# EDGAR Filing Document

**Accession Number:** 0001039001
**File Stem:** 0001752724-23-036406
**Filing Date:** 2023-2
**Character Count:** 347297
**Document Hash:** 410b2e00f68d084127fa7167c5b52a74
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-036406.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-036406

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya PARTNERS INC
- **CENTRAL INDEX KEY:** 0001039001
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08319
- **FILM NUMBER:** 23658056

**BUSINESS ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH RD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 4804773000

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH RD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING PARTNERS INC
- **DATE OF NAME CHANGE:** 20020501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PORTFOLIO PARTNERS INC
- **DATE OF NAME CHANGE:** 19970512

## Series and Classes Contracts Data

### Voya Global Bond Portfolio (Series ID: S000007598)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020707 | Class ADV    | IOSAX           |
| C000020708 | Class I      | IOSIX           |
| C000020709 | Class S      | IOSSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Partners Inc

- **b. Investment Company Act file number:** 811-08319

- **c. CIK number of Registrant:** 0001039001

- **d. LEI of Registrant:** 5493008K4FXFGU5VMN14

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA GLOBAL BOND PORTFOLIO

- **b. EDGAR series identifier (if any):** S000007598

- **c. LEI of Series:** FVTA0XO1Q4APDMG7KO58

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $139413964.22

**Total Liabilities:** $20224320.02

**Net Assets:** $119189644.20

**Stand-by Commitments:** $15824592.03

**Cash Not Reported:** $5010938.18

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 17099.00000000 | **1-Year:** 650.00000000 | **5-Year:** 4996.00000000 | **10-Year:** 12179.00000000 | **30-Year:** 14562.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 111.00000000 | **5-Year:** 689.00000000 | **10-Year:** 1857.00000000 | **30-Year:** 1642.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020707 | -0.98%               | 5.54%                | -0.07%               |
| Class ID C000020709 | -0.94%               | 5.60%                | -0.04%               |
| Class ID C000020708 | -0.92%               | 5.61%                | -0.02%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1045721.69             | $-610623.99                                |
| Month 2  | $-2901197.92             | $6703165.27                                |
| Month 3  | $606499.41               | $-1174389.09                               |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Index

- **Index Identifier:** LEGATRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44688.18     | 0.04%             | 2032-12-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                              | CURRENCY CONTRACT - SEK                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1570.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IBM CORP                                             | International Business Machines Corp                                            | CUSIP: 459200KT7<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      36000 | PA      | $35138.24     | 0.03%             | 2027-07-27      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER 4/2 144A CP 0.0000 20230103 | ENTERPRISE PRODUCTS OPER 4/2 144A CP 0.0000 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1499242.67   | 1.26%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                              | CUSIP: 907818GC6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      24000 | PA      | $23152.56     | 0.02%             | 2052-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Bank                                                 | BANK 2017-BNK6                                                                  | CUSIP: 060352AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $517067.37    | 0.43%             | 2060-07-15      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                       | Banc of America Funding 2005-1 Trust                                            | CUSIP: 05946XPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193142 | PA      | $174195.00    | 0.15%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3445.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      66000 | PA      | $64554.05     | 0.05%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                              | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      96000 | PA      | $87755.11     | 0.07%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3166 | PA      | $3190.82      | 0.00%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      43000 | PA      | $36260.01     | 0.03%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238000 | PA      | $168354.86    | 0.14%             | 2050-11-27      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -2514000 | NC      | $-39847.51    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $11010.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      71000 | PA      | $64038.66     | 0.05%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | Commercial Mortgage Pass Through Certificates                                   | CUSIP: 12624NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8056552 | PA      | $107446.21    | 0.09%             | 2030-10-05      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95000 | PA      | $75299.63     | 0.06%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION            | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   -2514000 | NC      | $-30670.31    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                       | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8116.82     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3303 | PA      | $3266.41      | 0.00%             | 2032-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                             | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   17994000 | PA      | $543153.68    | 0.46%             | 2028-12-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                      | Ross Stores Inc                                                                 | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |      23000 | PA      | $22670.32     | 0.02%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                             | Interstate Power and Light Co                                                   | CUSIP: 461070AT1<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |      21000 | PA      | $13722.93     | 0.01%             | 2051-11-30      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31339DKU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18381 | PA      | $19166.54     | 0.02%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49409 | PA      | $47414.82     | 0.04%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TLPZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31805 | PA      | $2096.50      | 0.00%             | 2029-08-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     860384 | PA      | $52770.57     | 0.04%             | 2053-05-12      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| INTACT FINANCIAL CORP                                | Intact Financial Corp                                                           | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |      85000 | PA      | $84124.68     | 0.07%             | 2032-09-22      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                 | WEC Energy Group Inc                                                            | CUSIP: 92939UAJ5<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |      13000 | PA      | $13162.71     | 0.01%             | 2027-10-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -2514000 | NC      | $-100288.02   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    4120000 | PA      | $583557.52    | 0.49%             | 2032-08-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31339DYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2091 | PA      | $2104.45      | 0.00%             | 2032-02-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TDQN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17526 | PA      | $2046.61      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31398KC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6484787 | PA      | $581789.78    | 0.49%             | 2039-10-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137AWMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     505632 | PA      | $27816.32     | 0.02%             | 2032-11-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2017-BNK6                                                                  | CUSIP: 060352AP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1948000 | PA      | $107096.36    | 0.09%             | 2060-07-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                       | DBJPM 2016-C3 Mortgage Trust                                                    | CUSIP: 23312VAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $209740.27    | 0.18%             | 2049-08-10      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392JDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11435 | PA      | $2210.23      | 0.00%             | 2033-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                              | CURRENCY CONTRACT - JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $629050.61    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      11000 | PA      | $9513.08      | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                              | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39182.75     | 0.03%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                        | CitiMortgage Alternative Loan Trust Series 2006-A3                              | CUSIP: 17309KAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164942 | PA      | $145567.85    | 0.12%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136AEWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662967 | PA      | $60269.18     | 0.05%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                             | CSX Corp                                                                        | CUSIP: 126408HA4<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42904.31     | 0.04%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CPE 03/01/23 ED US USD F 4.55                        | CPE 03/01/23 ED US USD F 4.55                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1199394.13   | 1.01%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                  | American Express Co                                                             | CUSIP: 025816DA4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      63000 | PA      | $59701.42     | 0.05%             | 2033-08-03      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                              | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-97.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                                  | Northern Trust Corp                                                             | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |      96000 | PA      | $101533.74    | 0.09%             | 2032-11-02      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                             | OHA Credit Funding 8 Ltd                                                        | CUSIP: 67707GAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235930.25    | 0.20%             | 2034-01-18      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2019-GC40                                          | CUSIP: 36257HBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $298886.56    | 0.25%             | 2052-07-10      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus                       | LSTAR Commercial Mortgage Trust 2017-5                                          | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2260637 | PA      | $46579.74     | 0.04%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9595 | PA      | $9848.43      | 0.01%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC0 C 01/30/2023                             | FISERV INC0 C 01/30/2023                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1195148.50   | 1.00%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109000 | PA      | $59505.50     | 0.05%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     161000 | PA      | $147650.74    | 0.12%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-19400.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1765000 | PA      | $1698933.91   | 1.43%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2412.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      45000 | PA      | $39288.81     | 0.03%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                 | WEC Energy Group Inc                                                            | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |       9000 | PA      | $9007.36      | 0.01%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49000 | PA      | $39985.68     | 0.03%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | USD CALL VERSUS JPY PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |     877800 | NC      | $7179.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                       | WFRBS Commercial Mortgage Trust 2013-C11                                        | CUSIP: 92937EAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $444506.43    | 0.37%             | 2045-03-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2625.08      | 0.00%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                              | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      86000 | PA      | $67346.72     | 0.06%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                 | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 6452000000 | PA      | $459442.75    | 0.39%             | 2039-04-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      64000 | PA      | $50901.17     | 0.04%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $103898.80    | 0.09%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     618000 | PA      | $615837.82    | 0.52%             | 2023-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                      | CSL Finance PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      37000 | PA      | $34953.62     | 0.03%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31397BZJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442290 | PA      | $29163.19     | 0.02%             | 2036-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                               | Diamondback Energy Inc                                                          | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38868.83     | 0.03%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      77000 | PA      | $65566.97     | 0.06%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                      | CSL Finance PLC                                                                 | CUSIP: 12661PAF6<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      11000 | PA      | $9794.62      | 0.01%             | 2062-04-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2007-7                                          | CUSIP: 12544TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185045 | PA      | $100052.88    | 0.08%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                         | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1540233 | PA      | $53786.63     | 0.05%             | 2049-08-10      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                        | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1241.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |   -5027000 | NC      | $-199153.63   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10831.98     | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $42728.73     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 31395QH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212390 | PA      | $30030.25     | 0.03%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                             | Vistra Operations Co LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44248.50     | 0.04%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    1307000 | NC      | $-1368.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                    | Euro-BTP Italian Bond s                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         12 | NC      | $-103749.51   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| APPLE INC                                            | Apple Inc                                                                       | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      19000 | PA      | $15910.06     | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                    | Eversource Energy                                                               | CUSIP: 30040WAN8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      48000 | PA      | $42182.31     | 0.04%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                       | S&P Global Inc                                                                  | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      48000 | PA      | $42348.54     | 0.04%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                   | Shackleton 2019-XV CLO Ltd                                                      | CUSIP: 81883MAQ6<br>LEI: 549300O6RVX5OXLL7335 | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $417079.52    | 0.35%             | 2032-01-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          7 | NC      | $-6233.54     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                  | CUSIP: 09659W2E3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     572000 | PA      | $570630.94    | 0.48%             | 2023-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSYA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34793 | PA      | $33396.01     | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                       | Alleghany Corp                                                                  | CUSIP: 017175AD2<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1842.99      | 0.00%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CPE 03/01/23 DUKE USD F 4.62                         | CPE 03/01/23 DUKE USD F 4.62                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1199396.80   | 1.01%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $19643.07     | 0.02%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $36793.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                 | Lockheed Martin Corp                                                            | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      14000 | PA      | $15131.53     | 0.01%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4920.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-252889.90   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24               | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          4 | NC      | $-18328.43    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                 | BANK 2017-BNK5                                                                  | CUSIP: 06541WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5783502 | PA      | $178238.58    | 0.15%             | 2060-06-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318979 | PA      | $296206.22    | 0.25%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-INV3                                              | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41289 | PA      | $35183.01     | 0.03%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13830.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2796 | PA      | $2807.28      | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Voya VACS Series EMCD Fund                           | Voya VACS Series EMCD Fund                                                      | CUSIP: 92913M302<br>LEI: 5493007WQXO53JSF1B65 | Long             | EC               | RF                | US        |     433974 | NS      | $3562930.15   | 2.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Mill City Mortgage Trust                             | Mill City Mortgage Loan Trust 2017-2                                            | CUSIP: 59980AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $182679.96    | 0.15%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14576 | PA      | $2583.88      | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Connecticut Avenue Securities Trust 2019-R01                                    | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172820 | PA      | $172425.64    | 0.14%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8905.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     251000 | PA      | $249803.83    | 0.21%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396XPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260058 | PA      | $19620.27     | 0.02%             | 2037-09-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| HP INC                                               | HP Inc                                                                          | CUSIP: 40434LAJ4<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |      55000 | PA      | $42979.83     | 0.04%             | 2031-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $226403.81    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $23674.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                         | Enbridge Inc                                                                    | CUSIP: 29250NBP9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      31000 | PA      | $30739.94     | 0.03%             | 2083-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                           | US Bancorp                                                                      | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      67000 | PA      | $69771.96     | 0.06%             | 2033-10-21      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-23318.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   13660000 | PA      | $1979749.63   | 1.66%             | 2027-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                            | Apple Inc                                                                       | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      18000 | PA      | $16394.85     | 0.01%             | 2032-08-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION            | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   -6782000 | NC      | $-75806.15    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                       | MASTR Adjustable Rate Mortgages Trust 2006-2                                    | CUSIP: 576438AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31561 | PA      | $29071.85     | 0.02%             | 2036-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | USD CALL VERSUS MXN PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   -1187000 | NC      | $-17708.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396XUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27386 | PA      | $2527.44      | 0.00%             | 2037-06-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP                                  | Dollar General Corp                                                             | CUSIP: 256677AG0<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |      23000 | PA      | $20745.92     | 0.02%             | 2030-04-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                      | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     103000 | PA      | $78109.62     | 0.07%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                             | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     558000 | PA      | $275353.48    | 0.23%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136BDD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15034962 | PA      | $1971525.60   | 1.65%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-21812.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1916.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      99000 | PA      | $93625.72     | 0.08%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                            | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                     | CUSIP: 61764PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18750000 | PA      | $154008.75    | 0.13%             | 2047-12-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-31731.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129000 | PA      | $103112.77    | 0.09%             | 2051-09-27      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                               | Puget Sound Energy Inc                                                          | CUSIP: 745332CJ3<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |      34000 | PA      | $23413.78     | 0.02%             | 2049-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7663 | PA      | $881.70       | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                       | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust                   | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162467 | PA      | $143961.85    | 0.12%             | 2036-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | CURRENCY CONTRACT - HKD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $105.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2019-BNK16                                                                 | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958905 | PA      | $40279.10     | 0.03%             | 2052-02-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1238.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                        | CURRENCY CONTRACT - HUF                                                         | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4109.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - AUD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14289.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VIATRIS INC                                          | Viatris Inc                                                                     | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      72000 | PA      | $56444.94     | 0.05%             | 2030-06-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                       | AMMC CLO 16 Ltd                                                                 | CUSIP: 00176JAX4<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $487776.50    | 0.41%             | 2029-04-14      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                             | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      57000 | PA      | $50963.16     | 0.04%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5283 | PA      | $261.45       | 0.00%             | 2035-05-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - CHF                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11342.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                           | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      15000 | PA      | $15343.44     | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE                                    | Montreal Exchange 10 Year Canadian Bond                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         20 | NC      | $-34345.95    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176000 | PA      | $98417.72     | 0.08%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                    | General Mills Inc                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |      90000 | PA      | $77961.28     | 0.07%             | 2030-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CO                                          | Southern Co/The                                                                 | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      36000 | PA      | $35926.82     | 0.03%             | 2027-08-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     293000 | PA      | $273679.85    | 0.23%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                             | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      10000 | PA      | $10708.08     | 0.01%             | 2023-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                             | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      16000 | PA      | $17157.60     | 0.01%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                      | CUSIP: 125523CK4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      22000 | PA      | $15694.08     | 0.01%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                             | Corebridge Financial Inc                                                        | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      69000 | PA      | $62988.38     | 0.05%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1014100 | PA      | $1035095.03   | 0.87%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3362.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                                | Healthpeak Properties Inc                                                       | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     115000 | PA      | $99153.82     | 0.08%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2017-3                                                 | CUSIP: 46647SCQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252480 | PA      | $217966.56    | 0.18%             | 2047-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     152000 | PA      | $148814.82    | 0.12%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      98000 | PA      | $96067.93     | 0.08%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $163.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                       | IndyMac INDX Mortgage Loan Trust 2006-AR2                                       | CUSIP: 45661EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346467 | PA      | $285144.97    | 0.24%             | 2046-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     197000 | PA      | $170806.79    | 0.14%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                       | Wells Fargo Alternative Loan 2007-PA2 Trust                                     | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40659 | PA      | $32945.41     | 0.03%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                       | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9741.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                              | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     104000 | PA      | $102179.03    | 0.09%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                         | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     287000 | PA      | $281118.80    | 0.24%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129000 | PA      | $97951.65     | 0.08%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                         | CUSIP: 404119CM9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      24000 | PA      | $19214.44     | 0.02%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                              | John Deere Capital Corp                                                         | CUSIP: 24422EWL9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |      35000 | PA      | $34111.44     | 0.03%             | 2032-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                             | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     200000 | PA      | $166734.39    | 0.14%             | 2048-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      46000 | PA      | $39974.37     | 0.03%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                  | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      18000 | PA      | $13229.62     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $378660.61    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FASW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26657 | PA      | $4618.21      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                       | Salesforce Inc                                                                  | CUSIP: 79466LAK0<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      76000 | PA      | $54549.71     | 0.05%             | 2041-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | CURRENCY CONTRACT - KRW                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $75557.32     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31394RH77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146822 | PA      | $147371.08    | 0.12%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392HMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8366 | PA      | $8432.64      | 0.01%             | 2032-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1531.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-315955.70   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                             | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKJ3<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |      55000 | PA      | $54337.11     | 0.05%             | 2027-09-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                             | Public Service Enterprise Group Inc                                             | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |      72000 | PA      | $57725.42     | 0.05%             | 2031-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      72000 | PA      | $55417.35     | 0.05%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4076383 | PA      | $212287.84    | 0.18%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31395WA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26532 | PA      | $27054.06     | 0.02%             | 2035-05-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3617.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2016-CR28 Mortgage Trust                                                   | CUSIP: 12593YBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3611784 | PA      | $59111.19     | 0.05%             | 2049-02-10      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                               | CenterPoint Energy Inc                                                          | CUSIP: 15189TAV9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      28000 | PA      | $26313.38     | 0.02%             | 2028-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Voya Emerging Markets Hard Currency Debt Fund        | Voya Emerging Markets Hard Currency Debt Fund                                   | CUSIP: 92913M401<br>LEI: 549300SMBQ3OC2DD8W64 | Long             | EC               | RF                | US        |     410557 | NS      | $3021698.34   | 2.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136AAWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1304335 | PA      | $78975.26     | 0.07%             | 2042-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                             | International Business Machines Corp                                            | CUSIP: 459200KU4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      36000 | PA      | $34456.45     | 0.03%             | 2032-07-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31395DU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3766473 | PA      | $321665.12    | 0.27%             | 2036-06-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137A1H97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1062029 | PA      | $30270.28     | 0.03%             | 2036-05-15      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                       | Alleghany Corp                                                                  | CUSIP: 017175AF7<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1416.80      | 0.00%             | 2051-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 31364HG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8643 | PA      | $155.54       | 0.00%             | 2024-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 48126HAA8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     510000 | PA      | $500106.00    | 0.42%             | N/A             | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                         | Comcast Corp                                                                    | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      29000 | PA      | $29668.93     | 0.02%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31398NTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248774 | PA      | $275021.53    | 0.23%             | 2040-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      74000 | PA      | $70037.45     | 0.06%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALT                             | Rexford Industrial Realty LP                                                    | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |      13000 | PA      | $9993.07      | 0.01%             | 2031-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                  | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      22000 | PA      | $18946.60     | 0.02%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133T3Q27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1804 | PA      | $1806.93      | 0.00%             | 2024-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                             | Madison Park Funding XXVII Ltd                                                  | CUSIP: 55820YAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237604.75    | 0.20%             | 2030-04-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      36000 | PA      | $27199.69     | 0.02%             | 2041-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Resolute Forest Products Inc                         | Resolute Forest Products Inc                                                    | CUSIP: 76117W109<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |       4988 | NS      | $107690.92    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSNET SOC LTD                                     | Transnet SOC Ltd                                                                | CUSIP: 000000000<br>LEI: 378900B07CD6F01EA796 | Long             | DBT              | CORP              | ZA        |    1000000 | PA      | $59467.15     | 0.05%             | 2023-11-06      | Fixed         | 10.80%                | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                              | CURRENCY CONTRACT - DKK                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3013.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                 | CUSIP: 37045XBG0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     202000 | PA      | $199097.44    | 0.17%             | 2026-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $19205.94     | 0.02%             | 2050-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159000 | PA      | $128958.99    | 0.11%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BASF SE                                              | BASF SE0 CP 0 01/03/2023                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1199425.20   | 1.01%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - CAD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22277.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      34000 | PA      | $33948.96     | 0.03%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3132QS6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47295 | PA      | $45395.84     | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136A3ZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262404 | PA      | $28686.67     | 0.02%             | 2042-02-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Su Casita                                            | Su Casita                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |      25098 | PA      | $1147.35      | 0.00%             | 2035-09-25      | Fixed         | 6.10%                 | No            |                  3 | On Loan: No      |
| AGL CLO Ltd.                                         | AGL CLO 11 Ltd                                                                  | CUSIP: 00851TAC0<br>LEI: 549300G9RL3BICT9HA62 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $664521.90    | 0.56%             | 2034-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31392R6E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $4094.78      | 0.00%             | 2032-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-17201.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7157 | PA      | $7416.51      | 0.01%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                         | Ares XXVIIIR CLO Ltd                                                            | CUSIP: 04017QAC9<br>LEI: 635400KWVNFDFINX3H10 | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $336569.10    | 0.28%             | 2030-10-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                             | Baxter International Inc                                                        | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      34000 | PA      | $27097.60     | 0.02%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: —       |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      43000 | PA      | $33033.71     | 0.03%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1586.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      29000 | PA      | $22402.83     | 0.02%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                      | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-25693.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31393Y5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213589 | PA      | $22979.73     | 0.02%             | 2033-10-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                    | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         70 | NC      | $-80090.80    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| BAXTER INTERNATIONAL INC                             | Baxter International Inc                                                        | CUSIP: 071813CP2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      52000 | PA      | $44444.68     | 0.04%             | 2028-12-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - CZK                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3206.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31397YQ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3387051 | PA      | $291601.06    | 0.24%             | 2039-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                   | Meta Platforms Inc                                                              | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      76000 | PA      | $61381.07     | 0.05%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4TZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2421 | PA      | $2425.91      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2886000 | PA      | $2622263.52   | 2.20%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133T7ZF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9337 | PA      | $9454.38      | 0.01%             | 2026-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                     | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      15000 | PA      | $10490.90     | 0.01%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31403DLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8109 | PA      | $8519.37      | 0.01%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27135 | PA      | $2605.40      | 0.00%             | 2031-07-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-25515.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1561.37      | 0.00%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                             | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       5000 | PA      | $3377.28      | 0.00%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     110000 | PA      | $87224.82     | 0.07%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                  | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      57000 | PA      | $56676.38     | 0.05%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                        | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                               | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12883 | PA      | $12189.68     | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    1270000 | PA      | $186523.77    | 0.16%             | 2052-04-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     124000 | PA      | $122665.32    | 0.10%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                              | Honeywell International Inc                                                     | CUSIP: 438516CK0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      23000 | PA      | $23502.30     | 0.02%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | EUR CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |    1377900 | NC      | $18970.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-10692.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13393 | PA      | $13377.84     | 0.01%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5763209 | PA      | $1264886.65   | 1.06%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN MEDIA OP R/B/R                              | AMERICAN MEDIA OP R/B/R                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       2149 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: —       |
| DUKE ENERGY CAROLINAS                                | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1735.10      | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      55000 | PA      | $50693.76     | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    3070500 | NC      | $-14810.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136A4BX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585486 | PA      | $26320.56     | 0.02%             | 2041-11-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                  | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     234000 | PA      | $225828.37    | 0.19%             | 2028-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Citibank, National Association                       | CURRENCY CONTRACT - IDR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $497.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-127597.18   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                 | BlueMountain CLO XXVIII Ltd                                                     | CUSIP: 09630PAG8<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $232192.75    | 0.19%             | 2034-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137AYLF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310208 | PA      | $45456.92     | 0.04%             | 2043-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                        | GS Mortgage-Backed Securities Trust 2022-PJ1                                    | CUSIP: 36263NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187012 | PA      | $143796.81    | 0.12%             | 2052-05-28      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                       | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1878.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya High Yield Bond Fund                            | Voya High Yield Bond Fund                                                       | CUSIP: 92913L593<br>LEI: OTPD0VW0B2EUAT57PE57 | Long             | EC               | RF                | US        |     710507 | NS      | $4668029.62   | 3.92%             |  |  |  | No            |                  1 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                             | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      83000 | PA      | $64623.26     | 0.05%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92000 | PA      | $47785.26     | 0.04%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      16000 | PA      | $11469.13     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31395JSP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123037 | PA      | $123306.41    | 0.10%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -5027000 | NC      | $-192897.05   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                             | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NQ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     267000 | PA      | $251452.66    | 0.21%             | 2028-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3525.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | USD CALL VERSUS JPY PUT                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |    -877800 | NC      | $-10015.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVNET INC                                            | Avnet Inc                                                                       | CUSIP: 053807AV5<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |      31000 | PA      | $28713.25     | 0.02%             | 2032-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                              | CUSIP: 29273RAY5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1026000 | PA      | $1020610.82   | 0.86%             | 2024-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | CURRENCY CONTRACT - NZD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5797.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION            | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   -2514000 | NC      | $-132685.02   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | CURRENCY CONTRACT - CLP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4543.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77928 | PA      | $14010.29     | 0.01%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     154000 | PA      | $150220.23    | 0.13%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      48000 | PA      | $39870.26     | 0.03%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $6647.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      12000 | PA      | $8552.43      | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                     | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      11000 | PA      | $9176.30      | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     313000 | PA      | $319693.44    | 0.27%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                 | Targa Resources Corp                                                            | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      16000 | PA      | $15182.06     | 0.01%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                             | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAF7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |      64000 | PA      | $37422.47     | 0.03%             | 2051-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                       | PECO Energy Co                                                                  | CUSIP: 693304AS6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      61000 | PA      | $52138.67     | 0.04%             | 2044-10-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                 | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8234.84      | 0.01%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                     | Altria Group Inc                                                                | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     134000 | PA      | $101103.92    | 0.08%             | 2043-05-02      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                       | Alternative Loan Trust 2006-13T1                                                | CUSIP: 12668BZK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58553 | PA      | $29832.16     | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                     | CIFC Funding 2020-II Ltd                                                        | CUSIP: 12547LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $488775.50    | 0.41%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     565000 | PA      | $527698.95    | 0.44%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      74000 | PA      | $64603.40     | 0.05%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |    2766000 | NC      | $4189.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                        | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2707744 | PA      | $99316.39     | 0.08%             | 2050-10-12      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GRB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      31584 | PA      | $29997.99     | 0.03%             | 2035-05-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      24000 | PA      | $22583.04     | 0.02%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                               | Mid-America Apartments LP                                                       | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |      28000 | PA      | $23875.12     | 0.02%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TJZY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20272 | PA      | $809.87       | 0.00%             | 2029-03-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                             | Discovery Communications LLC                                                    | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      35000 | PA      | $26599.28     | 0.02%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                 | Entergy Arkansas LLC                                                            | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |       4000 | PA      | $2797.88      | 0.00%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                      | CSL Finance PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      63000 | PA      | $59502.35     | 0.05%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   12880000 | PA      | $1916785.36   | 1.61%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     186000 | PA      | $170660.45    | 0.14%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                       | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-50685.71    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                             | USD CALL VERSUS GBP PUT                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    1186850 | NC      | $78.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2973000 | PA      | $2518080.64   | 2.11%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                   | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         22 | NC      | $-120358.75   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED MICRO DEVICES                               | Advanced Micro Devices Inc                                                      | CUSIP: 007903BG1<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |      73000 | PA      | $64539.74     | 0.05%             | 2052-06-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2012-1A PTT                               | US Airways 2012-1 Class A Pass Through Trust                                    | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      58597 | PA      | $56731.19     | 0.05%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $242893.23    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                  | PayPal Holdings Inc                                                             | CUSIP: 70450YAE3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4366.12      | 0.00%             | 2029-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| MALAYSIA GOVERNMENT                                  | Malaysia Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    7864000 | PA      | $1729892.53   | 1.45%             | 2034-07-05      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-139083.15   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                               | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607H6M9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     139000 | PA      | $135895.43    | 0.11%             | 2025-08-04      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | USD CALL VERSUS JPY PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |    -877800 | NC      | $-10015.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31410GQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40060 | PA      | $40698.31     | 0.03%             | 2036-10-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                       | S&P Global Inc                                                                  | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      41000 | PA      | $35085.35     | 0.03%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2013-CCRE10 Mortgage Trust                                                 | CUSIP: 12626BAY0<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $101659.11    | 0.09%             | 2046-08-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-70556.88    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      78000 | PA      | $70670.89     | 0.06%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Trust 2015-3                                                               | CUSIP: 12649XBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124246 | PA      | $114114.36    | 0.10%             | 2045-03-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      11000 | PA      | $10217.50     | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 31283HS97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1241 | PA      | $1291.21      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                 | BlueMountain CLO XXXI Ltd                                                       | CUSIP: 09631BAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239175.75    | 0.20%             | 2034-04-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2013-GC16                                          | CUSIP: 36248GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3591451 | PA      | $15895.40     | 0.01%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     186000 | PA      | $185367.89    | 0.16%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                               | Chubb INA Holdings Inc                                                          | CUSIP: 171239AH9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |      27000 | PA      | $17969.82     | 0.02%             | 2051-12-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                             | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      29000 | PA      | $23729.56     | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     537400 | PA      | $442935.16    | 0.37%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                             | International Flavors & Fragrances Inc                                          | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      16000 | PA      | $11472.37     | 0.01%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                             | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $139956.62    | 0.12%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | CURRENCY CONTRACT - RON                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |          1 | NC      | $800.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      82000 | PA      | $63106.30     | 0.05%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                               | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $278044.93    | 0.23%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                      | CUSIP: 00287YAV1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1808.36      | 0.00%             | 2036-05-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                                 | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187219.31    | 0.16%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 6174468J1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      59000 | PA      | $56440.14     | 0.05%             | 2025-07-22      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31397UGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1448020 | PA      | $150691.40    | 0.13%             | 2041-06-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                           | Ecolab Inc                                                                      | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |      16000 | PA      | $9618.66      | 0.01%             | 2055-08-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                      | CUSIP: 92343VBE3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      28000 | PA      | $25656.31     | 0.02%             | 2041-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                             | International Business Machines Corp                                            | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36579.72     | 0.03%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137AVDL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432898 | PA      | $37602.33     | 0.03%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $28311.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | CBOT 5 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -30 | NC      | $5039.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                             | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     908000 | PA      | $795046.23    | 0.67%             | 2048-10-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      78000 | PA      | $61206.02     | 0.05%             | 2048-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-24618.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                       | Carlyle Global Market Strategies CLO 2016-1 Ltd                                 | CUSIP: 14312HAU0<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $487678.50    | 0.41%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust 2021-L5                                          | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1704442 | PA      | $118419.14    | 0.10%             | 2054-05-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6829 | PA      | $1144.59      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                 | Lockheed Martin Corp                                                            | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      29000 | PA      | $30575.07     | 0.03%             | 2054-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10103.24     | 0.01%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                       | Lowe's Cos Inc                                                                  | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      35000 | PA      | $34280.67     | 0.03%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12474 | PA      | $2089.12      | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                      | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      38000 | PA      | $35422.88     | 0.03%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $48226.33     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1665213.97   | 1.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7532 | PA      | $8979.01      | 0.01%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | CURRENCY CONTRACT - COP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |          1 | NC      | $263.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                              | American Airlines 2021-1 Class A Pass Through Trust                             | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     188000 | PA      | $151849.54    | 0.13%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                    | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         50 | NC      | $-188124.75   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| PAYPAL HOLDINGS INC                                  | PayPal Holdings Inc                                                             | CUSIP: 70450YAN3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      55000 | PA      | $50285.73     | 0.04%             | 2062-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31397Q5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28701 | PA      | $28688.94     | 0.02%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5611.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                     | Credit Suisse AG                                                                | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $388282.40    | 0.33%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    6880000 | PA      | $1012835.76   | 0.85%             | 2026-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      18000 | PA      | $16599.04     | 0.01%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-22225.44    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                         | QUALCOMM Inc                                                                    | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |      59000 | PA      | $63037.31     | 0.05%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                         | RBC DOMINION SECURITIES INC                                                     | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | Long             | RA               | CORP              | US        |     684277 | PA      | $684277.00    | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                             | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40000 | PA      | $32933.11     | 0.03%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      24000 | PA      | $24822.44     | 0.02%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | DUALDIGI AUDUSD 0.6375 USDJPY 131.5                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | GB        |      63000 | NC      | $4641.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                       | S&P Global Inc                                                                  | CUSIP: 78409VBD5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      34000 | PA      | $26412.45     | 0.02%             | 2052-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      64400 | PA      | $58654.31     | 0.05%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                             | Duke Energy Progress LLC                                                        | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1684.21      | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                               | Chubb INA Holdings Inc                                                          | CUSIP: 171239AG1<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |      75000 | PA      | $58391.29     | 0.05%             | 2030-09-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2752.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2234837 | PA      | $78769.05     | 0.07%             | 2050-05-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                             | Corebridge Financial Inc                                                        | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     108000 | PA      | $100298.58    | 0.08%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                              | American Electric Power Co Inc                                                  | CUSIP: 025537AP6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      33000 | PA      | $22314.77     | 0.02%             | 2050-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                         | BBCCRE Trust 2015-GTP                                                           | CUSIP: 05490TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8020000 | PA      | $114296.63    | 0.10%             | 2033-08-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                              | Duke Energy Florida LLC                                                         | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32770.70     | 0.03%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1806 | PA      | $1785.91      | 0.00%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31402DPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20603 | PA      | $21140.64     | 0.02%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2019-GC40                                          | CUSIP: 36257HBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410000 | PA      | $396357.78    | 0.33%             | 2052-07-10      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                   | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     223000 | PA      | $195940.84    | 0.16%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                       | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                   | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76616 | PA      | $67462.60     | 0.06%             | 2046-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                     | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      19000 | PA      | $14210.67     | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392FJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8367 | PA      | $8433.79      | 0.01%             | 2032-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                             | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      37000 | PA      | $32416.29     | 0.03%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                             | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     520000 | PA      | $905264.38    | 0.76%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                    | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      72000 | PA      | $75720.53     | 0.06%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                      | Sealed Air Corp                                                                 | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      52000 | PA      | $44969.12     | 0.04%             | 2026-10-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     103200 | PA      | $102530.81    | 0.09%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                          | OCP CLO 2014-5 Ltd                                                              | CUSIP: 67102SAQ7<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $458203.00    | 0.38%             | 2031-04-26      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396X6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4045867 | PA      | $326134.89    | 0.27%             | 2038-01-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2007-A1                                                | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28754 | PA      | $26893.91     | 0.02%             | 2035-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Government National Mortgage Association                                        | CUSIP: 38377GTD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     769204 | PA      | $65291.63     | 0.05%             | 2040-06-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                | Evergy Kansas Central Inc                                                       | CUSIP: 95709TAH3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |      42000 | PA      | $35067.23     | 0.03%             | 2042-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                             | USD CALL VERSUS MXN PUT                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -1187000 | NC      | $-28475.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CARGILL INC                                          | Cargill Inc                                                                     | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      18000 | PA      | $18089.05     | 0.02%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                             | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      40000 | PA      | $37059.61     | 0.03%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                  | American International Group Inc                                                | CUSIP: 026874DL8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     181000 | PA      | $162345.63    | 0.14%             | 2048-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                | Evergy Kansas Central Inc                                                       | CUSIP: 95709TAQ3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |      55000 | PA      | $38287.56     | 0.03%             | 2049-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                     | Paramount Global                                                                | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3088.34      | 0.00%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-18159.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31395VZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21439 | PA      | $811.40       | 0.00%             | 2035-07-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                       | CSAIL 2021-C20 Commercial Mortgage Trust                                        | CUSIP: 22945EAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $417337.35    | 0.35%             | 2054-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      18000 | PA      | $15895.00     | 0.01%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                 | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      83000 | PA      | $77017.20     | 0.06%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396XZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645924 | PA      | $60915.54     | 0.05%             | 2037-10-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136A0J73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050633 | PA      | $71561.34     | 0.06%             | 2041-09-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                 | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      18000 | PA      | $17463.57     | 0.01%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                          | Cargill Inc                                                                     | CUSIP: 141781BX1<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      16000 | PA      | $13958.71     | 0.01%             | 2052-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31393AHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11196 | PA      | $2116.29      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -5027000 | NC      | $-71983.19    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                      | Canadian When Issued Government Bond                                            | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     575000 | PA      | $322862.08    | 0.27%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 31                       | Octagon Investment Partners 31 Ltd                                              | CUSIP: 67575XAS0<br>LEI: 5493003JSU68UU09PZ63 | Long             | ABS-CBDO         | CORP              | KY        |     550000 | PA      | $525359.45    | 0.44%             | 2030-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171000 | PA      | $118269.34    | 0.10%             | 2051-09-27      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                                | Marble Point CLO XIV Ltd                                                        | CUSIP: 56608KAN3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244632.50    | 0.21%             | 2032-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NOMURA GLOBAL FINANCIAL PRODUCTS INC                 | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 0Z3VO5H2G7GRS05BHJ91 | N/A              | DIR              | CORP              | US        |    1050000 | NC      | $-5064.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      15000 | PA      | $13622.41     | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                     | Paramount Global                                                                | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      37000 | PA      | $27058.15     | 0.02%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| TRITON CONTAINER                                     | Triton Container International Ltd                                              | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |     133000 | PA      | $103661.55    | 0.09%             | 2031-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11939 | PA      | $2013.17      | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                  | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      12000 | PA      | $9885.26      | 0.01%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - NZD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $600.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                             | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     265000 | PA      | $241934.34    | 0.20%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      21000 | PA      | $19295.31     | 0.02%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                               | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      39000 | PA      | $38496.07     | 0.03%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $83796.55     | 0.07%             | 2050-03-01      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                             | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2977640 | PA      | $231285.93    | 0.19%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5344.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     516800 | PA      | $514054.50    | 0.43%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Citibank, National Association                       | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-438.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $3557.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | USD CALL VERSUS JPY PUT                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |     877800 | NC      | $7179.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      35000 | PA      | $23975.45     | 0.02%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                           | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     177000 | PA      | $164421.67    | 0.14%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      39000 | PA      | $32511.43     | 0.03%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -14 | NC      | $12315.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Adjustable Rate Mortgage Trust                       | Adjustable Rate Mortgage Trust 2006-2                                           | CUSIP: 007034AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139079 | PA      | $121292.65    | 0.10%             | 2036-05-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1215.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                            | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6                      | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     870000 | PA      | $717208.08    | 0.60%             | 2045-11-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3475.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                                 | Mississippi Power Co                                                            | CUSIP: 605417BZ6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |     130000 | PA      | $105993.70    | 0.09%             | 2042-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92000 | PA      | $77845.21     | 0.07%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                             | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     205000 | PA      | $186124.46    | 0.16%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                               | Extra Space Storage LP                                                          | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      49000 | PA      | $37201.56     | 0.03%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $289621.62    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5003.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                     | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      21000 | PA      | $22588.97     | 0.02%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182065 | PA      | $193082.22    | 0.16%             | 2035-10-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                       | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1741.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                  | Dominion Energy Inc                                                             | CUSIP: 25746UDM8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      78000 | PA      | $65904.81     | 0.06%             | N/A             | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                   | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     143000 | PA      | $121254.85    | 0.10%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        974 | PA      | $978.51       | 0.00%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $259091.41    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                      | CSL Finance PLC                                                                 | CUSIP: 12661PAE9<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      25000 | PA      | $22723.22     | 0.02%             | 2052-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                | Entergy Louisiana LLC                                                           | CUSIP: 29364WBC1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $81738.44     | 0.07%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                             | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      16000 | PA      | $16750.20     | 0.01%             | 2033-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 3138WEWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29300 | PA      | $27505.35     | 0.02%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - CHF                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4063.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                   | Meta Platforms Inc                                                              | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      29000 | PA      | $23195.41     | 0.02%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14880 | PA      | $2535.37      | 0.00%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-26536.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $62575.31     | 0.05%             | 2049-11-08      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                     | Paramount Global                                                                | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      78000 | PA      | $53973.90     | 0.05%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | CME Ultra Long Term US Treasury Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1 | NC      | $1060.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -5027000 | NC      | $-217505.01   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                  | Dominion Energy Inc                                                             | CUSIP: 25746UDD8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      43000 | PA      | $37840.00     | 0.03%             | N/A             | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1832.59      | 0.00%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - CAD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1460.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ingevity Corp                                        | Ingevity Corp                                                                   | CUSIP: 45688C107<br>LEI: 5493009UTFC4B5IMGF87 | Long             | EC               | CORP              | US        |         18 | NS      | $1267.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      27000 | PA      | $21082.89     | 0.02%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                               | Metropolitan Edison Co                                                          | CUSIP: 591894CB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     380000 | PA      | $363983.58    | 0.31%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17379 | PA      | $1756.15      | 0.00%             | 2032-02-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392F7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321149 | PA      | $34380.80     | 0.03%             | 2032-12-18      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5782 | PA      | $6963.56      | 0.01%             | 2035-08-15      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15957 | PA      | $17363.69     | 0.01%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113000 | PA      | $74013.84     | 0.06%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     243000 | PA      | $222345.28    | 0.19%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                          | Cargill Inc                                                                     | CUSIP: 141781BM5<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16512.75     | 0.01%             | 2030-04-23      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      36000 | PA      | $29041.66     | 0.02%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    1780000 | PA      | $293742.14    | 0.25%             | 2048-10-22      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                      | Lehman XS Trust Series 2005-5N                                                  | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138105 | PA      | $129937.80    | 0.11%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                        | UBS Commercial Mortgage Trust 2018-C9                                           | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6239288 | PA      | $240192.62    | 0.20%             | 2051-03-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2005-A4                                                | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     452433 | PA      | $405914.23    | 0.34%             | 2035-07-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                    | Eversource Energy                                                               | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      51000 | PA      | $47030.95     | 0.04%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELEC PWR CO INC 0 CP 04/01/2023             | AMERICAN ELEC PWR CO INC 0 CP 04/01/2023                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1261000 | PA      | $1260202.59   | 1.06%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                              | Sun Communities Operating LP                                                    | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      46000 | PA      | $40639.79     | 0.03%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                       | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                  | CUSIP: 93363NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22282 | PA      | $19931.37     | 0.02%             | 2036-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 31297CRC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5219 | PA      | $5360.98      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                     | Crown Castle Inc                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18220.51     | 0.02%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      73000 | PA      | $53245.63     | 0.04%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     312000 | PA      | $288779.99    | 0.24%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Ginnie Mae II Pool                                                              | CUSIP: 36202ECR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6968 | PA      | $7152.33      | 0.01%             | 2035-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Government National Mortgage Association                                        | CUSIP: 38375GXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534964 | PA      | $32576.10     | 0.03%             | 2041-07-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31394JMS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2667 | PA      | $2657.39      | 0.00%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                                  | LSEGA Financing PLC                                                             | CUSIP: 50220PAE3<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $146009.48    | 0.12%             | 2041-04-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BROOKFLD FIN LLC/FIN INC                             | Brookfield Finance LLC / Brookfield Finance Inc                                 | CUSIP: 11271RAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      61000 | PA      | $38765.75     | 0.03%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                             | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     870000 | PA      | $839827.20    | 0.70%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-349732.45   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                       | Alternative Loan Trust 2005-53T2                                                | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36222 | PA      | $18648.23     | 0.02%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75000 | PA      | $62010.30     | 0.05%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31505 | PA      | $30206.20     | 0.03%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                   | Advance Auto Parts Inc                                                          | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |      90000 | PA      | $79084.55     | 0.07%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $3401.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                        | Citigroup Commercial Mortgage Trust 2016-C2                                     | CUSIP: 17291CBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7900000 | PA      | $205514.55    | 0.17%             | 2049-08-10      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                              | CUSIP: 907818FZ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      50000 | PA      | $37803.75     | 0.03%             | 2053-02-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $3687.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31397YPL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1026870 | PA      | $80142.56     | 0.07%             | 2039-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                            | Apple Inc                                                                       | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      25000 | PA      | $16205.75     | 0.01%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     362000 | PA      | $354533.75    | 0.30%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137B1JS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4046211 | PA      | $668230.90    | 0.56%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    1307000 | NC      | $-1234.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-LTV3                                              | CUSIP: 46651HBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8409 | PA      | $8146.22      | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Government National Mortgage Association                                        | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7209352 | PA      | $570554.58    | 0.48%             | 2044-09-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| PARTNERRE FINANCE B LLC                              | PartnerRe Finance B LLC                                                         | CUSIP: 70213BAC5<br>LEI: 549300O0FAGHK2F79881 | Long             | DBT              | CORP              | US        |      91000 | PA      | $78865.99     | 0.07%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2734.53      | 0.00%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $106388.52    | 0.09%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394DBG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13155 | PA      | $15962.23     | 0.01%             | 2035-04-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      21000 | PA      | $17456.96     | 0.01%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                         | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      61000 | PA      | $50142.26     | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                              | Duke Energy Florida LLC                                                         | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3372.95      | 0.00%             | 2048-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - JPY                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $113.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2867 | PA      | $2890.04      | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                | DUALDIGI AUDUSD 0.6000 USDJPY 125                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |     144000 | NC      | $1263.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CA2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     131000 | PA      | $98272.03     | 0.08%             | 2041-05-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $31646.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $232569.87    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                   | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |      16000 | PA      | $16131.54     | 0.01%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS INTERNATIONAL                          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   -1257000 | NC      | $-28137.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                   | Meta Platforms Inc                                                              | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      24000 | PA      | $22408.55     | 0.02%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      17000 | PA      | $16236.81     | 0.01%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                             | Rogers Communications Inc                                                       | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      20000 | PA      | $17313.28     | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394FFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70696 | PA      | $70942.29     | 0.06%             | 2035-07-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                 | Lockheed Martin Corp                                                            | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20686.26     | 0.02%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $584244.36    | 0.49%             | 2042-03-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $124111.16    | 0.10%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                          | Phillips 66                                                                     | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      63000 | PA      | $61506.43     | 0.05%             | 2025-04-09      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      18000 | PA      | $16391.51     | 0.01%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9691.07      | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| XLIT LTD                                             | XLIT Ltd                                                                        | CUSIP: 98420EAD7<br>LEI: 635400XCGXK8NVDIVE95 | Long             | DBT              | CORP              | KY        |      57000 | PA      | $54131.60     | 0.05%             | 2045-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - NOK                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1563.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $92803.39     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                   | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          1 | NC      | $-20912.26    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                           | SGX Mini Japan Government 10 Year Bond                                          | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DIR              | CORP              | SG        |         26 | NC      | $-53927.83    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-435259.59   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TDBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3089 | PA      | $341.98       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90000 | PA      | $67040.40     | 0.06%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - AUD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11251.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                             | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     156000 | PA      | $135943.44    | 0.11%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                             | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |      56000 | PA      | $50532.23     | 0.04%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                      | CUSIP: 458140BY5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      27000 | PA      | $25983.43     | 0.02%             | 2027-08-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - AUD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15952.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-18234.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31371LU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2814 | PA      | $2824.33      | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 31297BWX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2045 | PA      | $2099.35      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      29000 | PA      | $27128.62     | 0.02%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92000 | PA      | $75313.85     | 0.06%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     192000 | PA      | $181702.35    | 0.15%             | 2025-10-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                       | Alleghany Corp                                                                  | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |      43000 | PA      | $39985.43     | 0.03%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                              | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     222000 | PA      | $218366.61    | 0.18%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                  | Dow Chemical Co/The                                                             | CUSIP: 260543DG5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      15000 | PA      | $15828.56     | 0.01%             | 2033-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| LOWE'S COS INC                                       | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      34000 | PA      | $27125.14     | 0.02%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $35797.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                             | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKD6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |      38000 | PA      | $37290.94     | 0.03%             | 2029-06-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-41371.95    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2885.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                              | CUSIP: 907818GD4<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      29000 | PA      | $28052.39     | 0.02%             | 2063-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29712 | PA      | $28518.70     | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32132.78     | 0.03%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-26532.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4788.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $153938.78    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                              | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      46000 | PA      | $43428.70     | 0.04%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust 2005-AR6                                                | CUSIP: 362341RW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6736 | PA      | $6576.35      | 0.01%             | 2035-09-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                       | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust                  | CUSIP: 92922F2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3179779 | PA      | $3776.46      | 0.00%             | 2045-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                | CURRENCY CONTRACT - CAD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9338.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      72000 | PA      | $56569.10     | 0.05%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                          | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      27000 | PA      | $25853.60     | 0.02%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      51000 | PA      | $40562.73     | 0.03%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                 | DBUBS 2011-LC2 Mortgage Trust                                                   | CUSIP: 23305XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14778 | PA      | $14711.14     | 0.01%             | 2044-07-10      | Floating      | 4.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396KV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32753 | PA      | $2610.00      | 0.00%             | 2036-09-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 3138WE4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13154 | PA      | $12348.16     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                       | RALI Series 2006-QO1 Trust                                                      | CUSIP: 761118RX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1299023 | PA      | $46694.56     | 0.04%             | 2046-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                             | Baxter International Inc                                                        | CUSIP: 071813CV9<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1299.48      | 0.00%             | 2051-12-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                     | CIFC Funding 2013-I Ltd                                                         | CUSIP: 12549AAQ3<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $383390.00    | 0.32%             | 2030-07-16      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC                                  | Nestle Holdings Inc                                                             | CUSIP: 641062BE3<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141994.11    | 0.12%             | 2053-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                        | AEP Texas Inc                                                                   | CUSIP: 0010EPAN8<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     153000 | PA      | $147113.17    | 0.12%             | 2025-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                   | THL Credit Wind River 2013-2 CLO Ltd                                            | CUSIP: 88432ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233811.75    | 0.20%             | 2030-10-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54156 | PA      | $56066.53     | 0.05%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - AUD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13120.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TKAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25704 | PA      | $1498.19      | 0.00%             | 2029-03-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                             | USD CALL VERSUS MXN PUT                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -1187000 | NC      | $-17708.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-37069.83    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16771.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                               | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      52000 | PA      | $54070.93     | 0.05%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CO 01/03/2023                            | DUKE ENERGY CO 01/03/2023                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1199396.80   | 1.01%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20098.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                | American Homes 4 Rent LP                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      33000 | PA      | $27846.65     | 0.02%             | 2032-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                               | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      19000 | PA      | $11911.13     | 0.01%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      32000 | PA      | $26440.56     | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     494000 | PA      | $433927.18    | 0.36%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES 2015B                                 | Delta Air Lines 2015-1 Class B Pass Through Trust                               | CUSIP: 24737AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93590 | PA      | $91772.49     | 0.08%             | 2023-07-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     141000 | PA      | $145932.81    | 0.12%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     153000 | PA      | $134233.94    | 0.11%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2619.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTROCK CO                                          | WESTROCK CO                                                                     | CUSIP: 96145D105<br>LEI: 5493004Z9TCQW68YVL89 | Long             | EC               | CORP              | US        |        120 | NS      | $4219.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2005-17                                         | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18045 | PA      | $15429.20     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                             | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1179510 | PA      | $55660.76     | 0.05%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 31296UGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9347 | PA      | $9619.68      | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938000 | PA      | $823412.05    | 0.69%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                              | Essential Utilities Inc                                                         | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |     100000 | PA      | $84098.47     | 0.07%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                      | Allegro CLO IV Ltd                                                              | CUSIP: 01749TAS9<br>LEI: 635400THLJMIHHPCEN50 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $576759.60    | 0.48%             | 2030-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                             | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     178000 | PA      | $170744.30    | 0.14%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 31395QS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307879 | PA      | $31703.98     | 0.03%             | 2033-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                          | Cargill Inc                                                                     | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      47000 | PA      | $37224.10     | 0.03%             | 2031-11-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4717.10      | 0.00%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                        | Sempra Energy                                                                   | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      65000 | PA      | $50650.89     | 0.04%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HP INC                                               | HP Inc                                                                          | CUSIP: 40434LAK1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |      11000 | PA      | $10063.51     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136B36U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9039057 | PA      | $910104.70    | 0.76%             | 2049-04-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | DUALDIGI USDCNH 7.2 USDJPY 131.5                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |      54000 | NC      | $2260.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                          | Prologis LP                                                                     | CUSIP: 74340XCB5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |      18000 | PA      | $14314.47     | 0.01%             | 2032-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                              | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAG2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      91000 | PA      | $88512.90     | 0.07%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $18345.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3137AFGS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458358 | PA      | $13500.90     | 0.01%             | 2040-07-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                   | Athene Holding Ltd                                                              | CUSIP: 04686JAF8<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |      20000 | PA      | $19837.38     | 0.02%             | 2033-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | JPY CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |     747500 | NC      | $15288.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      94000 | PA      | $63351.21     | 0.05%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $10431.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                       | Galaxy XV CLO Ltd                                                               | CUSIP: 36318WAM2<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $475320.50    | 0.40%             | 2030-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                  | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      57000 | PA      | $46752.02     | 0.04%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -5027000 | NC      | $-84167.84    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | CURRENCY CONTRACT - ILS                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8115.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                               | Chubb INA Holdings Inc                                                          | CUSIP: 171239AJ5<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |      11000 | PA      | $7183.27      | 0.01%             | 2061-12-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                        | GS Mortgage-Backed Securities Corp Trust 2020-PJ3                               | CUSIP: 36258WBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469777 | PA      | $367320.66    | 0.31%             | 2050-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                 | BlueMountain CLO 2013-2 Ltd                                                     | CUSIP: 09626YAU4<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |     412500 | PA      | $386144.55    | 0.32%             | 2030-10-22      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8131 | PA      | $594.63       | 0.00%             | 2032-07-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31359VVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3228 | PA      | $3259.85      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Government National Mortgage Association                                        | CUSIP: 38375JRN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168985 | PA      | $200555.35    | 0.17%             | 2037-03-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                           | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      56000 | PA      | $55770.89     | 0.05%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Ginnie Mae I Pool                                                               | CUSIP: 36200NRN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16388 | PA      | $16666.44     | 0.01%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                             | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      30000 | PA      | $29108.44     | 0.02%             | 2028-02-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163000 | PA      | $112161.20    | 0.09%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                              | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      57000 | PA      | $55984.69     | 0.05%             | 2032-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17533 | PA      | $18198.86     | 0.02%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                             | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     438000 | PA      | $410774.41    | 0.34%             | 2049-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                       | Lowe's Cos Inc                                                                  | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15651.94     | 0.01%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2005-J4                                         | CUSIP: 126694RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30619 | PA      | $24898.21     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | IRS USD                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |          1 | NC      | $42131.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136A9JM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433011 | PA      | $60933.18     | 0.05%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                  | PayPal Holdings Inc                                                             | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      12000 | PA      | $11330.27     | 0.01%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3370.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-LTV2                                              | CUSIP: 46651AAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3049 | PA      | $3006.29      | 0.00%             | 2049-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 32                       | Octagon Investment Partners 32 Ltd                                              | CUSIP: 67578BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $336822.15    | 0.28%             | 2029-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | CURRENCY CONTRACT - JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $673.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                              | American Electric Power Co Inc                                                  | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      22000 | PA      | $17166.19     | 0.01%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                           | FedEx Corp                                                                      | CUSIP: 31428XCA2<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |      45000 | PA      | $41209.35     | 0.03%             | 2050-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3075.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   21600000 | PA      | $1026588.87   | 0.86%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1935000 | PA      | $1924115.63   | 1.61%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                         | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $21209.49     | 0.02%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                      | DTE Electric Co                                                                 | CUSIP: 23338VAD8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      63000 | PA      | $54471.67     | 0.05%             | 2044-07-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2109000 | PA      | $149489.29    | 0.13%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-948.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONCORD MINUTEMEN CAPITAL COMPANY, LLC               | CONCORD MINUTE 01/03/2023                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1179430.19   | 0.99%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund       | Goldman Sachs Financial Square Government Fund                                  | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | STIV             | RF                | US        |   11694000 | NS      | $11694000.00  | 9.81%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | CBOT 10 Year US Treasury Note                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -82 | NC      | $24335.31     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NUCOR CORP                                           | Nucor Corp                                                                      | CUSIP: 670346AY1<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |      22000 | PA      | $21496.87     | 0.02%             | 2027-05-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 3138WEUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22391 | PA      | $21018.58     | 0.02%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6666.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RECKITT BENCKISER TSY                                | Reckitt Benckiser Treasury Services PLC                                         | CUSIP: 75625QAE9<br>LEI: 213800LAXWIUOOBZ3908 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $185863.42    | 0.16%             | 2027-06-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                   | Royalty Pharma PLC                                                              | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     150000 | PA      | $134384.64    | 0.11%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | CURRENCY CONTRACT - CAD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5501.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                       | WFRBS Commercial Mortgage Trust 2014-C19                                        | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |    6234058 | PA      | $49038.35     | 0.04%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2465000 | PA      | $2312102.06   | 1.94%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Ginnie Mae II Pool                                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1895129 | PA      | $1649749.18   | 1.38%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      33000 | PA      | $25912.87     | 0.02%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4753.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      25200 | PA      | $22105.13     | 0.02%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      34000 | PA      | $36935.64     | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                | Texas Instruments Inc                                                           | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      28000 | PA      | $25026.40     | 0.02%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                    | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      81000 | PA      | $72284.48     | 0.06%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                     | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      88000 | PA      | $84622.20     | 0.07%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |   -5027000 | NC      | $-80352.05    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -16603100 | NC      | $9840.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     342000 | PA      | $274552.42    | 0.23%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-8                                                 | CUSIP: 46591KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186705 | PA      | $166428.05    | 0.14%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $159521.26    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                        | CURRENCY CONTRACT - PLN                                                         | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4441.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2014-CCRE16 Mortgage Trust                                                 | CUSIP: 12591VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10121750 | PA      | $83451.81     | 0.07%             | 2047-04-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   29640000 | PA      | $4386251.03   | 3.68%             | 2028-11-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                               | Mondelez International Inc                                                      | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      41000 | PA      | $35435.01     | 0.03%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31394EVY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3320 | PA      | $3275.14      | 0.00%             | 2025-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      31000 | PA      | $32250.31     | 0.03%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                       | GreenPoint Mortgage Funding Trust 2006-AR3                                      | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92507 | PA      | $76989.45     | 0.06%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       9000 | PA      | $6917.62      | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 31393JC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11100 | PA      | $11003.00     | 0.01%             | 2033-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                          | Nutrien Ltd                                                                     | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |      15000 | PA      | $15321.57     | 0.01%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -16603100 | NC      | $-71920.76    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24               | SFE 3 YEAR AUSTRALIAN BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         16 | NC      | $-16126.61    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | CURRENCY CONTRACT - CHF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |          1 | NC      | $511.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3189.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                | Reynolds American Inc                                                           | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      36000 | PA      | $32613.61     | 0.03%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136ABHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145086 | PA      | $123534.88    | 0.10%             | 2043-01-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                   | Southwest Gas Corp                                                              | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      12000 | PA      | $10569.59     | 0.01%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $75.19        | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31000 | PA      | $30749.48     | 0.03%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | CURRENCY CONTRACT - SGD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6562.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                   | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      51000 | PA      | $45023.11     | 0.04%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      57000 | PA      | $43202.77     | 0.04%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                  | Sound Point Clo XV Ltd                                                          | CUSIP: 83609RAQ4<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $381904.80    | 0.32%             | 2029-01-23      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     133000 | PA      | $114396.90    | 0.10%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                        | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                               | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11559 | PA      | $10731.56     | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                  | Dow Chemical Co/The                                                             | CUSIP: 260543DH3<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      20000 | PA      | $21836.16     | 0.02%             | 2053-05-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 3136AAFG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2316548 | PA      | $86075.27     | 0.07%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-190273.31   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                      | CSL Finance PLC                                                                 | CUSIP: 12661PAD1<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      15000 | PA      | $13439.86     | 0.01%             | 2042-04-27      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                       | Public Storage                                                                  | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |      17000 | PA      | $14534.00     | 0.01%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                            | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3615000 | PA      | $2942353.37   | 2.47%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                    | Cedar Funding VIII Clo Ltd                                                      | CUSIP: 15032EAN9<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237445.00    | 0.20%             | 2034-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2055110 | PA      | $214666.58    | 0.18%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                             | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAK6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |      56000 | PA      | $56623.41     | 0.05%             | 2033-04-22      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - NZD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10098.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                      | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      91000 | PA      | $82264.14     | 0.07%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                          | Target Corp                                                                     | CUSIP: 87612EBP0<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |      57000 | PA      | $55500.21     | 0.05%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35038.28     | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36000 | PA      | $35677.50     | 0.03%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                          | Equinor ASA                                                                     | CUSIP: 29446MAF9<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      41000 | PA      | $36909.07     | 0.03%             | 2030-04-06      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                  | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     145000 | PA      | $124113.69    | 0.10%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                       | Morgan Stanley Residential Mortgage Loan Trust 2021-2                           | CUSIP: 61772LBL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160830 | PA      | $123665.08    | 0.10%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK FINANCIAL INC.                         | NATIONAL BANK FINANCIAL                                                         | CUSIP: 000000000<br>LEI: 549300D83GR71RNG0O65 | Long             | RA               | CORP              | US        |    1000000 | PA      | $1000000.00   | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                             | Madison Park Funding XXXI Ltd                                                   | CUSIP: 55819DAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $380556.40    | 0.32%             | 2031-01-23      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133TJC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8903 | PA      | $8824.60      | 0.01%             | 2029-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                  | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6514.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      32000 | PA      | $33090.49     | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392BKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5200 | PA      | $5293.10      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                     | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      65000 | PA      | $61488.38     | 0.05%             | 2032-07-18      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                             | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     120000 | PA      | $117642.49    | 0.10%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31713 | PA      | $32832.14     | 0.03%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                       | S&P Global Inc                                                                  | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10027.66     | 0.01%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: —       |
| EUREX CLEARING AKTIENGESELLSCHAFT                    | Eurex 10 Year Euro BUND                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          5 | NC      | $-43016.44    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      66000 | PA      | $49886.64     | 0.04%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     150000 | PA      | $138176.84    | 0.12%             | 2025-10-21      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |       3000 | PA      | $1998.90      | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       9000 | PA      | $6577.45      | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                | Reynolds American Inc                                                           | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     124000 | PA      | $111111.90    | 0.09%             | 2043-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                             | USD CALL VERSUS GBP PUT                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -1186850 | NC      | $-21.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                       | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2805000 | PA      | $2498274.68   | 2.10%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                         | Enbridge Inc                                                                    | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      31000 | PA      | $30208.03     | 0.03%             | 2083-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                              | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      53000 | PA      | $51195.46     | 0.04%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                       | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6371 | PA      | $1144.76      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                       | WFRBS Commercial Mortgage Trust 2013-C14                                        | CUSIP: 92890PBG8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $159951.60    | 0.13%             | 2046-06-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                              | Duke Energy Florida LLC                                                         | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      18000 | PA      | $19272.02     | 0.02%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     165000 | PA      | $149118.97    | 0.13%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2061.95      | 0.00%             | 2032-10-18      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                             | KLA Corp                                                                        | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      51000 | PA      | $47662.48     | 0.04%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                               | CUSIP: 31396LMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95298 | PA      | $126902.09    | 0.11%             | 2036-11-25      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAR5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1581.96      | 0.00%             | 2046-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      52000 | PA      | $42598.02     | 0.04%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      58000 | PA      | $51029.22     | 0.04%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                      | United States Treasury Note/Bond                                                | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     918000 | PA      | $912262.50    | 0.77%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                     | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     222000 | PA      | $202349.47    | 0.17%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                             | CSX Corp                                                                        | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      36000 | PA      | $31452.78     | 0.03%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $99274.65     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      42000 | PA      | $39186.65     | 0.03%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95000 | PA      | $73656.55     | 0.06%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                              | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5010 | PA      | $5040.36      | 0.00%             | 2031-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       5000 | PA      | $3547.07      | 0.00%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   -1257000 | NC      | $-76051.80    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                       | Barings Clo Ltd 2019-IV                                                         | CUSIP: 06761VAJ6<br>LEI: 549300QO1I8V07FLPQ13 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $487367.50    | 0.41%             | 2033-01-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES                                | AvalonBay Communities Inc                                                       | CUSIP: 053484AD3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |      24000 | PA      | $23691.44     | 0.02%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      29000 | PA      | $31677.63     | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                | American Homes 4 Rent LP                                                        | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      17000 | PA      | $12534.66     | 0.01%             | 2052-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-71921.17    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                           | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $51635.93     | 0.04%             | 2050-11-27      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.          | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         28 | NC      | $-7112.86     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BERRY GLOBAL INC                                     | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     230000 | PA      | $197024.40    | 0.17%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137B5KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $74422.60     | 0.06%             | 2041-12-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                           | CUSIP: 3132QS2P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59134 | PA      | $56759.19     | 0.05%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                             | KLA Corp                                                                        | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      24000 | PA      | $23203.15     | 0.02%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                       | Galaxy XXI CLO Ltd                                                              | CUSIP: 36320WAQ9<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $373156.40    | 0.31%             | 2031-04-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| ADVANCED MICRO DEVICES                               | Advanced Micro Devices Inc                                                      | CUSIP: 007903BF3<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |      90000 | PA      | $83891.20     | 0.07%             | 2032-06-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                       | Carlyle US Clo 2017-2 Ltd                                                       | CUSIP: 14315JAS8<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243999.50    | 0.20%             | 2031-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                         | QUALCOMM Inc                                                                    | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |       7000 | PA      | $7311.61      | 0.01%             | 2033-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                       | Morgan Stanley                                                                  | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     347000 | PA      | $364698.17    | 0.31%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust 2006-WF1                                          | CUSIP: 17307G4K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218190 | PA      | $105451.49    | 0.09%             | 2036-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                            | Apple Inc                                                                       | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      28000 | PA      | $23953.61     | 0.02%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-45608.22    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                   | Cenovus Energy Inc                                                              | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      38000 | PA      | $34171.39     | 0.03%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust 2018-CH1                                                 | CUSIP: 81747DAU3<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |       6642 | PA      | $6152.18      | 0.01%             | 2048-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                               | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      44000 | PA      | $44795.85     | 0.04%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     151000 | PA      | $120660.43    | 0.10%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                         | WinWater Mortgage Loan Trust 2015-5                                             | CUSIP: 97654DCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98321 | PA      | $84360.32     | 0.07%             | 2045-08-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                             | Northern States Power Co/MN                                                     | CUSIP: 665772CQ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      71000 | PA      | $55025.31     | 0.05%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                | CUSIP: 31329QM65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600505 | PA      | $572805.94    | 0.48%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5111658 | PA      | $198183.57    | 0.17%             | 2052-09-01      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                    | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         40 | NC      | $-369167.38   | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-41840.33    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     456000 | PA      | $434269.28    | 0.36%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $312742.56    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $475164.65    | 0.40%             | 2042-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac Stacr Remic Trust 2020-HQA2                                         | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332645 | PA      | $337494.89    | 0.28%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                | MXN CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   -1187000 | NC      | $-33365.16    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      44000 | PA      | $31657.80     | 0.03%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6428.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                    | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      22000 | PA      | $23010.84     | 0.02%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2019-BNK21                                                                 | CUSIP: 06540BBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8998020 | PA      | $374750.91    | 0.31%             | 2052-10-17      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                  | IRS USD                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |          1 | NC      | $17289.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Voya Partners Inc

**Signature:** Tin Bui

**Name of Signer:** Tin Bui

**Title:** Vice President