1259.26      | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                      | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      91000 | PA      | $89276.01     | 0.03%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                 | CUSIP: 3138EHQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30287 | PA      | $30023.89     | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9627.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Advanced Series Trust

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Treasurer and Principal Financial and Accounting Officer