# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0001752724-25-212851
**Filing Date:** 2025-8
**Character Count:** 396339
**Document Hash:** 418818e6c94341d2c5d2cc37f95d0034
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-212851.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001752724-25-212851

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07452
- **FILM NUMBER:** 251280565

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS
- **DATE OF NAME CHANGE:** 20000719

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### Invesco V.I. Global Strategic Income Fund (Series ID: S000064661)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000209369 | Series II    |  |
| C000209370 | Series I     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

- **b. Investment Company Act file number:** 811-07452

- **c. CIK number of Registrant:** 0000896435

- **d. LEI of Registrant:** FC4UULIMJMGKBDUARB13

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco V.I. Global Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000064661

- **c. LEI of Series:** 549300NCC31DI84NL880

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $779866790.38

**Total Liabilities:** $104190870.86

**Net Assets:** $675675919.52

**Amount of Assets Invested in Other Investment Companies:** $7343719.77

**Delayed Delivery Securities:** $560647.50

**Cash Not Reported:** $37594198.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1885.31261969 | **1-Year:** -16559.38343123 | **5-Year:** -16482.32900135 | **10-Year:** -31927.72069997 | **30-Year:** -23594.44915566

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

- **3-Month:** -5602.53270099 | **1-Year:** -6108.12114780 | **5-Year:** -22092.07881774 | **10-Year:** -6840.31195029 | **30-Year:** -447.13164314

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000209370 | 1.13%                | 0.89%                | 2.43%                |
| Class ID C000209369 | 1.09%                | 0.65%                | 2.58%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5174732.50             | $901160.51                                 |
| Month 2  | $-3081344.82             | $5190359.14                                |
| Month 3  | $-563299.98              | $6654881.42                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E          | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     885000 | PA      | $1217082.43   | 0.18%             | 2053-07-20      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Bausch and Lomb, Inc.                                                       | Bausch and Lomb, Inc., Term Loan                                                     | CUSIP: C0787FAJ1<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |     275000 | PA      | $275860.75    | 0.04%             | 2031-01-30      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| J. M. Smucker Co. (The)                                                     | J. M. Smucker Co. (The)                                                              | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    1467000 | PA      | $1542212.02   | 0.23%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Univision Communications Inc.                                               | Univision Communications Inc.                                                        | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      58000 | PA      | $57043.30     | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| EnerSys                                                                     | EnerSys                                                                              | CUSIP: 29275YAF9<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |     134000 | PA      | $137185.98    | 0.02%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2795 | PA      | $292.45       | 0.00%             | 2032-03-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -20210000 | NC      | $-517468.97   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC            | Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC                     | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      48000 | PA      | $48528.38     | 0.01%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                           | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                    | CUSIP: 00253XAA9<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     986667 | PA      | $985019.23    | 0.15%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Province of Ontario                                                         | Province of Ontario                                                                  | CUSIP: 683234SL3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    6200000 | PA      | $5241418.76   | 0.78%             | 2033-03-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15527500 | NC      | $15.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     171000 | PA      | $151796.27    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                         | Newgate Funding PLC, Series 2006-2, Class CB                                         | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |     444007 | PA      | $479083.07    | 0.07%             | 2050-12-01      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank N.V.                                                          | ABN AMRO Bank N.V.                                                                   | CUSIP: BJ9252492<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    1300000 | PA      | $1535339.52   | 0.23%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                                    | YPF S.A., ADR                                                                        | CUSIP: 984245100<br>LEI: 5493003N7447U18U5U53 | Long             | EC               | CORP              | AR        |      22500 | NS      | $707625.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-42725.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                              | Aircastle Ltd.                                                                       | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     732000 | PA      | $726364.25    | 0.11%             | N/A             | Variable      | 5.25%                 | No            |                  2 | On Loan: —       |
| Allison Transmission, Inc.                                                  | Allison Transmission, Inc.                                                           | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $958480.58    | 0.14%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Starz Capital Holdings 1, Inc.                                              | Starz Capital Holdings 1, Inc.                                                       | CUSIP: 535939AA0<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |     323000 | PA      | $281517.11    | 0.04%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                  | Verus Securitization Trust, Series 2022-7, Class A3                                  | CUSIP: 92539NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376345 | PA      | $379129.62    | 0.06%             | 2067-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-92.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      61373 | PA      | $6219.17      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2440.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                      | GFL Environmental Inc.                                                               | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     596000 | PA      | $578513.59    | 0.09%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                             | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class AS                           | CUSIP: 92890PAG9<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      90069 | PA      | $87737.64     | 0.01%             | 2046-06-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208T6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6231 | PA      | $6316.86      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACNR Holdings Inc.                                                          | ACNR Holdings Inc., Term Loan                                                        | CUSIP: 02522YAD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      25872 | PA      | $25403.49     | 0.00%             | 2029-12-11      | Floating      | 17.31%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    4593000 | NC      | $219355.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7611.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-347774.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                                 | Macy's Retail Holdings, LLC                                                          | CUSIP: 55617LAL6<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |     321000 | PA      | $270029.44    | 0.04%             | 2034-07-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-67721.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -50480000 | NC      | $-584906.71   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $88282.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133T7ZF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       6172 | PA      | $6169.73      | 0.00%             | 2026-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                       | NextEra Energy Capital Holdings, Inc.                                                | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1879000 | PA      | $1954103.63   | 0.29%             | 2054-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-22708.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-HQA1, Class M2                                              | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | USGSE             | US        |    1670900 | PA      | $1689225.09   | 0.25%             | 2044-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Navient Corp.                                                               | Navient Corp.                                                                        | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      96000 | PA      | $105963.94    | 0.02%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -100950000 | NC      | $-793046.04   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2, Series 2024-NQM2, Class A3 | CUSIP: 61776HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1437600 | PA      | $1455259.68   | 0.22%             | 2069-05-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Howard Midstream Energy Partners, LLC                                       | Howard Midstream Energy Partners, LLC                                                | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     249000 | PA      | $262057.06    | 0.04%             | 2032-07-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      24008 | PA      | $3311.01      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     125000 | PA      | $125759.85    | 0.02%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings, Inc.                                                 | Endo Finance Holdings, Inc.                                                          | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     273000 | PA      | $289327.58    | 0.04%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-863336.16   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-74173.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31396KV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      87314 | PA      | $4495.35      | 0.00%             | 2036-09-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC.                                                        | Sirius XM Radio LLC.                                                                 | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     280000 | PA      | $277798.84    | 0.04%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     181000 | PA      | $180463.97    | 0.03%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A2                                    | CUSIP: 67448PAB9<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     537926 | PA      | $539008.14    | 0.08%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                            | Argentine Republic Government International Bond                                     | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1738000 | PA      | $1390400.00   | 0.21%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140QPRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6728825 | PA      | $6475525.04   | 0.96%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       8174 | PA      | $8019.93      | 0.00%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                         | Ludgate Funding PLC, Series 2007-1, Class MA                                         | CUSIP: BCC0YN9Q6<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     718367 | PA      | $933553.67    | 0.14%             | 2061-01-01      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Eutelsat S.A.                                                               | Eutelsat S.A.                                                                        | CUSIP: ZD9999388<br>LEI: 549300MCOOY1V7P2PG30 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $318849.15    | 0.05%             | 2029-04-13      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bond                                         | Republic of Austria Government Bond                                                  | CUSIP: BP0520166<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |    3910000 | PA      | $1674606.96   | 0.25%             | 2071-04-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                                  | Sensata Technologies, Inc.                                                           | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     310000 | PA      | $282870.94    | 0.04%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11216.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund                                           | Golub Capital Private Credit Fund                                                    | CUSIP: 38179RAB1<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    1409000 | PA      | $1408096.72   | 0.21%             | 2029-09-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   27740000 | NC      | $281944.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-158230.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IM Pastor 4, FTA                                                            | IM Pastor 4, FTA, Series B                                                           | CUSIP: BCC0QWGY0<br>LEI: 95980020140005262912 | Long             | ABS-MBS          | CORP              | ES        |    1000000 | PA      | $843737.78    | 0.12%             | 2044-03-22      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2025-DNA2, Class A1                                              | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |     625625 | PA      | $626233.61    | 0.09%             | 2045-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                        | FREMF Mortgage Trust, Series 2017-K62, Class B                                       | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $276302.60    | 0.04%             | 2050-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Aberdeen Group PLC                                                          | Aberdeen Group PLC                                                                   | CUSIP: AP5373554<br>LEI: 0TMBS544NMO7GLCE7H90 | Long             | DBT              | CORP              | GB        |     675000 | PA      | $653502.60    | 0.10%             | 2028-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                       | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO     | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   18474254 | PA      | $562901.28    | 0.08%             | 2029-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                          | Berry Global, Inc.                                                                   | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     802000 | PA      | $828124.40    | 0.12%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Cougar JV Subsidiary, LLC                                                   | Cougar JV Subsidiary, LLC                                                            | CUSIP: 22208WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     279000 | PA      | $297669.84    | 0.04%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| Sociedad Quimica y Minera de Chile S.A.                                     | Sociedad Quimica y Minera de Chile S.A.                                              | CUSIP: 833636AP8<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |    2105000 | PA      | $2050754.15   | 0.30%             | 2034-09-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -9230000 | NC      | $-603974.28   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $301402.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                                      | BP Capital Markets PLC                                                               | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     455000 | PA      | $451706.73    | 0.07%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-343713.48   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                                               | Univision Communications Inc.                                                        | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     221000 | PA      | $220600.43    | 0.03%             | 2027-06-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15155000 | NC      | $11987.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2005-2, Class 1A3                              | CUSIP: 17307GRB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     117575 | PA      | $114380.72    | 0.02%             | 2035-05-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                     | Bath & Body Works, Inc.                                                              | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     271000 | PA      | $279587.72    | 0.04%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $133245.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class C                       | CUSIP: 78437XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $300724.61    | 0.04%             | 2031-04-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Banco Macro S.A.                                                            | Banco Macro S.A., Class B                                                            | CUSIP: N/A<br>LEI: 579100KKDKKIFEBKK040       | Long             | EC               | CORP              | AR        |     170000 | NS      | $1192608.47   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3799.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc.                                                     | RB Global Holdings Inc.                                                              | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     407000 | PA      | $417997.14    | 0.06%             | 2028-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2025-1                            | Newday Funding Master Issuer PLC - Series 2025-1, Series 2025-1X, Class E            | CUSIP: BCC3LFVV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    1510000 | PA      | $2082382.60   | 0.31%             | 2033-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association, IO                                         | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      74486 | PA      | $4976.13      | 0.00%             | 2041-04-16      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      96434 | PA      | $7971.65      | 0.00%             | 2035-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9066.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc.                      | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc.                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     250000 | PA      | $305370.45    | 0.05%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1584704.50   | 0.23%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MPH Acquisition Holdings LLC                                                | MPH Acquisition Holdings LLC, Term Loan                                              | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |     139650 | PA      | $137834.55    | 0.02%             | 2030-12-31      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                    | Lloyds Banking Group PLC                                                             | CUSIP: BY7766862<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $1370033.07   | 0.20%             | N/A             | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   38750000 | NC      | $101912.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     130000 | PA      | $133679.13    | 0.02%             | 2029-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -15230000 | NC      | $-1369620.45  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                       | Westlake Automobile Receivables Trust, Series 2024-3A, Class D                       | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1510960.20   | 0.22%             | 2030-04-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      65873 | PA      | $2617.06      | 0.00%             | 2035-05-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13482.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                                       | Claire's Holdings LLC, Class S                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        235 | NS      | $35.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $666082.49    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $181227.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $124629.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Telecom Italia Capital S.A.                                                 | Telecom Italia Capital S.A.                                                          | CUSIP: 87927VAF5<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     316000 | PA      | $329905.90    | 0.05%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Sunrise FinCo I B.V.                                                        | Sunrise FinCo I B.V.                                                                 | CUSIP: N/A<br>LEI: 213800MNFBDEQRS6HZ22       | Long             | DBT              | CORP              | NL        |     250000 | PA      | $297450.95    | 0.04%             | 2032-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                             | Sinclair Television Group, Inc.                                                      | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      55000 | PA      | $55609.75     | 0.01%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                            | Paramount Global                                                                     | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1577853.93   | 0.23%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                                      | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR16, Class 1A1                  | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2181 | PA      | $2011.91      | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-DNA6, Class M1                                              | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |     200785 | PA      | $202343.38    | 0.03%             | 2042-09-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                  | Allison Transmission, Inc.                                                           | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     139000 | PA      | $137822.67    | 0.02%             | 2027-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class A                                   | CUSIP: BCC3H4L87<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |    1031907 | PA      | $1420818.52   | 0.21%             | 2034-11-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AK6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     175000 | PA      | $181390.83    | 0.03%             | 2032-09-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                                    | Studio City Finance Ltd.                                                             | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |     323000 | PA      | $296608.01    | 0.04%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-DNA1, Class M1                                              | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | USGSE             | US        |     722309 | PA      | $733262.72    | 0.11%             | 2043-03-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Banco BBVA Argentina S.A.                                                   | Banco BBVA Argentina S.A.                                                            | CUSIP: N/A<br>LEI: 579100KKDBKJFDKKD024       | Long             | EC               | CORP              | AR        |      80000 | NS      | $438355.22    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                            | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     450000 | PA      | $467898.71    | 0.07%             | 2055-03-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Pampa Energia S.A.                                                          | Pampa Energia S.A.                                                                   | CUSIP: N/A<br>LEI: 254900QNIK0CVURGML24       | Long             | EC               | CORP              | AR        |     400000 | NS      | $1114152.85   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4959.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA3, Class M2                                              | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3274448.78   | 0.48%             | 2043-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $772220.79    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Sealed Air Corp.                                                            | Sealed Air Corp.                                                                     | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     282000 | PA      | $279144.75    | 0.04%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexican Bonos                                                               | Mexican Bonos                                                                        | CUSIP: YR0988158<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  364000000 | PA      | $19281170.30  | 2.85%             | 2030-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      13662 | PA      | $1928.68      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Claire's Stores Inc.                                                        | Claire's Stores Inc., Term Loan                                                      | CUSIP: 17958DAL1<br>LEI: 549300N5HNYXI6JY7625 | Long             | LON              | CORP              | US        |      71011 | PA      | $28285.66     | 0.00%             | 2026-12-18      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      73782 | PA      | $5907.61      | 0.00%             | 2035-05-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                           | Rocket Cos., Inc.                                                                    | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     278000 | PA      | $283464.09    | 0.04%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                                   | Jupiter Mortgage No.1 PLC                                                            | CUSIP: BCC3D7YQ0<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |    1379000 | PA      | $1893531.28   | 0.28%             | 2055-07-20      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA2, Class M1                                              | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $938476.80    | 0.14%             | 2043-06-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                          | Newell Brands Inc.                                                                   | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     131000 | PA      | $129918.37    | 0.02%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Argentum Netherlands BV for Swiss Re Ltd.                                   | Argentum Netherlands BV for Swiss Re Ltd.                                            | CUSIP: LW2260898<br>LEI: 724500RPEZI5VVQQWE89 | Long             | DBT              | CORP              | NL        |     207000 | PA      | $208076.92    | 0.03%             | 2052-08-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6A, Class F          | CUSIP: BCC3FJ063<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     950000 | PA      | $1306451.80   | 0.19%             | 2053-07-20      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-77478.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation - Indexed Bonds                                     | U.S. Treasury Inflation - Indexed Bonds                                              | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16358853 | PA      | $12969257.60  | 1.92%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                            | CMS Energy Corp.                                                                     | CUSIP: 125896BY5<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1701000 | PA      | $1709322.99   | 0.25%             | 2055-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Europe, B.V.                                                     | Telefonica Europe, B.V.                                                              | CUSIP: ZN3747385<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |    1500000 | PA      | $1939300.69   | 0.29%             | N/A             | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $79955.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Grupo Financiero Galicia S.A.                                               | Grupo Financiero Galicia S.A., Class B                                               | CUSIP: N/A<br>LEI: 5299008H3AXIXV5G3C23       | Long             | EC               | CORP              | AR        |     535000 | NS      | $2709417.15   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Invesco Treasury Portfolio                                                  | Invesco Treasury Portfolio, Institutional Class                                      | CUSIP: 825252406<br>LEI: 5493004B3TM8ZIDDDC39 | Long             | STIV             | RF                | US        |   15324700 | NS      | $15324700.38  | 2.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Summit Midstream Holdings, LLC                                              | Summit Midstream Holdings, LLC                                                       | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     274000 | PA      | $280533.80    | 0.04%             | 2029-10-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    7075000 | NC      | $898163.61    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Transocean Titan Financing Ltd.                                             | Transocean Titan Financing Ltd.                                                      | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      98619 | PA      | $100247.00    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3740000 | NC      | $430376.76    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393Y5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      81223 | PA      | $9254.38      | 0.00%             | 2033-10-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                        | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAD0<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     701000 | PA      | $708130.01    | 0.10%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2412.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2024-INV3 Trust                                                        | GCAT 2024-INV3 Trust, Series 2024-INV3, Class A17                                    | CUSIP: 36830FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173855 | PA      | $177336.60    | 0.03%             | 2054-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                              | Carnival Corp.                                                                       | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     186000 | PA      | $189603.75    | 0.03%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                        | Muthoot Finance Ltd.                                                                 | CUSIP: 62828M2C4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |    1550000 | PA      | $1579183.79   | 0.23%             | 2028-02-14      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-98318.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GMR Hyderabad International Airport Ltd.                                    | GMR Hyderabad International Airport Ltd.                                             | CUSIP: AP5111855<br>LEI: 335800NSPGIN89SVOU83 | Long             | DBT              | CORP              | IN        |    1800000 | PA      | $1742647.61   | 0.26%             | 2027-10-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                            | LCM Investments Holdings II, LLC                                                     | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     271000 | PA      | $288348.88    | 0.04%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -24250000 | NC      | $-2667.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-104551.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-178216.88   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-820859.82   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class M1                                    | CUSIP: 67448PAD5<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $309857.31    | 0.05%             | 2064-07-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -57425000 | NC      | $-410143.39   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $240579.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       9022 | PA      | $1028.82      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kimmeridge Texas Gas, LLC                                                   | Kimmeridge Texas Gas, LLC                                                            | CUSIP: 49446BAA2<br>LEI: 254900LM244SIFQ1QY31 | Long             | DBT              | CORP              | US        |     280000 | PA      | $290016.16    | 0.04%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-2X, Class E1C                                              | CUSIP: BCC0T5HQ2<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |    1830000 | PA      | $2256569.12   | 0.33%             | 2044-12-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-201702.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $47026.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                              | British Telecommunications PLC                                                       | CUSIP: 11102AAF8<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    4350000 | PA      | $4272556.95   | 0.63%             | 2081-11-23      | Variable      | 4.25%                 | No            |                  2 | On Loan: —       |
| OI European Group B.V.                                                      | OI European Group B.V.                                                               | CUSIP: 67777LAD5<br>LEI: 72450053F5WRDY8CDZ66 | Long             | DBT              | CORP              | NL        |     315000 | PA      | $303229.73    | 0.04%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Iron Mountain Information Management Services, Inc.                         | Iron Mountain Information Management Services, Inc.                                  | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305000 | PA      | $292901.75    | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                | UBS Group AG                                                                         | CUSIP: ZG0292620<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1550000 | PA      | $1695659.70   | 0.25%             | N/A             | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC            | Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC                     | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     205000 | PA      | $217462.46    | 0.03%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      17891 | PA      | $1696.06      | 0.00%             | 2032-12-18      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                     | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     470000 | PA      | $472198.46    | 0.07%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                             | AES Corp. (The)                                                                      | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    2214000 | PA      | $2285069.16   | 0.34%             | 2055-01-15      | Variable      | 7.60%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -12125000 | NC      | $-14925.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       4176 | PA      | $533.11       | 0.00%             | 2033-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -20210000 | NC      | $-1513762.95  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Alba PLC                                                                    | Alba PLC, Series 2007-1, Class F                                                     | CUSIP: BCC0XU0N7<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |     575156 | PA      | $752202.31    | 0.11%             | 2039-03-17      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2022-R04, Class 1M2                 | CUSIP: 20753YCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770000 | PA      | $793775.98    | 0.12%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Vista Energy Argentina S.A.U                                                | Vista Energy Argentina S.A.U                                                         | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     775000 | PA      | $752331.25    | 0.11%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                        | Xerox Holdings Corp.                                                                 | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |      37000 | PA      | $28318.08     | 0.00%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A3                                    | CUSIP: 67448PAC7<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     271048 | PA      | $271466.56    | 0.04%             | 2064-07-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Bain Capital Specialty Finance, Inc.                                        | Bain Capital Specialty Finance, Inc.                                                 | CUSIP: 05684BAD9<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |     387000 | PA      | $382763.01    | 0.06%             | 2030-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                                         | U.S. Treasury Bills                                                                  | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24652000 | PA      | $23820604.42  | 3.53%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1378 | PA      | $132.06       | 0.00%             | 2032-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                          | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-J4, Class A7         | CUSIP: 126694RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151773 | PA      | $126388.07    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                            | Argentine Republic Government International Bond                                     | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    2350000 | PA      | $1458643.10   | 0.22%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2667.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Viatris Inc.                                                                | Viatris Inc.                                                                         | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     780000 | PA      | $576440.53    | 0.09%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-118028.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2531 | PA      | $272.97       | 0.00%             | 2032-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1431006.90   | 0.21%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Japan Government Bond                                                       | Japan Government Bond                                                                | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  943650000 | PA      | $6571321.01   | 0.97%             | 2065-03-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                          | Greystar Real Estate Partners, LLC, Term Loan B                                      | CUSIP: 39806LAD9<br>LEI: 254900HGC806SXAS4M46 | Long             | LON              | CORP              | US        |     154463 | PA      | $155041.97    | 0.02%             | 2030-08-21      | Floating      | 7.03%                 | No            |                  3 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393AHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      31120 | PA      | $5309.16      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7705000 | NC      | $-584701.63   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -27740000 | NC      | $-31274.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $802698.41    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                               | Enbridge Inc.                                                                        | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2989000 | PA      | $3082615.48   | 0.46%             | 2083-01-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: —       |
| Xerox Holdings Corp.                                                        | Xerox Holdings Corp.                                                                 | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30241.53     | 0.00%             | 2029-11-30      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                                | Diversified Healthcare Trust                                                         | CUSIP: 25525PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     436000 | PA      | $423178.11    | 0.06%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Financiero Invernea Proteina 2                                  | Fideicomiso Financiero Invernea Proteina 2, Serie II                                 | CUSIP: BCC37HGV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AR        |  133500000 | PA      | $745470.37    | 0.11%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Volkswagen International Finance N.V.                                       | Volkswagen International Finance N.V.                                                | CUSIP: EK1313726<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     520000 | PA      | $617462.22    | 0.09%             | N/A             | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FASW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      17379 | PA      | $2047.02      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -32200000 | NC      | $-568429.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5, Series 2024-NQM5, Class A3 | CUSIP: 61777QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     853492 | PA      | $858217.08    | 0.13%             | 2069-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc.                                                       | Keurig Dr Pepper Inc.                                                                | CUSIP: 49271VAZ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     698000 | PA      | $699333.18    | 0.10%             | 2028-05-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1350000 | NC      | $158640.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                 | ONEOK, Inc.                                                                          | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1556000 | PA      | $1618492.04   | 0.24%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1510000 | NC      | $27814.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392X3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       6750 | PA      | $6797.91      | 0.00%             | 2032-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Clear Channel Worldwide Holdings, Inc.                                      | Clear Channel Worldwide Holdings, Inc., Term Loan B                                  | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |     285646 | PA      | $283961.76    | 0.04%             | 2028-08-23      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                        | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     270000 | PA      | $277784.37    | 0.04%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| South Bow Canadian Infrastructure Holdings Ltd.                             | South Bow Canadian Infrastructure Holdings Ltd.                                      | CUSIP: 836720AF9<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |    1550000 | PA      | $1615614.60   | 0.24%             | 2055-03-01      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      11450 | PA      | $1033.85      | 0.00%             | 2039-12-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M1                 | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258151 | PA      | $259041.96    | 0.04%             | 2043-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Treasury Corp. of Victoria                                                  | Treasury Corp. of Victoria                                                           | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |    7395000 | PA      | $5010403.18   | 0.74%             | 2026-11-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Civitas Resources, Inc.                                                     | Civitas Resources, Inc.                                                              | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |     135000 | PA      | $138499.34    | 0.02%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-539584.07   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392BKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       9331 | PA      | $9561.51      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alba PLC                                                                    | Alba PLC, Series 2006-2, Class F                                                     | CUSIP: BCC0TR7H5<br>LEI: 2138004SAGUH3UKKW934 | Long             | ABS-MBS          | CORP              | GB        |     399232 | PA      | $502927.82    | 0.07%             | 2038-12-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Eurobank S.A.                                                               | Eurobank S.A.                                                                        | CUSIP: ZG2610597<br>LEI: 213800KGF4EFNUQKAT69 | Long             | DBT              | CORP              | GR        |     775000 | PA      | $993930.79    | 0.15%             | 2029-11-28      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -127875000 | NC      | $-2465748.41  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Prosus N.V.                                                                 | Prosus N.V.                                                                          | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     780000 | PA      | $763909.52    | 0.11%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                                    | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     282000 | PA      | $290104.12    | 0.04%             | 2030-01-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-DNA1, Class M2                                              | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |    1550000 | PA      | $1574367.71   | 0.23%             | 2044-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6496135 | PA      | $6386213.08   | 0.95%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Antero Midstream Partners L.P./ Antero Midstream Finance Corp.              | Antero Midstream Partners L.P./ Antero Midstream Finance Corp.                       | CUSIP: 03690AAK2<br>LEI: 529900HFO1BDEIT4QU11 | Long             | DBT              | CORP              | US        |     276000 | PA      | $285262.56    | 0.04%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Ares XXXVII CLO Ltd.                                                        | Ares XXXVII CLO Ltd., Series 2015-4A, Class DR                                       | CUSIP: 04015NAM6<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |    1010000 | PA      | $1012810.83   | 0.15%             | 2030-10-15      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $4401499.26   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15140000 | NC      | $94079.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -74880000 | NC      | $-666157.25   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     266000 | PA      | $224682.22    | 0.03%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                           | CD Mortgage Trust, Series 2017-CD6, Class XA                                         | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1718415 | PA      | $25441.13     | 0.00%             | 2050-11-13      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc.                                                     | Brookfield Finance Inc.                                                              | CUSIP: 11271LAL6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     827000 | PA      | $826104.52    | 0.12%             | 2054-03-04      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -15500000 | NC      | $-222223.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14980000 | NC      | $-27103.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                      | GFL Environmental Inc.                                                               | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     303000 | PA      | $292482.99    | 0.04%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                         | Petroleos Mexicanos                                                                  | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1500000 | PA      | $1490516.40   | 0.22%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                         | Egypt Government International Bond                                                  | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1095000 | PA      | $1108276.65   | 0.16%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Calpine Corp.                                                               | Calpine Corp.                                                                        | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     420000 | PA      | $419791.93    | 0.06%             | 2028-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | MX        |          1 | NC      | $-3715420.50  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       6913 | PA      | $253.21       | 0.00%             | 2038-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Global Atlantic (Fin) Co.                                                   | Global Atlantic (Fin) Co.                                                            | CUSIP: 37959GAC1<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |     316000 | PA      | $310296.41    | 0.05%             | 2051-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -23960000 | NC      | $-398485.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Telenet Finance Luxembourg Notes S.a.r.l.                                   | Telenet Finance Luxembourg Notes S.a.r.l.                                            | CUSIP: AQ2322842<br>LEI: 2138007RI9GLJPCC3E25 | Long             | DBT              | CORP              | LU        |    1600000 | PA      | $1591174.78   | 0.24%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                       | United Airlines, Inc.                                                                | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1446290.52   | 0.21%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   11980000 | NC      | $539207.82    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| EnerSys                                                                     | EnerSys                                                                              | CUSIP: 29275YAC6<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |     291000 | PA      | $287081.28    | 0.04%             | 2027-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -30680000 | NC      | $-140812.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-127422.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                                     | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $499996.60    | 0.07%             | 2055-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 313921R34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       9619 | PA      | $907.89       | 0.00%             | 2031-11-18      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -19970000 | NC      | $-47933.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392JDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      28331 | PA      | $3210.25      | 0.00%             | 2033-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                  | Rogers Communications Inc.                                                           | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     943000 | PA      | $966440.68    | 0.14%             | 2055-04-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-32442.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-362420.48   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple          | FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple                   | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     944538 | PA      | $959555.97    | 0.14%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                                  | Lamb Weston Holdings, Inc.                                                           | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     313000 | PA      | $294312.21    | 0.04%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| RHP Hotel Properties L.P./ RHP Finance Corp.                                | RHP Hotel Properties L.P./ RHP Finance Corp.                                         | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $283077.03    | 0.04%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                              | Carnival Corp.                                                                       | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     175000 | PA      | $176554.30    | 0.03%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                 | ONEOK, Inc.                                                                          | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1257396.59   | 0.19%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV1 Mortgage Loan Trust                                          | COLT 2024-INV1 Mortgage Loan Trust, Series 2024-INV1, Class A3                       | CUSIP: 12672RAC6<br>LEI: 213800D3JCL6LSBI3544 | Long             | ABS-MBS          | CORP              | US        |     391215 | PA      | $394290.70    | 0.06%             | 2068-12-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                                 | Clarios Global L.P./ Clarios US Finance Co.                                          | CUSIP: 18060TAD7<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |     140000 | PA      | $145682.18    | 0.02%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392KGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       7475 | PA      | $7453.72      | 0.00%             | 2032-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CPI Property Group S.A.                                                     | CPI Property Group S.A.                                                              | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |    1300000 | PA      | $1514108.31   | 0.22%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Murray Energy Corp.                                                         | Murray Energy Corp.                                                                  | CUSIP: N/A<br>LEI: 549300WM5IIFYHZYTT63       | Long             | EC               | CORP              | US        |        478 | NS      | $35252.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                                      | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                   | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11839 | PA      | $11443.98     | 0.00%             | 2033-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -55520000 | NC      | $-1286386.34  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                             | BRAVO Residential Funding Trust, Series 2023-NQM7, Class A1                          | CUSIP: 10569HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1155873 | PA      | $1174116.30   | 0.17%             | 2063-09-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                         | Newgate Funding PLC, Series 2007-3X, Class CB                                        | CUSIP: BCC11HRV2<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     316605 | PA      | $355894.58    | 0.05%             | 2050-12-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $23921.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-89603.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2325000 | NC      | $285712.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $38527.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                            | Gray Media, Inc.                                                                     | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      56000 | PA      | $60204.20     | 0.01%             | 2029-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-115.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                         | Rate Mortgage Trust, Series 2024-J3, Class A2                                        | CUSIP: 75409UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472062 | PA      | $469502.65    | 0.07%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                       | WMG Acquisition Corp.                                                                | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     290000 | PA      | $272069.10    | 0.04%             | 2029-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-DNA3, Class M1                                              | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3092268.60   | 0.46%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F          | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     620000 | PA      | $852631.70    | 0.13%             | 2053-07-20      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| SC Germany S.A. Compartment Consumer Trust                                  | SC Germany S.A. Compartment Consumer Trust, Series 2021-1, Class E                   | CUSIP: BCC32SYK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |    2913710 | PA      | $3412087.10   | 0.50%             | 2035-11-14      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                                     | NESCO Holdings II, Inc.                                                              | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |     289000 | PA      | $281751.79    | 0.04%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12252.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Argentina Treasury Bond BONTE                                               | Argentina Treasury Bond BONTE                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AR        | 4150000000 | PA      | $3781332.64   | 0.56%             | 2027-04-27      | Fixed         | 29.50%                | No            |                  2 | On Loan: No      |
| African Development Bank                                                    | African Development Bank                                                             | CUSIP: ZP3697759<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | CORP              | CI        |   78000000 | PA      | $340728.80    | 0.05%             | 2050-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco de Credito e Inversiones S.A.                                         | Banco de Credito e Inversiones S.A.                                                  | CUSIP: 05890MAC7<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |     775000 | PA      | $818245.00    | 0.12%             | N/A             | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria S.A.                                        | Banco Bilbao Vizcaya Argentaria S.A.                                                 | CUSIP: BK4220673<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1800000 | PA      | $2149191.93   | 0.32%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -11230000 | NC      | $-209607.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8159.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Europe, B.V.                                                     | Telefonica Europe, B.V.                                                              | CUSIP: ZR6556750<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |    1500000 | PA      | $1733804.95   | 0.26%             | N/A             | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc.                                        | Acrisure LLC / Acrisure Finance Inc.                                                 | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     405000 | PA      | $418642.02    | 0.06%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Weir Group Inc.                                                             | Weir Group Inc.                                                                      | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |     569000 | PA      | $577158.45    | 0.09%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-257111.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Sealed Air Corp.                                                            | Sealed Air Corp.                                                                     | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     131000 | PA      | $141515.37    | 0.02%             | 2033-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                             | Solventum Corp.                                                                      | CUSIP: 83444MAN1<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    2236000 | PA      | $2273406.85   | 0.34%             | 2027-02-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                            | Fideicomiso Dorrego y Libertador                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AR        |   33994486 | PA      | $26811.70     | 0.00%             | 2043-12-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M1                 | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     336418 | PA      | $338412.48    | 0.05%             | 2043-07-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                               | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                              | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2533829 | PA      | $42975.52     | 0.01%             | 2050-11-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31339WXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      67374 | PA      | $2340.22      | 0.00%             | 2032-04-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3030000 | NC      | $845262.82    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15420000 | NC      | $11179.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      33681 | PA      | $2088.11      | 0.00%             | 2035-01-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                                 | PHINIA Inc.                                                                          | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     124000 | PA      | $128145.32    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1454321.03   | 0.22%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IHS Holding Ltd.                                                            | IHS Holding Ltd.                                                                     | CUSIP: 44963HAD7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |    1550000 | PA      | $1569061.51   | 0.23%             | 2031-11-29      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, L.P.                                                      | Medline Borrower, L.P.                                                               | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     147000 | PA      | $141110.61    | 0.02%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                    | Celanese US Holdings LLC                                                             | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     266000 | PA      | $282541.21    | 0.04%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                         | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                        | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4587300 | PA      | $85845.81     | 0.01%             | 2050-10-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Roller Bearing Co. of America, Inc.                                         | Roller Bearing Co. of America, Inc.                                                  | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |     304000 | PA      | $294757.97    | 0.04%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CEMEX S.A.B. de C.V.                                                        | CEMEX S.A.B. de C.V.                                                                 | CUSIP: 151290CA9<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |     965000 | PA      | $949757.73    | 0.14%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      89267 | PA      | $13004.12     | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                       | Cheniere Energy, Inc.                                                                | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     809000 | PA      | $828951.36    | 0.12%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM Mortgage Trust, Series 2019-GC44, Class AM                                      | CUSIP: 12655TBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $920349.90    | 0.14%             | 2057-08-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                          | Iron Mountain Inc.                                                                   | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     310000 | PA      | $295597.52    | 0.04%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                               | Auburn 15 PLC, Series F                                                              | CUSIP: BCC3FPT01<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     749000 | PA      | $1005054.00   | 0.15%             | 2045-07-20      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                   | Ivory Coast Government International Bond                                            | CUSIP: AR6697171<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1000000 | PA      | $1128734.40   | 0.17%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $358.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                                    | Comstock Resources, Inc.                                                             | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     289000 | PA      | $289865.27    | 0.04%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208LLZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2485 | PA      | $2491.92      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3990000 | NC      | $454739.89    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392HMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      34391 | PA      | $34729.97     | 0.01%             | 2032-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -20970000 | NC      | $-471237.84   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Ball Corp.                                                                  | Ball Corp.                                                                           | CUSIP: N/A<br>LEI: 0BGI85ALH27ZJP15DY16       | Long             | DBT              | CORP              | US        |     235000 | PA      | $280738.93    | 0.04%             | 2032-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sitios Latinoamerica, S.A.B. de C.V.                                        | Sitios Latinoamerica, S.A.B. de C.V.                                                 | CUSIP: 03217KAB4<br>LEI: 984500D2C0CDC0BFDD35 | Long             | DBT              | CORP              | MX        |    2024000 | PA      | $1996758.98   | 0.30%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-33112.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $155284.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     297000 | PA      | $315875.39    | 0.05%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Aethon United BR L.P./ Aethon United Finance Corp.                          | Aethon United BR L.P./ Aethon United Finance Corp.                                   | CUSIP: 00810GAD6<br>LEI: 5493007HPG2M9K9X5V41 | Long             | DBT              | CORP              | US        |     260000 | PA      | $272916.54    | 0.04%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $847925.20    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $176037.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                   | Ford Motor Credit Co. LLC                                                            | CUSIP: 345397C84<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $4183569.59   | 0.62%             | 2026-06-05      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                            | Brazil Notas do Tesouro Nacional, Series B                                           | CUSIP: EK6971114<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7300000 | PA      | $5402834.96   | 0.80%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                       | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO     | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    2789085 | PA      | $16190.64     | 0.00%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     127520 | PA      | $14867.21     | 0.00%             | 2042-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                            | Clarivate Science Holdings Corp.                                                     | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     306000 | PA      | $288431.60    | 0.04%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                           | Hertz Corp. (The)                                                                    | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |      29000 | PA      | $30360.49     | 0.00%             | 2029-07-15      | Fixed         | 12.62%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                            | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1579877 | PA      | $27471.69     | 0.00%             | 2050-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-28298.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DTZ U.S. Borrower, LLC                                                      | DTZ U.S. Borrower, LLC, Term Loan                                                    | CUSIP: 23340DAU6<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |     287092 | PA      | $289005.97    | 0.04%             | 2030-01-31      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                          | State Street Corp., Series I                                                         | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    1329000 | PA      | $1391186.58   | 0.21%             | N/A             | Variable      | 6.70%                 | No            |                  2 | On Loan: —       |
| Lamar Media Corp.                                                           | Lamar Media Corp.                                                                    | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     764000 | PA      | $755850.49    | 0.11%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     329000 | PA      | $328166.98    | 0.05%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $1236248.30   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Civitas Resources, Inc.                                                     | Civitas Resources, Inc.                                                              | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |     132000 | PA      | $133631.41    | 0.02%             | 2031-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                         | MASTR Asset Backed Securities Trust, Series 2006-WMC3, Class A3                      | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637962 | PA      | $215974.79    | 0.03%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                          | Seagate HDD Cayman                                                                   | CUSIP: 81180WBD2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     376000 | PA      | $345956.81    | 0.05%             | 2031-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                         | Frontier Issuer LLC, Series 2023-1, Class A2                                         | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     325500 | PA      | $330833.81    | 0.05%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                                     | SS&C Technologies, Inc.                                                              | CUSIP: 78466CAD8<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |     152000 | PA      | $157931.95    | 0.02%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                | UBS Group AG                                                                         | CUSIP: UV4180070<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     775000 | PA      | $776200.28    | 0.11%             | N/A             | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $1458.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   46500000 | NC      | $9408140.06   | 1.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Jabil Inc.                                                                  | Jabil Inc.                                                                           | CUSIP: 466313AK9<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1185772.68   | 0.18%             | 2031-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EnPro Inc.                                                                  | EnPro Inc.                                                                           | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     555000 | PA      | $568776.02    | 0.08%             | 2033-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                          | State Street Corp.                                                                   | CUSIP: 857477CS0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3059712.00   | 0.45%             | N/A             | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Navoi Mining & Metallurgical Combinat                                       | Navoi Mining & Metallurgical Combinat                                                | CUSIP: 63890CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |     620000 | PA      | $634644.88    | 0.09%             | 2028-10-17      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -399370000 | NC      | $-966367.57   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -15140000 | NC      | $-14292.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $679854.20    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Genesis Energy L.P. / Genesis Energy Finance Corp.                          | Genesis Energy L.P. / Genesis Energy Finance Corp.                                   | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $74379.62     | 0.01%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      33446 | PA      | $4331.02      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                     | Level 3 Financing, Inc.                                                              | CUSIP: 527298BV4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      90319 | PA      | $103716.80    | 0.02%             | 2029-11-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                              | Carnival Corp.                                                                       | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     323000 | PA      | $330679.97    | 0.05%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| Navient Corp.                                                               | Navient Corp.                                                                        | CUSIP: 63938CAK4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     215000 | PA      | $214280.23    | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer              | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                       | CUSIP: 01883LAF0<br>LEI: 5493006Q26653NF8SI73 | Long             | DBT              | CORP              | US        |     429000 | PA      | $444085.79    | 0.07%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-478277.04   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9039 | PA      | $9537.44      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Constellation Software Inc.                                                 | Constellation Software Inc.                                                          | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |     550000 | PA      | $559652.37    | 0.08%             | 2029-02-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | McDermott International Ltd., Series B, Wts., expiring 06/30/2027                    | CUSIP: G5924V122<br>LEI: N/A                  | N/A              | DE               |  | N/A       |      35496 | NS      | $1064.88      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                         | U.S. Treasury Long Bond Future                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -12 | NC      | $-49802.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $82719.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392GDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      19241 | PA      | $19165.05     | 0.00%             | 2032-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8646.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $442.22       | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                                      | Intesa Sanpaolo S.p.A.                                                               | CUSIP: 46115HAU1<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    4600000 | PA      | $4619987.00   | 0.68%             | N/A             | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | McDermott International Ltd., Series A, Wts., expiring 06/30/2027                    | CUSIP: G5924V114<br>LEI: N/A                  | N/A              | DE               |  | N/A       |      31946 | NS      | $958.38       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $51622.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31396XUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     102887 | PA      | $8225.19      | 0.00%             | 2037-06-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-12, Class A3                                   | CUSIP: 034932AC7<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     546557 | PA      | $549485.35    | 0.08%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1842 | PA      | $198.65       | 0.00%             | 2032-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   20970000 | NC      | $823575.78    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2025-2, Class A10                              | CUSIP: 17292BAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     878195 | PA      | $889063.82    | 0.13%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -30000000 | NC      | $-60884.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -20190000 | NC      | $-781891.29   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Chile Electricity Lux MPC II S.a.r.l.                                       | Chile Electricity Lux MPC II S.a.r.l.                                                | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     659816 | PA      | $660859.77    | 0.10%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-123428.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                  | Mars, Inc.                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     535000 | PA      | $542256.67    | 0.08%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-564908.05   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $58362.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc., Term Loan L                                                         | CUSIP: 89364MCD4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     536945 | PA      | $538359.83    | 0.08%             | 2032-01-19      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M2                 | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     490000 | PA      | $506398.54    | 0.07%             | 2043-07-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4152.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                         | Lithia Motors, Inc.                                                                  | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     311000 | PA      | $295933.50    | 0.04%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| PMT Loan Trust 2025-INV6                                                    | PMT Loan Trust 2025-INV6, Series 2025-INV6, Class A8                                 | CUSIP: 69382MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $253763.45    | 0.04%             | 2056-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-176037.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Walker & Dunlop, Inc.                                                       | Walker & Dunlop, Inc.                                                                | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     274000 | PA      | $281837.21    | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -15420000 | NC      | $-1434.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R04, Class 1M1                 | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     786766 | PA      | $803616.54    | 0.12%             | 2043-05-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      20139 | PA      | $22532.37     | 0.00%             | 2035-08-15      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                  | Charles Schwab Corp. (The)                                                           | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    1667000 | PA      | $1769320.39   | 0.26%             | 2029-11-17      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA2, Class M1                                              | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1584338.10   | 0.23%             | 2042-07-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $83540.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-2433.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -27740000 | NC      | $-21251.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $831010.07    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                          | Dell International LLC / EMC Corp.                                                   | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2783367.08   | 0.41%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                       | Japan Government Bond                                                                | CUSIP: BJ7062745<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  578700000 | PA      | $1917079.01   | 0.28%             | 2060-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                                       | Claire's Holdings LLC, Pfd.                                                          | CUSIP: 179584917<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         71 | NS      | $9230.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA3, Class M1                                              | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1570901.55   | 0.23%             | 2042-08-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-44599.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                             | BRAVO Residential Funding Trust, Series 2023-NQM7, Class A2                          | CUSIP: 10569HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1626089 | PA      | $1651743.48   | 0.24%             | 2063-09-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      37479 | PA      | $4314.25      | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      29482 | PA      | $3830.54      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                                 | L3Harris Technologies, Inc.                                                          | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1271215.88   | 0.19%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $229488.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                    | Cox Communications, Inc.                                                             | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     956000 | PA      | $544880.39    | 0.08%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                              | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |     161707 | PA      | $137920.15    | 0.02%             | 2027-01-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1178 | PA      | $1180.07      | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos. Inc.                                                     | Bausch Health Cos. Inc.                                                              | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      87000 | PA      | $86191.77     | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6204052 | PA      | $6227461.05   | 0.92%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rolls-Royce PLC                                                             | Rolls-Royce PLC                                                                      | CUSIP: 77578JAB4<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |    2070000 | PA      | $2067232.20   | 0.31%             | 2025-10-14      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133THBY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      36883 | PA      | $36788.67     | 0.01%             | 2028-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       8118 | PA      | $866.52       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   24250000 | NC      | $13410.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                       | Clydesdale Acquisition Holdings, Inc.                                                | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     268000 | PA      | $275207.55    | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        445 | PA      | $25.06        | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      16891 | PA      | $16177.84     | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -15140000 | NC      | $-334389.16   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      28547 | PA      | $1763.70      | 0.00%             | 2035-05-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      33643 | PA      | $4688.88      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3132DN2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6142978 | PA      | $5929990.12   | 0.88%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ProSil Acquisition S.A.                                                     | ProSil Acquisition S.A., Series 2019-1, Class A                                      | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-MBS          | CORP              | LU        |     989592 | PA      | $960941.83    | 0.14%             | 2039-10-31      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA1, Class M1                                              | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |    2885325 | PA      | $3050120.05   | 0.45%             | 2043-05-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                                               | Freedom Mortgage Holdings LLC                                                        | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     144000 | PA      | $145666.37    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC            | California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC                     | CUSIP: 13005HAA8<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |     280000 | PA      | $280705.60    | 0.04%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CEMEX Materials LLC                                                         | CEMEX Materials LLC                                                                  | CUSIP: EC9244749<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1509225.00   | 0.22%             | 2025-07-21      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $51865.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                              | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |     111176 | PA      | $99628.07     | 0.01%             | 2026-07-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Benchmark Mortgage Trust                                                    | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                   | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3613143 | PA      | $39103.24     | 0.01%             | 2051-01-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TJC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       1054 | PA      | $1051.45      | 0.00%             | 2029-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KPXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6177001 | PA      | $6091330.02   | 0.90%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Prairie ECI Acquiror L.P.                                                   | Prairie ECI Acquiror L.P., Term Loan B                                               | CUSIP: 73955HAE4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |     316012 | PA      | $318480.05    | 0.05%             | 2029-08-01      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   69900000 | NC      | $428487.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                          | Iron Mountain Inc.                                                                   | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     250000 | PA      | $258966.50    | 0.04%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31339MYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       5658 | PA      | $70.55        | 0.00%             | 2026-12-15      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Aeropuertos Dominicanos Siglo XXI, S.A.                                     | Aeropuertos Dominicanos Siglo XXI, S.A.                                              | CUSIP: 007866AE6<br>LEI: 254900KJA5MXNPYB4W32 | Long             | DBT              | CORP              | DO        |     925000 | PA      | $963540.13    | 0.14%             | 2034-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $41313.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $220683.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-2434338.15  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Excelerate Energy L.P.                                                      | Excelerate Energy L.P.                                                               | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |     268000 | PA      | $282723.52    | 0.04%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Associates L.P./ PFG Finance Corp.                        | Provident Funding Associates L.P./ PFG Finance Corp.                                 | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     393000 | PA      | $413548.79    | 0.06%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-4X, Class E1C                                              | CUSIP: BCC0UB5E7<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |    1608336 | PA      | $2092015.41   | 0.31%             | 2044-12-10      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-48460.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 1A1                            | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25479 | PA      | $24463.09     | 0.00%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                                       | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AH4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      73000 | PA      | $72986.78     | 0.01%             | 2027-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                                | Mattel, Inc.                                                                         | CUSIP: 577081AU6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     725000 | PA      | $730565.83    | 0.11%             | 2040-10-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -18635000 | NC      | $-613346.99   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust                         | Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1       | CUSIP: 251511AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17913 | PA      | $16535.59     | 0.00%             | 2036-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd.                       | Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd.                                | CUSIP: EK8618358<br>LEI: 549300B0B1XTFDS6V025 | Long             | DBT              | CORP              | IE        |    4500000 | PA      | $4487400.00   | 0.66%             | 2045-10-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                                 | PHINIA Inc.                                                                          | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     153000 | PA      | $155493.66    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                    | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1, Series 2025-NQM1, Class A3 | CUSIP: 617932AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1148805 | PA      | $1158486.83   | 0.17%             | 2069-11-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bond OAT                                         | French Republic Government Bond OAT                                                  | CUSIP: BN6163990<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5640000 | PA      | $1822884.72   | 0.27%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     433000 | PA      | $421373.43    | 0.06%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: —       |
| HLF Financing S.a.r.l. LLC / Herbalife International Inc.                   | HLF Financing S.a.r.l. LLC / Herbalife International Inc.                            | CUSIP: 40390DAC9<br>LEI: 549300VKVJUV5OGV2R51 | Long             | DBT              | CORP              | US        |      34000 | PA      | $28758.82     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1                 | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6625 | PA      | $6320.08      | 0.00%             | 2036-02-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies, Inc.                                                    | Lumen Technologies, Inc.                                                             | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      54000 | PA      | $55215.00     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Ashton Woods USA LLC / Ashton Woods Finance Co.                             | Ashton Woods USA LLC / Ashton Woods Finance Co.                                      | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     574000 | PA      | $576728.80    | 0.09%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. L.P./ PTL Finance Corp.                            | Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                     | CUSIP: 709599BW3<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3126530.52   | 0.46%             | 2028-08-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-51200.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                                  | Sensata Technologies, Inc.                                                           | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     206000 | PA      | $212173.82    | 0.03%             | 2032-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $106469.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $141312.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                                      | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                  | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4199 | PA      | $3323.88      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-151264.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $73460.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                             | FirstCash, Inc.                                                                      | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      95000 | PA      | $94881.05     | 0.01%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $174468.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                 | First Quantum Minerals Ltd.                                                          | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     707000 | PA      | $708498.13    | 0.10%             | 2027-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-18863.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                              | Walgreens Boots Alliance, Inc.                                                       | CUSIP: 931427AC2<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |      29000 | PA      | $27721.39     | 0.00%             | 2044-11-18      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GGAM Finance Ltd.                                                           | GGAM Finance Ltd.                                                                    | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     558000 | PA      | $578271.02    | 0.09%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10238.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Bank for Reconstruction & Development                              | European Bank for Reconstruction & Development                                       | CUSIP: ZL1827316<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $802024.00    | 0.12%             | 2025-08-27      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8417.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       7836 | PA      | $7911.56      | 0.00%             | 2032-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    6060000 | NC      | $922635.74    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $140455.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation - Indexed Bonds                                     | U.S. Treasury Inflation - Indexed Bonds                                              | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15844474 | PA      | $14512614.29  | 2.15%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $127060.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1298185.31  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.              | Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.                       | CUSIP: 87470LAL5<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |     291000 | PA      | $299269.06    | 0.04%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45097 | PA      | $46484.82     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $166159.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SURA Asset Management S.A.                                                  | SURA Asset Management S.A.                                                           | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |     720000 | PA      | $758592.00    | 0.11%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Banco del Estado de Chile                                                   | Banco del Estado de Chile                                                            | CUSIP: 05957AAC3<br>LEI: 5493004R4EJC0W0XVQ72 | Long             | DBT              | CORP              | CL        |     426000 | PA      | $443851.53    | 0.07%             | N/A             | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-45998.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $450474.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Northriver Midstream Finance L.P.                                           | Northriver Midstream Finance L.P.                                                    | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |     275000 | PA      | $285002.58    | 0.04%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TKAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      39528 | PA      | $2013.22      | 0.00%             | 2029-03-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                           | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $260630.15    | 0.04%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7490000 | NC      | $-84247.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $311415.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      10501 | PA      | $809.50       | 0.00%             | 2032-04-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                              | Element Fleet Management Corp.                                                       | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    1544000 | PA      | $1629124.95   | 0.24%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                  | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        854 | PA      | $805.04       | 0.00%             | 2035-07-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                          | Iron Mountain Inc.                                                                   | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     270000 | PA      | $277804.62    | 0.04%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3707.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                             | FirstCash, Inc.                                                                      | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     443000 | PA      | $458967.05    | 0.07%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-163613.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| B.A.T Capital Corp.                                                         | B.A.T Capital Corp.                                                                  | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     861000 | PA      | $908038.18    | 0.13%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-143035.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Notes Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       3163 | NC      | $5445127.59   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-DNA2, Class M2                                              | CUSIP: 35564NDA8<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |     387500 | PA      | $390009.45    | 0.06%             | 2044-05-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $180277.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3065000 | NC      | $1049918.82   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                           | Duke Energy Corp.                                                                    | CUSIP: 26441CCG8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     298000 | PA      | $307033.12    | 0.05%             | 2054-09-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-22368.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                            | Brazil Notas do Tesouro Nacional, Series F                                           | CUSIP: JV5341526<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  205000000 | PA      | $35804949.62  | 5.30%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AC8<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |      17000 | PA      | $17323.90     | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                  | Cloud Software Group, Inc., Term Loan B                                              | CUSIP: 88632NBF6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |     275000 | PA      | $275609.13    | 0.04%             | 2029-03-30      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                          | Greystar Real Estate Partners, LLC                                                   | CUSIP: 39807UAD8<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |     127000 | PA      | $134902.45    | 0.02%             | 2030-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AF1<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     750000 | PA      | $802893.75    | 0.12%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Invesco Private Prime Fund                                                  | Invesco Private Prime Fund                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   19577723 | NS      | $19577722.56  | 2.90%             |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                          | Vodafone Group PLC                                                                   | CUSIP: 92857WBV1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    2743000 | PA      | $2704714.58   | 0.40%             | 2081-06-04      | Variable      | 3.25%                 | No            |                  2 | On Loan: —       |
| Ares Capital Corp.                                                          | Ares Capital Corp.                                                                   | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    2004000 | PA      | $2044064.67   | 0.30%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     199000 | PA      | $133881.23    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $575892.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Boost Newco Borrower, LLC                                                   | Boost Newco Borrower, LLC                                                            | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |     257000 | PA      | $272991.83    | 0.04%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-66396.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      12345 | PA      | $1379.80      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                                    | SBA Communications Corp.                                                             | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     297000 | PA      | $280756.42    | 0.04%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Alhambra SME Funding DAC                                                    | Alhambra SME Funding DAC, Series 2019-1, Class D                                     | CUSIP: BCC2KKGU6<br>LEI: 635400YAJGI5TGJENW90 | Long             | ABS-CBDO         | CORP              | IE        |      62179 | PA      | $68182.20     | 0.01%             | 2028-11-30      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $50293.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     390000 | PA      | $421429.32    | 0.06%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| Delek Logistics Partners L.P./ Delek Logistics Finance Corp.                | Delek Logistics Partners L.P./ Delek Logistics Finance Corp.                         | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     285000 | PA      | $283918.56    | 0.04%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-48779.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Media Secured Finance PLC                                            | Virgin Media Secured Finance PLC                                                     | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     630000 | PA      | $620050.75    | 0.09%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                               | Entergy Corp.                                                                        | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2148000 | PA      | $2227812.08   | 0.33%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: —       |
| General Motors Co.                                                          | General Motors Co.                                                                   | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3124966.47   | 0.46%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       5040 | PA      | $303.26       | 0.00%             | 2035-02-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Ultra Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -8 | NC      | $-20327.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-152042.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-168093.87   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                       | Japan Government Bond                                                                | CUSIP: BH6206925<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1090300000 | PA      | $4546988.01   | 0.67%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                                 | DaVita Inc.                                                                          | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     134000 | PA      | $138931.87    | 0.02%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                         | Petroleos Mexicanos                                                                  | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1500000 | PA      | $1554995.28   | 0.23%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       5900 | PA      | $5880.94      | 0.00%             | 2032-10-18      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2025-6, Class A3                                    | CUSIP: 034937AC6<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-MBS          | CORP              | US        |    1193917 | PA      | $1200350.47   | 0.18%             | 2070-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                                 | Sunoco L.P.                                                                          | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     409000 | PA      | $416085.45    | 0.06%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| DaVita Inc.                                                                 | DaVita Inc.                                                                          | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     140000 | PA      | $144651.09    | 0.02%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                                    | Republic of South Africa Government Bond, Series 2032                                | CUSIP: EJ7500097<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  181200000 | PA      | $9785872.95   | 1.45%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 5 Year Notes Future                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        616 | NC      | $663188.68    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Vodafone Group PLC                                                          | Vodafone Group PLC                                                                   | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     639000 | PA      | $584707.56    | 0.09%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -20970000 | NC      | $-320652.27   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       2044 | PA      | $119.56       | 0.00%             | 2029-06-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       4049 | PA      | $321.64       | 0.00%             | 2031-10-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Amer Sports Co.                                                             | Amer Sports Co.                                                                      | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     274000 | PA      | $285488.00    | 0.04%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140XKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6303398 | PA      | $6335792.26   | 0.94%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4573.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-750986.09   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      30070 | PA      | $3581.56      | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade         | Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade                  | CUSIP: 87945BAA8<br>LEI: 254900OVY0XI1DFYC092 | Long             | DBT              | CORP              | RS        |     530000 | PA      | $530665.68    | 0.08%             | 2029-10-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.                   | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     141000 | PA      | $140627.93    | 0.02%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mexican Udibonos                                                            | Mexican Udibonos                                                                     | CUSIP: YQ3788144<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  153015246 | PA      | $7934751.16   | 1.17%             | 2029-08-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -23137500 | NC      | $-25752.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                 | CUSIP: 025816DL0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2112464.11   | 0.31%             | 2026-10-30      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                               | Auburn 15 PLC, Series E                                                              | CUSIP: BCC3FPSY8<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     629000 | PA      | $843184.53    | 0.12%             | 2045-07-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                        | FREMF Mortgage Trust, Series 2016-K54, Class C                                       | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810000 | PA      | $1791171.48   | 0.27%             | 2048-04-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1727 | PA      | $173.10       | 0.00%             | 2031-11-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -57425000 | NC      | $-560155.74   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      18297 | PA      | $2551.64      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -30000000 | NC      | $-86655.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                          | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-17, Class 1A8        | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85188 | PA      | $84937.15     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     477000 | PA      | $489970.35    | 0.07%             | 2029-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Tidewater Inc.                                                              | Tidewater Inc.                                                                       | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |     275000 | PA      | $283141.24    | 0.04%             | 2030-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31394KL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      31954 | PA      | $2162.08      | 0.00%             | 2033-10-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1863023.96  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      88000 | PA      | $54349.68     | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-57638.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-115189.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2325000 | NC      | $492418.73    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                        | Muthoot Finance Ltd.                                                                 | CUSIP: 62828L2D4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |    3100000 | PA      | $3094746.03   | 0.46%             | 2029-04-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       7587 | PA      | $7640.16      | 0.00%             | 2032-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA2, Class M1                                              | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |     480882 | PA      | $483642.23    | 0.07%             | 2043-06-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Transocean Inc.                                                             | Transocean Inc.                                                                      | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     176000 | PA      | $181131.98    | 0.03%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $62579.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                        | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAA6<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     282000 | PA      | $273790.22    | 0.04%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     332000 | PA      | $295749.58    | 0.04%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                              | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |      89374 | PA      | $84329.91     | 0.01%             | 2026-01-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Reinsurance Group of America, Inc.                                          | Reinsurance Group of America, Inc.                                                   | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |     319000 | PA      | $318745.82    | 0.05%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                       | Freeport-McMoRan Inc.                                                                | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2684058.53   | 0.40%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                     | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    1240000 | PA      | $1231455.53   | 0.18%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-70297.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $71903.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                                       | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     219000 | PA      | $206716.57    | 0.03%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3860.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   14980000 | NC      | $501279.07    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $114918.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -30000000 | NC      | $-132061.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $535700.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2413 | PA      | $2429.99      | 0.00%             | 2032-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BAWAG Group AG                                                              | BAWAG Group AG                                                                       | CUSIP: N/A<br>LEI: 529900S9YO2JHTIIDG38       | Long             | DBT              | CORP              | AT        |    2600000 | PA      | $3070205.86   | 0.45%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CD&R Smokey Buyer Inc / Radio Systems Corp.                                 | CD&R Smokey Buyer Inc / Radio Systems Corp.                                          | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      33000 | PA      | $26932.70     | 0.00%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1377.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-64323.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     373000 | PA      | $373488.26    | 0.06%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| New Enterprise Stone & Lime Co, Inc.                                        | New Enterprise Stone & Lime Co, Inc.                                                 | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |     278000 | PA      | $278916.29    | 0.04%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $68449.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                                   | OBX Trust, Series 2022-NQM7, Class A2                                                | CUSIP: 67117DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559092 | PA      | $558979.90    | 0.08%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   16470000 | NC      | $654521.92    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC          | CUSIP: 03969YAC2<br>LEI: 635400YUJMWFYRBL5293 | Long             | DBT              | CORP              | US        |     275000 | PA      | $276022.18    | 0.04%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.                   | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     146000 | PA      | $141841.69    | 0.02%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                           | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     203000 | PA      | $212411.49    | 0.03%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -22470000 | NC      | $-955797.64   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                       | Dominican Republic International Bond                                                | CUSIP: ZP6620006<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     305000 | PA      | $290344.75    | 0.04%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                                     | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |     341425 | PA      | $344713.12    | 0.05%             | 2055-05-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Windstream Services, LLC, Wrts.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |        176 | NS      | $3322.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Forvia SE                                                                   | Forvia SE                                                                            | CUSIP: 31209DAA3<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     212000 | PA      | $217477.23    | 0.03%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| India Government Bond                                                       | India Government Bond                                                                | CUSIP: YW7593752<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |  275000000 | PA      | $3241094.33   | 0.48%             | 2054-08-05      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Spain Government Bond                                                       | Spain Government Bond                                                                | CUSIP: BN9905777<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    5025000 | PA      | $2746985.11   | 0.41%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-2X, Class D1A                                              | CUSIP: BCC0T5HN9<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |    2700000 | PA      | $2951101.03   | 0.44%             | 2044-12-15      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley & Co. LLC                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   58910000 | NC      | $794045.51    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp.                                                                         | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     141000 | PA      | $144507.09    | 0.02%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -30680000 | NC      | $-293225.99   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -15155000 | NC      | $-90839.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co. Inc.                                          | Hilton Domestic Operating Co. Inc.                                                   | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     561000 | PA      | $571955.21    | 0.08%             | 2033-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   37440000 | NC      | $107939.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M2                 | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280000 | PA      | $288217.33    | 0.04%             | 2043-10-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Select Medical Corp.                                                        | Select Medical Corp.                                                                 | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |     275000 | PA      | $276823.53    | 0.04%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       2416 | PA      | $2513.76      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                 | Carvana Co.                                                                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     255000 | PA      | $302338.62    | 0.04%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| International Finance Corp.                                                 | International Finance Corp.                                                          | CUSIP: AM4724424<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $35281.14     | 0.01%             | 2029-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15470000 | NC      | $52659.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31368HLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52597 | PA      | $53102.73     | 0.01%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                     | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAB7<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     450000 | PA      | $450570.09    | 0.07%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| M&G PLC                                                                     | M&G PLC                                                                              | CUSIP: AU5739902<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |     375000 | PA      | $385546.88    | 0.06%             | 2048-10-20      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-576764.27   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| HUB International Ltd.                                                      | HUB International Ltd.                                                               | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     408000 | PA      | $426674.16    | 0.06%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership L.P./ MPT Finance Corp.                           | MPT Operating Partnership L.P./ MPT Finance Corp.                                    | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      52000 | PA      | $54462.77     | 0.01%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| TransCanada Trust                                                           | TransCanada Trust, Series 16-A                                                       | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    1455000 | PA      | $1460931.50   | 0.22%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                  | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class B                 | CUSIP: 46643GAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680000 | PA      | $628592.48    | 0.09%             | 2047-11-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Global Partners L.P./ GLP Finance Corp.                                     | Global Partners L.P./ GLP Finance Corp.                                              | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     285000 | PA      | $289202.00    | 0.04%             | 2033-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                      | Sempra                                                                               | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4193612.67   | 0.62%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1863333 | NC      | $1.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                          | Southern Co. (The), Series 21-A                                                      | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2113000 | PA      | $2087244.73   | 0.31%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                              | Element Fleet Management Corp.                                                       | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    3100000 | PA      | $3149393.54   | 0.47%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities, Inc.                                           | Taylor Morrison Communities, Inc.                                                    | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     299000 | PA      | $298146.50    | 0.04%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-371529.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -24100000 | NC      | $-762996.84   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-20645.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2022-R05, Class 2M1                 | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1021221 | PA      | $1025353.24   | 0.15%             | 2042-04-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-54578.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-836342.28   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class B                                   | CUSIP: BCC3H4L95<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |    1445470 | PA      | $1988924.86   | 0.29%             | 2034-11-17      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-467749.04   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                        | Energy Transfer L.P.                                                                 | CUSIP: 29273VBC3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4453872.92   | 0.66%             | 2054-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Mcdermott International, Ltd.                                               | Mcdermott International, Ltd.                                                        | CUSIP: N/A<br>LEI: 54930004RAXI4B3L4752       | Long             | EC               | CORP              | BM        |        312 | NS      | $3434.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nemak, S.A.B. de C.V.                                                       | Nemak, S.A.B. de C.V.                                                                | CUSIP: 64045DAC8<br>LEI: 5493000MY3DAIB0BP706 | Long             | DBT              | CORP              | MX        |    1195000 | PA      | $991241.03    | 0.15%             | 2031-06-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-38430.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-8, Class A3                                    | CUSIP: 03465QAC8<br>LEI: 254900BM1HTLL3SKQ481 | Long             | ABS-MBS          | CORP              | US        |    1067053 | PA      | $1067834.02   | 0.16%             | 2069-05-27      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Navoi Mining & Metallurgical Combinat                                       | Navoi Mining & Metallurgical Combinat                                                | CUSIP: 63890CAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |     938000 | PA      | $956573.53    | 0.14%             | 2030-05-14      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| China Government Bond                                                       | China Government Bond                                                                | CUSIP: BV8098048<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   25000000 | PA      | $4482595.32   | 0.66%             | 2052-04-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       3942 | PA      | $304.15       | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10495 | PA      | $10070.35     | 0.00%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1970521.13   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| National Bank of Foreign Economic Activity of the Republic of Uzbekistan    | National Bank of Foreign Economic Activity of the Republic of Uzbekistan             | CUSIP: YX9828980<br>LEI: 253400TZJ7T1YULTGN68 | Long             | DBT              | NUSS              | UZ        |     650000 | PA      | $684350.74    | 0.10%             | 2029-07-05      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                            | LCM Investments Holdings II, LLC                                                     | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     147000 | PA      | $143071.53    | 0.02%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                         | Viking Cruises Ltd.                                                                  | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     270000 | PA      | $272536.65    | 0.04%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                                   | BPCE S.A., Series NC5                                                                | CUSIP: BR7719148<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3600000 | PA      | $4135450.66   | 0.61%             | 2042-01-13      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      46597 | PA      | $3952.07      | 0.00%             | 2038-05-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                              | Opal Bidco SAS                                                                       | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     280000 | PA      | $285953.64    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $238362.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA3, Class M2                                              | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    1605000 | PA      | $1725139.39   | 0.26%             | 2042-08-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Sabine Oil & Gas Holdings, Inc.                                             | Sabine Oil & Gas Holdings, Inc.                                                      | CUSIP: 78532M104<br>LEI: 2MNR4Q42DBL85U7RD221 | Long             | EC               | CORP              | US        |        837 | NS      | $58.59        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       7764 | PA      | $7838.82      | 0.00%             | 2032-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                              | Ecopetrol S.A.                                                                       | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1550000 | PA      | $1640051.90   | 0.24%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                       | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO     | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    1363253 | PA      | $2690.11      | 0.00%             | 2026-02-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                                    | Republic of South Africa Government Bond, Series 2040                                | CUSIP: EK7733067<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  135000000 | PA      | $6602941.64   | 0.98%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-166159.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $174290.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AG9<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |      33000 | PA      | $33852.42     | 0.01%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      17499 | PA      | $17746.40     | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   10100000 | NC      | $760356.54    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Sixth Street Lending Partners                                               | Sixth Street Lending Partners                                                        | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     698000 | PA      | $711115.40    | 0.11%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | U.S. Treasury 2 Year Notes Future                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         38 | NC      | $19239.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -59906130 | NC      | $-651285.67   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19740 | PA      | $20297.84     | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $59110.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class D                       | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $301143.71    | 0.04%             | 2031-09-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1545000 | NC      | $12.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-158395.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                     | Hyundai Capital America                                                              | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3022237.74   | 0.45%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | J.P. Morgan Securities LLC                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -49125000 | NC      | $-1210042.19  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7675000 | NC      | $-112031.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392FJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      34391 | PA      | $34729.27     | 0.01%             | 2032-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                   | OBX Trust, Series 2022-NQM7, Class A3                                                | CUSIP: 67117DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290728 | PA      | $290379.86    | 0.04%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                          | Seagate HDD Cayman                                                                   | CUSIP: 81180WBM2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     531200 | PA      | $599232.91    | 0.09%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| FTA Consumo Santander                                                       | FTA Consumo Santander                                                                | CUSIP: BCC3M1R32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |    1500000 | PA      | $1773684.46   | 0.26%             | 2040-01-21      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   27760000 | NC      | $1320522.10   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                                       | Invesco Government & Agency Portfolio, Institutional Class                           | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |    8251762 | NS      | $8251761.60   | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer L.P.                                                        | Energy Transfer L.P.                                                                 | CUSIP: 29273VAX8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     839000 | PA      | $893181.78    | 0.13%             | 2054-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Group AG                                                      | Credit Suisse Group AG                                                               | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    3015000 | PA      | $180900.00    | 0.03%             | N/A             | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    5050000 | NC      | $308949.13    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15140000 | NC      | $269719.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                  | J.P. Morgan Mortgage Trust, Series 2007-A1, Class 5A1                                | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6309 | PA      | $6408.09      | 0.00%             | 2035-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Sixth Street Lending Partners                                               | Sixth Street Lending Partners                                                        | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     244000 | PA      | $251963.46    | 0.04%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50347 | PA      | $51055.41     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5387 | PA      | $5529.04      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESAB Corp.                                                                  | ESAB Corp.                                                                           | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     408000 | PA      | $418245.29    | 0.06%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -21000000 | NC      | $-33534.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EZCORP, Inc.                                                                | EZCORP, Inc.                                                                         | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |     532000 | PA      | $561317.99    | 0.08%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                           | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $130075.75    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1, Series 2024-NQM1, Class A2 | CUSIP: 61775UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     872824 | PA      | $880082.51    | 0.13%             | 2068-12-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     312000 | PA      | $296135.39    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18539 | PA      | $19237.31     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      48857 | PA      | $3011.16      | 0.00%             | 2035-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                             | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AF7<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     275000 | PA      | $269385.36    | 0.04%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392PU94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      26244 | PA      | $26190.59     | 0.00%             | 2031-06-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, L.P.                                                      | Medline Borrower, L.P.                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     141000 | PA      | $140003.81    | 0.02%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: YV7034577<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1500000 | PA      | $2083338.98   | 0.31%             | N/A             | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| New Gold Inc.                                                               | New Gold Inc.                                                                        | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     565000 | PA      | $582651.73    | 0.09%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp., Series C                                                               | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     437000 | PA      | $476062.99    | 0.07%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3790000 | NC      | $217144.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-640.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      36906 | PA      | $3030.60      | 0.00%             | 2041-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   30290000 | NC      | $44774.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      22730 | PA      | $2408.28      | 0.00%             | 2037-12-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     162049 | PA      | $20628.06     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Obx 2024-Nqm18 Trust                                                        | Obx 2024-Nqm18 Trust, Series 2024-NQM18, Class A3                                    | CUSIP: 673913AC3<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |    1086587 | PA      | $1091557.45   | 0.16%             | 2064-10-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5570 | PA      | $5882.08      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $89.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./ PAA Finance Corp.                        | Plains All American Pipeline L.P./ PAA Finance Corp.                                 | CUSIP: 72650RBN1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     780000 | PA      | $745829.78    | 0.11%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $579587.06    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                          | Newell Brands Inc.                                                                   | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     296000 | PA      | $288695.93    | 0.04%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10993 | PA      | $969.85       | 0.00%             | 2038-04-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-212459.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31339GRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      11478 | PA      | $11975.19     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      11720 | PA      | $1705.40      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $233823.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -1235000 | NC      | $-80876.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7675000 | NC      | $-217847.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14980000 | NC      | $-145012.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     245000 | PA      | $245496.35    | 0.04%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                         | Ludgate Funding PLC, Series 2006-1X, Class A2A                                       | CUSIP: BCC0U5WJ9<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    2286493 | PA      | $3093309.09   | 0.46%             | 2060-12-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class C                                   | CUSIP: BCC3H4LB0<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     826125 | PA      | $1134304.93   | 0.17%             | 2034-11-17      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK NC PLC                                                          | Eurosail-UK NC PLC, Series 2007-1X, Class D1C                                        | CUSIP: BCC0VXRF1<br>LEI: 213800HEU63KH3XHB844 | Long             | ABS-MBS          | CORP              | GB        |     750000 | PA      | $892208.22    | 0.13%             | 2045-03-13      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     160000 | PA      | $136916.42    | 0.02%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-329470.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    6140000 | NC      | $204597.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7742.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                         | Rate Mortgage Trust, Series 2025-J2, Class A5                                        | CUSIP: 75409YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $2105513.76   | 0.31%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association, ARM                                        | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $35.87        | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Invesco Private Government Fund                                             | Invesco Private Government Fund                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    7528731 | NS      | $7528731.49   | 1.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                         | Suzano Austria GmbH                                                                  | CUSIP: 86964WAL6<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     701000 | PA      | $652005.78    | 0.10%             | 2028-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -765000 | NC      | $-122037.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     140093 | PA      | $11516.91     | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   24230000 | NC      | $898226.45    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Compania de Minas Buenaventura S.A.A.                                       | Compania de Minas Buenaventura S.A.A.                                                | CUSIP: 204448AB0<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     895000 | PA      | $910215.00    | 0.13%             | 2032-02-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -29960000 | NC      | $-577744.24   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-12, Class A2                                   | CUSIP: 034932AB9<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     339394 | PA      | $340969.16    | 0.05%             | 2069-10-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc.                                                     | RB Global Holdings Inc.                                                              | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     394000 | PA      | $414688.71    | 0.06%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $194586.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class B                       | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $300118.29    | 0.04%             | 2031-03-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $428749.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     760000 | NC      | $122058.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| 1261229 B.C. Ltd.                                                           | 1261229 B.C. Ltd.                                                                    | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     200000 | PA      | $201897.99    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1001000 | PA      | $1131555.43   | 0.17%             | N/A             | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM2 Trust                                                        | GCAT 2025-NQM2 Trust, Series 2025-NQM2, Class A1                                     | CUSIP: 36171HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1049789 | PA      | $1054196.50   | 0.16%             | 2070-04-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| TrueNoord Capital DAC                                                       | TrueNoord Capital DAC                                                                | CUSIP: 89785GAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     390000 | PA      | $405289.17    | 0.06%             | 2030-03-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3100000 | NC      | $588923.02    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128128.71    | 0.02%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |          2 | PA      | $0.02         | 0.00%             | 2028-07-17      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       4101 | PA      | $387.95       | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22274.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                      | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 2A1A                    | CUSIP: 126686AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6357 | PA      | $5663.88      | 0.00%             | 2036-11-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $80311.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-426469.01   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R03, Class 2M1                 | CUSIP: 20753ACJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595821 | PA      | $604582.04    | 0.09%             | 2043-04-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No.1 PLC                                               | Great Hall Mortgages No.1 PLC, Series 2007-2X, Class EB                              | CUSIP: BCC0YMFK4<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    1780000 | PA      | $2093961.38   | 0.31%             | 2039-06-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                           | NatWest Group PLC                                                                    | CUSIP: 780097BQ3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     750000 | PA      | $750642.98    | 0.11%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                              | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |      73569 | PA      | $61294.42     | 0.01%             | 2027-04-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                         | U.S. Treasury Ultra Bonds Future                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -16 | NC      | $-51654.11    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Bausch + Lomb Corp.                                                         | Bausch + Lomb Corp.                                                                  | CUSIP: YN3045658<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $118754.94    | 0.02%             | 2031-01-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                       | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2434035 | PA      | $41272.96     | 0.01%             | 2050-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-236.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1740 | PA      | $103.79       | 0.00%             | 2032-12-18      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 7 PLC                            | Towd Point Mortgage Funding 2024 - Granite 7 PLC, Series 2024-GR7X, Class E          | CUSIP: BCC3JPGS0<br>LEI: 635400RLWW2GUXIMK345 | Long             | ABS-MBS          | CORP              | GB        |     690000 | PA      | $949054.74    | 0.14%             | 2051-04-20      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Braskem Idesa, S.A.P.I.                                                     | Braskem Idesa, S.A.P.I.                                                              | CUSIP: ZQ7727766<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |    1150000 | PA      | $847722.50    | 0.13%             | 2029-11-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -8990000 | NC      | $-613343.33   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SGUS LLC                                                                    | SGUS LLC                                                                             | CUSIP: 81880AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      51000 | PA      | $48960.03     | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      81205 | PA      | $6830.84      | 0.00%             | 2035-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                              | Ecopetrol S.A.                                                                       | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     830000 | PA      | $816202.97    | 0.12%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Windstream Services LLC / Windstream Escrow Finance Corp.                   | Windstream Services LLC / Windstream Escrow Finance Corp.                            | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     269000 | PA      | $281949.93    | 0.04%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Mortgage Funding 2008-1 PLC                                                 | Mortgage Funding 2008-1 PLC, Series 2008-1, Class B2                                 | CUSIP: BCC1318Z7<br>LEI: 213800AHT9AB4TA6OJ88 | Long             | ABS-MBS          | CORP              | GB        |    6497463 | PA      | $8574513.03   | 1.27%             | 2046-03-13      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-176232.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3830000 | NC      | $329134.88    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                    | PNC Financial Services Group, Inc. (The)                                             | CUSIP: 693475BT1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2226000 | PA      | $2288960.50   | 0.34%             | 2027-10-20      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                   | Ivory Coast Government International Bond                                            | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     870000 | PA      | $840846.40    | 0.12%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                           | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                    | CUSIP: 00253XAB7<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     841000 | PA      | $840787.82    | 0.12%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     128000 | PA      | $118203.98    | 0.02%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                | Chase Mortgage Finance Trust, Series 2005-A2, Class 1A3                              | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3103 | PA      | $2893.40      | 0.00%             | 2036-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -9980000 | NC      | $-745809.30   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2007-2X, Class D1A                                              | CUSIP: BCC0WM139<br>LEI: 213800NEJVUXH4MS6Y78 | Long             | ABS-MBS          | CORP              | GB        |    3600000 | PA      | $3740822.59   | 0.55%             | 2045-03-13      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: ZN7006218<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    2200000 | PA      | $2856894.05   | 0.42%             | N/A             | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Saks Global Enterprises LLC                                                 | Saks Global Enterprises LLC                                                          | CUSIP: 79380MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175000 | PA      | $97125.00     | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $1644689.10   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      24015 | PA      | $28443.95     | 0.00%             | 2036-03-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Telecom Italia Capital S.A.                                                 | Telecom Italia Capital S.A.                                                          | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     246000 | PA      | $265462.39    | 0.04%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                                    | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     301000 | PA      | $290775.66    | 0.04%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     430000 | PA      | $445148.47    | 0.07%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                                    | Last Mile Logistics Pan Euro Finance DAC                                             | CUSIP: BCC316NC8<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |    2420276 | PA      | $2823943.85   | 0.42%             | 2033-08-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -40860000 | NC      | $-340171.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BB Blue Financing DAC                                                       | BB Blue Financing DAC, Series A1                                                     | CUSIP: BZ1196758<br>LEI: 635400ZEZBP91CFF7965 | Long             | DBT              | CORP              | IE        |     750000 | PA      | $731647.07    | 0.11%             | 2037-09-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Brookfield Infrastructure Finance ULC                                       | Brookfield Infrastructure Finance ULC                                                | CUSIP: 11276BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     758000 | PA      | $762723.10    | 0.11%             | 2055-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2038 | PA      | $106.37       | 0.00%             | 2035-03-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3790000 | NC      | $108265.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      13063 | PA      | $13275.79     | 0.00%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                           | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     274000 | PA      | $284791.49    | 0.04%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -19970000 | NC      | $-215715.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                                   | Jupiter Mortgage No.1 PLC                                                            | CUSIP: BCC3D7YR8<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |     852000 | PA      | $1169904.52   | 0.17%             | 2055-07-20      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-195844.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $939822.34    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     130000 | PA      | $132607.54    | 0.02%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1069542.10  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association, IO                                         | CUSIP: 38375JSQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      51603 | PA      | $2906.85      | 0.00%             | 2037-04-16      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -15420000 | NC      | $-253581.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                     | Level 3 Financing, Inc.                                                              | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     299000 | PA      | $304454.66    | 0.05%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyality IP Ltd. (American Airlines, Inc.)                       | AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Term Loan                     | CUSIP: 02376CBT1<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     172500 | PA      | $173836.88    | 0.03%             | 2032-05-07      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1B1                 | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     565000 | PA      | $597812.60    | 0.09%             | 2043-07-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                            | Fideicomiso Dorrego y Libertador                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AR        |    3144648 | PA      | $2987415.60   | 0.44%             | 2043-12-31      | Floating      | 2.00%                 | No            |                  3 | On Loan: No      |
| Air Lease Corp.                                                             | Air Lease Corp., Series B                                                            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     437000 | PA      | $435573.46    | 0.06%             | N/A             | Variable      | 4.65%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3830000 | NC      | $596533.99    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp.                                | U.S. International Development Finance Corp., Series 4                               | CUSIP: 90376PEX5<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGSE             | US        |     480000 | PA      | $469786.63    | 0.07%             | 2028-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-INV1                                                    | PMT Loan Trust 2025-INV1, Series 2025-INV1, Class A7                                 | CUSIP: 693967AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418919 | PA      | $424768.44    | 0.06%             | 2060-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       5747 | PA      | $5795.49      | 0.00%             | 2037-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -36640000 | NC      | $-1115627.91  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                                     | SS&C Technologies, Inc.                                                              | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |     139000 | PA      | $139218.51    | 0.02%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -110440000 | NC      | $-927491.91   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| PennyMac Financial Services, Inc.                                           | PennyMac Financial Services, Inc.                                                    | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     138000 | PA      | $132796.86    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   31000000 | NC      | $48143.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                              | Walgreens Boots Alliance, Inc.                                                       | CUSIP: 931427AT5<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |      32000 | PA      | $27841.88     | 0.00%             | 2050-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M1                 | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     379830 | PA      | $387846.28    | 0.06%             | 2043-01-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-HQA2, Class M2                                              | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |    1550000 | PA      | $1556452.50   | 0.23%             | 2044-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Cerdia Finanz GmbH                                                          | Cerdia Finanz GmbH                                                                   | CUSIP: 15679GAC6<br>LEI: 391200KURNDJSX9GX570 | Long             | DBT              | CORP              | DE        |     597000 | PA      | $620265.09    | 0.09%             | 2031-10-03      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                         | Petroleos Mexicanos                                                                  | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1705000 | PA      | $1226259.94   | 0.18%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      93000 | PA      | $92947.56     | 0.01%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1372 | PA      | $148.07       | 0.00%             | 2032-04-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-966055.27   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Panther BF Aggregator 2 L.P. (Power Solutions, Clarios POWSOL)              | Panther BF Aggregator 2 L.P. (Power Solutions, Clarios POWSOL), Term Loan B          | CUSIP: C8000CAP8<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |     270000 | PA      | $270591.30    | 0.04%             | 2032-01-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49402.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Mercantil del Norte, S.A.                                             | Banco Mercantil del Norte, S.A.                                                      | CUSIP: 05971PAC2<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     650000 | PA      | $674566.10    | 0.10%             | N/A             | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1510000 | NC      | $112943.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-2696132.55  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Bell Canada                                                                 | Bell Canada                                                                          | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |     934000 | PA      | $959697.67    | 0.14%             | 2055-09-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Brink's Co. (The)                                                           | Brink's Co. (The)                                                                    | CUSIP: 109696AD6<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     291000 | PA      | $303272.05    | 0.04%             | 2032-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2024-3                            | Newday Funding Master Issuer PLC - Series 2024-3, Series 2024-3X, Class E            | CUSIP: BCC3HZWF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    1005000 | PA      | $1403509.56   | 0.21%             | 2032-11-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Radiology Partners, Inc.                                                    | Radiology Partners, Inc.                                                             | CUSIP: 75041VAE4<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |     140000 | PA      | $140501.20    | 0.02%             | 2032-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392KST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      16522 | PA      | $16479.06     | 0.00%             | 2032-01-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392MJE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      39610 | PA      | $41140.27     | 0.01%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST, L.P.                                                     | RLJ LODGING TRUST, L.P.                                                              | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |     302000 | PA      | $282024.57    | 0.04%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2024-R03, Class 2M2                 | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3180000 | PA      | $3210817.38   | 0.48%             | 2044-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $166794.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-1015810.28  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Carriage Services, Inc.                                                     | Carriage Services, Inc.                                                              | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     458000 | PA      | $433039.78    | 0.06%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-23354.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2022-R08, Class 1M2                 | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1409660.96   | 0.21%             | 2042-07-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7670000 | NC      | $-498450.29   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Telecomunicaciones Digitales, S.A.                                          | Telecomunicaciones Digitales, S.A.                                                   | CUSIP: ZQ3057432<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |     750000 | PA      | $700263.23    | 0.10%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -59906130 | NC      | $-871032.13   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                                                    | CenterPoint Energy, Inc.                                                             | CUSIP: 15189TBP1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     271000 | PA      | $274170.37    | 0.04%             | 2055-05-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Cousins Properties L.P.                                                     | Cousins Properties L.P.                                                              | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |    1239000 | PA      | $1262892.73   | 0.19%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                             | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $282252.30    | 0.04%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1820000 | NC      | $190195.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $280404.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       3330 | PA      | $3322.60      | 0.00%             | 2033-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39276.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PTA Perusahaan Perseroan (Persero) Perusahaan Listrik Negara                | PTA Perusahaan Perseroan (Persero) Perusahaan Listrik Negara                         | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    1500000 | PA      | $1486122.75   | 0.22%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $159640.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                          | Southern Co. (The), Series B                                                         | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    3271000 | PA      | $3257364.12   | 0.48%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1339 | PA      | $74.08        | 0.00%             | 2031-12-18      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                                    | YPF S.A., Class D                                                                    | CUSIP: N/A<br>LEI: 5493003N7447U18U5U53       | Long             | EC               | CORP              | AR        |     157100 | NS      | $4969279.44   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $321494.39    | 0.05%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arcos Dorados B.V.                                                          | Arcos Dorados B.V.                                                                   | CUSIP: 03965TAC7<br>LEI: 549300T91OYP6I7P8G39 | Long             | DBT              | CORP              | NL        |    1410000 | PA      | $1467654.90   | 0.22%             | 2032-01-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $782798.75    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -3740000 | NC      | $-81303.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1850000 | NC      | $341756.05    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A1                                    | CUSIP: 67448PAA1<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     237688 | PA      | $237868.61    | 0.04%             | 2064-07-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39154.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hudbay Minerals Inc.                                                        | Hudbay Minerals Inc.                                                                 | CUSIP: 443628AH5<br>LEI: 894500LX3TMESP27BE29 | Long             | DBT              | CORP              | CA        |     276000 | PA      | $280504.87    | 0.04%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      15777 | PA      | $2455.43      | 0.00%             | 2033-05-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      27016 | PA      | $30222.08     | 0.00%             | 2036-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-2084855.75  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-29420.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1823 | PA      | $162.68       | 0.00%             | 2032-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2024-R02, Class 1M2                 | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3130858.33   | 0.46%             | 2044-02-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                        | Bayer US Finance LLC                                                                 | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1774015.91   | 0.26%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES5, Class A1B                                     | CUSIP: 74942CAB5<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |     890675 | PA      | $899215.07    | 0.13%             | 2055-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower L.P. (Copeland)                                              | EMRLD Borrower L.P. (Copeland), Incremental Term Loan B                              | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |     427845 | PA      | $427692.74    | 0.06%             | 2031-08-04      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                       | Dominican Republic International Bond                                                | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     500000 | PA      | $462925.00    | 0.07%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer