# EDGAR Filing Document

**Accession Number:** 0000794614
**File Stem:** 0002071691-25-001609
**Filing Date:** 2025-9
**Character Count:** 393126
**Document Hash:** ce93b3df00b0226166b330f738a460b2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-001609.hdr.sgml**: 20250923

**ACCESSION NUMBER**: 0002071691-25-001609

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250923

**DATE AS OF CHANGE**: 20250923

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM GLOBAL INCOME TRUST
- **CENTRAL INDEX KEY:** 0000794614

**ORGANIZATION NAME:**
- **EIN:** 046549525
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04524
- **FILM NUMBER:** 251333200

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GOVERNMENT INCOME GLOBAL TRUST
- **DATE OF NAME CHANGE:** 19870225

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GLOBAL GOVERNMENT INCOME TRUST
- **DATE OF NAME CHANGE:** 19870115

## Series and Classes Contracts Data

### PUTNAM GLOBAL INCOME TRUST (Series ID: S000005653)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000015446 | Class C Shares |  |
| C000015447 | Class Y Shares |  |
| C000015448 | Class A Shares | PGGIX           |
| C000015451 | Class R Shares | PGBRX           |
| C000118067 | Class R5       |  |
| C000118068 | Class R6       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Global Income Trust

- **b. Investment Company Act file number:** 811-04524

- **c. CIK number of Registrant:** 0000794614

- **d. LEI of Registrant:** YG36PGJJVUMHC9JGGU34

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

  - **Street Address 1:** 100 Federal Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-292-1000

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

- **a. Name of Series:** Putnam Global Income Trust

- **b. EDGAR series identifier (if any):** S000005653

- **c. LEI of Series:** YG36PGJJVUMHC9JGGU34

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $262651525.84

**Total Liabilities:** $48492988.30

**Net Assets:** $214158537.54

**Delayed Delivery Securities:** $35879071.37

**Cash Not Reported:** $84.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3707.70000000 | **1-Year:** 8968.94000000 | **5-Year:** 26715.20000000 | **10-Year:** 32376.74000000 | **30-Year:** 14910.32000000

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

- **3-Month:** 27.58000000 | **1-Year:** 216.35000000 | **5-Year:** 931.28000000 | **10-Year:** 678.45000000 | **30-Year:** 109.25000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000015448 | -0.15%               | 1.43%                | -0.93%               |
| Class ID C000015447 | -0.03%               | 1.35%                | -0.82%               |
| Class ID C000118067 | -0.12%               | 1.36%                | -0.81%               |
| Class ID C000015446 | -0.21%               | 1.27%                | -0.90%               |
| Class ID C000015451 | -0.17%               | 1.40%                | -0.96%               |
| Class ID C000118068 | -0.11%               | 1.46%                | -0.90%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-475454.25              | $-453066.68                                |
| Month 2  | $-160977.28              | $3008257.19                                |
| Month 3  | $130269.79               | $-3242126.31                               |

**Designated Index Information**

- **Index Name:** LEGATRUU Index

- **Index Identifier:** BM0683

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     121000 | PA      | $126130.22    | 0.06%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676AU9<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25120.32     | 0.01%             | 2031-04-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Republic of Finland                                                  | Finland Government Bond                                                          | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     370000 | PA      | $363969.91    | 0.17%             | 2034-04-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H19, Class MI                                                  | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     681048 | PA      | $26350.42     | 0.01%             | 2067-04-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Debt Notes                                               | FHLMC STACR Debt Notes, Series 2015-DNA3, Class M3                               | CUSIP: 3137G0GW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228266 | PA      | $230280.34    | 0.11%             | 2028-04-25      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                             | Electricite de France SA                                                         | CUSIP: 28504DAF0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |     315000 | PA      | $321206.26    | 0.15%             | 2035-01-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Bonos Y Obligaciones del Estado                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     210000 | PA      | $207424.00    | 0.10%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2013-CR13, Class D                                   | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $163097.20    | 0.08%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                          | Toll Brothers Finance Corp.                                                      | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     111000 | PA      | $110439.26    | 0.05%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1520000 | PA      | $1899058.62   | 0.89%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                     | Oaktree CLO Ltd., Series 2019-4A, Class ARR                                      | CUSIP: 67402CBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250563.63    | 0.12%             | 2037-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                              | CUSIP: 210385AD2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      99000 | PA      | $106533.23    | 0.05%             | 2034-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PVH Corp.                                                            | PVH Corp.                                                                        | CUSIP: 693656AE0<br>LEI: 123WALMHY1GZXG2YDL90 | Long             | DBT              | CORP              | US        |     210000 | PA      | $211652.87    | 0.10%             | 2030-06-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                          | ONEOK, Inc.                                                                      | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     198000 | PA      | $209414.28    | 0.10%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                  | Switzerland Government Bond                                                      | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     290000 | PA      | $410801.74    | 0.19%             | 2042-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     267000 | PA      | $270344.52    | 0.13%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                      | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2C                        | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     954458 | PA      | $290972.88    | 0.14%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2944.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                    | Chase Home Lending Mortgage Trust, Series 2025-7, Class A11                      | CUSIP: 16160AAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113451 | PA      | $113521.09    | 0.05%             | 2056-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                             | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     247000 | PA      | $264282.89    | 0.12%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-57139.13    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                       | Tapestry, Inc.                                                                   | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |      57000 | PA      | $50817.11     | 0.02%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1             | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140099 | PA      | $140178.29    | 0.07%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2646.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Sweden                                                    | Sweden Government Bond                                                           | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    6950000 | PA      | $702008.96    | 0.33%             | 2026-11-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                          | Rogers Communications, Inc.                                                      | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     306000 | PA      | $309984.02    | 0.14%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1911.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                     | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     324000 | PA      | $330386.25    | 0.15%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10964.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                         | Humana, Inc.                                                                     | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     180000 | PA      | $184863.93    | 0.09%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                       | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                        | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100422 | PA      | $94721.99     | 0.04%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1             | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44370 | PA      | $44644.61     | 0.02%             | 2043-07-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                   | VICI Properties LP                                                               | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     257000 | PA      | $263110.53    | 0.12%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Australia 3 Year Bond                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-93.61       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4184.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618FRPC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     565926 | PA      | $587926.16    | 0.27%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                                  | Georgia-Pacific LLC                                                              | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |     280000 | PA      | $282117.64    | 0.13%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $322.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     541000 | PA      | $-25928.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618G7SL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     832688 | PA      | $861778.19    | 0.40%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                   | Berry Global, Inc.                                                               | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25586.85     | 0.01%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1080.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-761.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GES9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     172000 | PA      | $176270.05    | 0.08%             | 2027-01-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                     | Peru Government Bond                                                             | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     580000 | PA      | $523409.40    | 0.24%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-IV Ltd.                                            | CIFC Funding Ltd., Series 2021-4A, Class AR                                      | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250742.50    | 0.12%             | 2037-07-23      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                             | Celanese US Holdings LLC                                                         | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     124000 | PA      | $127175.89    | 0.06%             | 2027-07-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-4, Class GI                                                    | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1756040 | PA      | $436178.00    | 0.20%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                     | Comision Federal de Electricidad                                                 | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $254315.30    | 0.12%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                | Mexico Government Bond                                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     450000 | PA      | $388719.00    | 0.18%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                   | Station Place Securitization Trust, Series 2024-5, Class A                       | CUSIP: 85778YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     685000 | PA      | $685326.06    | 0.32%             | 2025-08-04      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1             | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7931 | PA      | $7936.64      | 0.00%             | 2044-02-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1             | CUSIP: 207932AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43667 | PA      | $44644.21     | 0.02%             | 2042-12-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd.                                       | Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class AR3                       | CUSIP: 64129UCC7<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $301065.87    | 0.14%             | 2038-07-22      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     220000 | PA      | $226564.03    | 0.11%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13298.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                   | Crown Castle, Inc.                                                               | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     172000 | PA      | $168920.43    | 0.08%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                           | Alexander Funding Trust II                                                       | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $255068.69    | 0.12%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11606.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1759000 | PA      | $5309.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1             | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106891 | PA      | $109481.67    | 0.05%             | 2042-07-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1750000 | PA      | $1954134.97   | 0.91%             | 2034-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                         | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1R                          | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250300.00    | 0.12%             | 2035-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M1             | CUSIP: 20755RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47377 | PA      | $47376.75     | 0.02%             | 2044-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                              | Credit Suisse Commercial Mortgage Trust, Series 2006-C4, Class AX                | CUSIP: 22545MAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        716 | PA      | $3.26         | 0.00%             | 2039-09-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  212000000 | PA      | $1228391.76   | 0.57%             | 2051-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                               | Paraguay Government Bond                                                         | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $199850.00    | 0.09%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H25, Class AI                                                  | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     803050 | PA      | $11058.72     | 0.01%             | 2065-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $30862.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3005.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                       | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     256000 | PA      | $251767.44    | 0.12%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                   | Southern Co. (The)                                                               | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     167000 | PA      | $173930.63    | 0.08%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                    | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844452 | PA      | $756760.35    | 0.35%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2053000 | PA      | $18719.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     145000 | PA      | $138304.39    | 0.06%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6907.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4297.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1500000 | PA      | $1731937.24   | 0.81%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group            | JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $46477.89     | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1222.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024380 | PA      | $1023195.60   | 0.48%             | 2055-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class XA                       | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     188411 | PA      | $1.88         | 0.00%             | 2046-06-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     140000 | PA      | $146061.24    | 0.07%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     270000 | PA      | $278081.18    | 0.13%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                          | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $211033.79    | 0.10%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BankUnited Trust                                                     | BankUnited Trust, Series 2005-1, Class 1A1                                       | CUSIP: 06652DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52197 | PA      | $48952.59     | 0.02%             | 2045-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                       | EPR Properties                                                                   | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      58000 | PA      | $57586.29     | 0.03%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1483.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IPALCO Enterprises, Inc.                                             | IPALCO Enterprises, Inc.                                                         | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     315000 | PA      | $302354.39    | 0.14%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9928.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust                                | Morgan Stanley Resecuritization Trust, Series 2015-R4, Class CB1                 | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39394 | PA      | $39321.82     | 0.02%             | 2047-08-26      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     733000 | PA      | $743873.81    | 0.35%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp. Ltd.                                             | Power Finance Corp. Ltd.                                                         | CUSIP: 73928RAB2<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | NUSS              | IN        |     270000 | PA      | $260486.84    | 0.12%             | 2030-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-182, Class TI                                                  | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2700569 | PA      | $497638.97    | 0.23%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H23, Class NI                                                  | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1050656 | PA      | $45460.83     | 0.02%             | 2066-10-20      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $488.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                           | Huntsman International LLC                                                       | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     250000 | PA      | $237760.46    | 0.11%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2636.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                 | Columbia Pipelines Operating Co. LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     108000 | PA      | $111609.45    | 0.05%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     135000 | PA      | $135721.84    | 0.06%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro-Buxl                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          5 | NC      | $-17165.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39568.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| First-Citizens Bank & Trust Co.                                      | First-Citizens Bank & Trust Co.                                                  | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |     276000 | PA      | $285837.59    | 0.13%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-OA7, Class 1A2                               | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166957 | PA      | $163790.70    | 0.08%             | 2046-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10531.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                            | South Bow USA Infrastructure Holdings LLC                                        | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     505000 | PA      | $504735.43    | 0.24%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1989.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $74481.64     | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                           | Huntsman International LLC                                                       | CUSIP: 44701QBG6<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     335000 | PA      | $309003.52    | 0.14%             | 2034-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                   | Denmark Government Bond                                                          | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |    1550000 | PA      | $230656.12    | 0.11%             | 2027-11-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                        | UBS Commercial Mortgage Trust, Series 2017-C7, Class XA                          | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5295387 | PA      | $102850.72    | 0.05%             | 2050-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3618.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                    | Georgia Power Co.                                                                | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     121000 | PA      | $121621.95    | 0.06%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     575000 | PA      | $578324.33    | 0.27%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $32687.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                          | Capital One Financial Corp.                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     104000 | PA      | $100510.56    | 0.05%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $23751.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19727.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                     | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $206528.63    | 0.10%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     372000 | PA      | $-80.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federation of Malaysia                                               | Malaysia Government Bond                                                         | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |    2280000 | PA      | $542543.99    | 0.25%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $574.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hayfin US XIV Ltd.                                                   | Hayfin US XIV Ltd., Series 2021-14A, Class A1                                    | CUSIP: 42088AAA2<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250213.59    | 0.12%             | 2034-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5969172.00   | 2.79%             | 2055-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                  | CNA Financial Corp.                                                              | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     162000 | PA      | $160807.88    | 0.08%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Norway                                                    | Norway Government Bond                                                           | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    1880000 | PA      | $176970.45    | 0.08%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   24397000 | PA      | $11365.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                              | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |      72364 | PA      | $72972.08     | 0.03%             | 2043-11-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                       | DTE Energy Co.                                                                   | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     155000 | PA      | $156444.92    | 0.07%             | 2027-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     133000 | PA      | $136502.83    | 0.06%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1547.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C                     | CUSIP: 17324DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322000 | PA      | $320057.92    | 0.15%             | 2048-09-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                       | Hewlett Packard Enterprise Co.                                                   | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     163000 | PA      | $149935.97    | 0.07%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     280000 | PA      | $197564.17    | 0.09%             | 2051-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                      | Virginia Electric and Power Co.                                                  | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100210.23    | 0.05%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     729800 | PA      | $15652.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-117, Class MI                                                  | CUSIP: 38382WEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2873220 | PA      | $455275.50    | 0.21%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                                | Petronas Capital Ltd.                                                            | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     380000 | PA      | $386349.04    | 0.18%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                              | Waste Connections, Inc.                                                          | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     463000 | PA      | $466137.60    | 0.22%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6551.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                              | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1              | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812000 | PA      | $816478.99    | 0.38%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                     | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63822.07     | 0.03%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                | Indonesia Government Bond                                                        | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |     500000 | PA      | $501677.10    | 0.23%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                                     | GE HealthCare Technologies, Inc.                                                 | CUSIP: 36267VAF0<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     190000 | PA      | $194845.59    | 0.09%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Massachusetts Mutual Life Insurance Co.                              | Massachusetts Mutual Life Insurance Co.                                          | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |     387000 | PA      | $254406.90    | 0.12%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2856.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7110.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                             | Motorola Solutions, Inc.                                                         | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      52000 | PA      | $46211.47     | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H02, Class BI                                                  | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935076 | PA      | $35872.31     | 0.02%             | 2067-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 1M2             | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      77670 | PA      | $79742.24     | 0.04%             | 2028-08-25      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                        | Brazil Government Bond                                                           | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     400000 | PA      | $377300.00    | 0.18%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                              | DuPont de Nemours, Inc.                                                          | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     337000 | PA      | $337247.34    | 0.16%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                   | Denmark Government Bond                                                          | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |     650000 | PA      | $119931.82    | 0.06%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                       | Protective Life Global Funding                                                   | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |     305000 | PA      | $314704.51    | 0.15%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The), Series U                                        | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      57000 | PA      | $55911.13     | 0.03%             | 2026-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2876.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                      | Brunswick Corp.                                                                  | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     261000 | PA      | $202245.04    | 0.09%             | 2052-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                               | Howmet Aerospace, Inc.                                                           | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     174000 | PA      | $166048.88    | 0.08%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc., Series GG                                                       | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     416000 | PA      | $420576.00    | 0.20%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-37875.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                 | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B        | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83965 | PA      | $80614.49     | 0.04%             | 2045-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6869.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-477.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M1                              | CUSIP: 35564KNK1<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |      81591 | PA      | $81581.56     | 0.04%             | 2041-12-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                              | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |     889000 | PA      | $895849.03    | 0.42%             | 2041-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 2 Ltd.                                               | Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R                                | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251000.00    | 0.12%             | 2037-10-19      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9342.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                         | Uruguay Government Bond                                                          | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     100000 | PA      | $99700.00     | 0.05%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $921088.27    | 0.43%             | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  102000000 | PA      | $305226.13    | 0.14%             | 2060-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 5116, Class BI                                                     | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4065765 | PA      | $834906.51    | 0.39%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   17282000 | PA      | $18104.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                   | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     516000 | PA      | $501487.50    | 0.23%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                             | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     175000 | PA      | $172834.39    | 0.08%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     275000 | PA      | $277088.28    | 0.13%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-336.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     450000 | PA      | $535159.73    | 0.25%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Government Bond                                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     800000 | PA      | $993571.38    | 0.46%             | 2028-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                            | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     222000 | PA      | $223482.92    | 0.10%             | 2031-11-13      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 Ltd.                                                    | AIMCO CLO 17 Ltd., Series 2022-17A, Class A1R                                    | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     350000 | PA      | $350832.20    | 0.16%             | 2037-07-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                      | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                         | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $214598.40    | 0.10%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         46 | NC      | $13289.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Tapestry, Inc.                                                       | Tapestry, Inc.                                                                   | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     170000 | PA      | $170884.74    | 0.08%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class AS                 | CUSIP: 94989WAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293000 | PA      | $291450.12    | 0.14%             | 2048-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     230000 | PA      | $259598.74    | 0.12%             | 2026-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                               | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     120000 | PA      | $122351.52    | 0.06%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class A1                              | CUSIP: 35564NAW3<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |     148876 | PA      | $149660.09    | 0.07%             | 2044-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-672.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                  | Thailand Government Bond                                                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |   15700000 | PA      | $498172.17    | 0.23%             | 2031-12-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199720.82    | 0.09%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                          | Bundesobligation                                                                 | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     900000 | PA      | $1040086.13   | 0.49%             | 2029-10-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $893462.63    | 0.42%             | 2055-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                                         | Kenvue, Inc.                                                                     | CUSIP: 49177JAS1<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     460000 | PA      | $463771.60    | 0.22%             | 2032-05-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     946000 | PA      | $-3324.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $16916.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                             | Motorola Solutions, Inc.                                                         | CUSIP: 620076CB3<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202754.66    | 0.09%             | 2032-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                   | Belgium Government Bond                                                          | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1200000 | PA      | $1358159.01   | 0.63%             | 2035-06-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4105.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco SARL                                             | Eagle Funding Luxco SARL                                                         | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     260000 | PA      | $261495.00    | 0.12%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3648000 | PA      | $32560.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1             | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61410 | PA      | $62365.29     | 0.03%             | 2042-09-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                               | Palmer Square CLO Ltd., Series 2021-3A, Class B                                  | CUSIP: 69688FAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $400795.09    | 0.19%             | 2035-01-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2831.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                    | CUSIP: 3140ABD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048994 | PA      | $1064760.42   | 0.50%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pertamina Hulu Energi PT                                             | Pertamina Hulu Energi PT                                                         | CUSIP: 74448WAA2<br>LEI: 2549003IT1KDHL64C037 | Long             | DBT              | CORP              | ID        |     230000 | PA      | $233171.70    | 0.11%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  171000000 | PA      | $716051.88    | 0.33%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Glencore Finance Canada Ltd.                                         | Glencore Finance Canada Ltd.                                                     | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     115000 | PA      | $116601.10    | 0.05%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                        | Equinix, Inc.                                                                    | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     168000 | PA      | $158699.98    | 0.07%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                   | General Motors Financial Co., Inc.                                               | CUSIP: 37045XEN2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     175000 | PA      | $180484.77    | 0.08%             | 2029-01-07      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     780000 | PA      | $969237.45    | 0.45%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $83.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                   | Vertiv Group Corp.                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |     330000 | PA      | $321238.40    | 0.15%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     100000 | PA      | $104946.89    | 0.05%             | 2040-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                     | Paramount Global                                                                 | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     110000 | PA      | $107309.76    | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     535000 | PA      | $546500.42    | 0.26%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 20 Year                                                                    | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514392 | PA      | $418427.87    | 0.20%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                            | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     368000 | PA      | $362419.15    | 0.17%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      93000 | PA      | $989.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5529.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1158.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                   | Belgium Government Bond                                                          | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     630000 | PA      | $769652.77    | 0.36%             | 2041-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B     | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     488977 | PA      | $459798.96    | 0.21%             | 2046-07-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                   | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $398678.43    | 0.19%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1430.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Truist Bank                                                          | Truist Bank                                                                      | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     250000 | PA      | $248123.44    | 0.12%             | 2029-09-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-CR17, Class C                                   | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     459000 | PA      | $422063.12    | 0.20%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                               | Howmet Aerospace, Inc.                                                           | CUSIP: 013817AK7<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     287000 | PA      | $304503.56    | 0.14%             | 2037-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $348.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $978.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2130.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                  | Thailand Government Bond                                                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |   15500000 | PA      | $512777.37    | 0.24%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6550000 | PA      | $-24240.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-102, Class IG                                                  | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70749 | PA      | $1385.27      | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                              | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |      62027 | PA      | $62270.91     | 0.03%             | 2034-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3142.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-UBS6, Class C                                   | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46723 | PA      | $46156.94     | 0.02%             | 2047-12-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                     | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     117000 | PA      | $120504.02    | 0.06%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                             | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     396000 | PA      | $404013.11    | 0.19%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2016-C02, Class 1M2             | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      27489 | PA      | $27971.00     | 0.01%             | 2028-09-25      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| Venture XIX CLO Ltd.                                                 | Venture XIX CLO Ltd., Series 2014-19A, Class ARR                                 | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |     123910 | PA      | $124217.80    | 0.06%             | 2032-01-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Franklin Ultra Short Bond ETF                                        | Franklin Ultra Short Bond ETF                                                    | CUSIP: 35473P496<br>LEI: 549300C2WYDHE3Y9X469 | Long             |  | RF                | US        |     217238 | NS      | $5436380.95   | 2.54%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | CDSCMBX                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      16000 | PA      | $2916.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                  | Fifth Third Bancorp                                                              | CUSIP: 316773DM9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     225000 | PA      | $227023.09    | 0.11%             | 2030-09-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class XA            | CUSIP: 46645JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1759637 | PA      | $1675.88      | 0.00%             | 2048-12-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XII Ltd.                                                 | Allegro CLO XII Ltd., Series 2020-1A, Class A1R                                  | CUSIP: 01750TAN6<br>LEI: 254900E0ZQX4DLP7HF87 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251043.72    | 0.12%             | 2037-07-21      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                          | ONEOK, Inc.                                                                      | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     265000 | PA      | $262600.06    | 0.12%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3305.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                     | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     295000 | PA      | $294615.82    | 0.14%             | 2029-07-03      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         16 | NC      | $34722.16     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Wise CLO Ltd.                                                        | Wise CLO Ltd., Series 2024-2A, Class A                                           | CUSIP: 97718GAA1<br>LEI: 254900UJ1RZE30CBZ497 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $400846.65    | 0.19%             | 2037-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      36000 | PA      | $38052.08     | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Government Bond                                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |      50000 | PA      | $30782.14     | 0.01%             | 2050-10-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   17799000 | PA      | $45332.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                             | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     286156 | PA      | $283957.52    | 0.13%             | 2069-09-25      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                 | Bulgaria Government Bond                                                         | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |      88000 | PA      | $85960.20     | 0.04%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $797.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                         | KazMunayGas National Co. JSC                                                     | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     260000 | PA      | $263526.94    | 0.12%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                       | Illumina, Inc.                                                                   | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149962.14    | 0.07%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H21, Class AI                                                  | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     881489 | PA      | $29606.56     | 0.01%             | 2064-10-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      65400 | PA      | $7795.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6432.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1282.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      97000 | PA      | $99261.27     | 0.05%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     105000 | PA      | $106022.12    | 0.05%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     500000 | PA      | $625885.80    | 0.29%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                  | Athene Holding Ltd.                                                              | CUSIP: 04686JAH4<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     108000 | PA      | $106723.58    | 0.05%             | 2054-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                       | Hewlett Packard Enterprise Co.                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     139000 | PA      | $138225.84    | 0.06%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $162.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                     | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     250000 | PA      | $255479.44    | 0.12%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                | Guatemala Government Bond                                                        | CUSIP: 401494AX7<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     400000 | PA      | $429294.00    | 0.20%             | 2032-10-04      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                      | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      93000 | PA      | $89991.05     | 0.04%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-OA19, Class A1                               | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127006 | PA      | $101652.71    | 0.05%             | 2047-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                 | United Kingdom Gilt                                                              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     420000 | PA      | $594100.28    | 0.28%             | 2028-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $294.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                            | Australia Government Bond                                                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1640000 | PA      | $1022475.17   | 0.48%             | 2028-05-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1B                             | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |      24000 | PA      | $25230.63     | 0.01%             | 2042-09-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                  | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     251000 | PA      | $233030.43    | 0.11%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                           | US Bancorp                                                                       | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     294000 | PA      | $249650.02    | 0.12%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                   | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     171000 | PA      | $166190.63    | 0.08%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1             | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311440 | PA      | $312199.55    | 0.15%             | 2044-09-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883738 | PA      | $796849.27    | 0.37%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                    | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     410000 | PA      | $468264.92    | 0.22%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   28503000 | PA      | $-21020.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro-Bobl                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          6 | NC      | $-5335.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Brunswick Corp.                                                      | Brunswick Corp.                                                                  | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     297000 | PA      | $253464.33    | 0.12%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2             | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427000 | PA      | $437568.42    | 0.20%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Romania                                                              | Romania Government Bond                                                          | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     250000 | PA      | $279612.19    | 0.13%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1             | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37240 | PA      | $37504.93     | 0.02%             | 2043-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-190                                                            | CUSIP: 38380RJM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    3665694 | PA      | $279032.66    | 0.13%             | 2062-11-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp. | Targa Resources Partners LP / Targa Resources Partners Finance Corp.             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      84000 | PA      | $83057.45     | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1470.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                           | Province of Ontario Canada                                                       | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     170000 | PA      | $122161.73    | 0.06%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16778.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                      | Eastern Energy Gas Holdings LLC                                                  | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     137000 | PA      | $142194.55    | 0.07%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     975900 | PA      | $115405.46    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                            | South Bow USA Infrastructure Holdings LLC                                        | CUSIP: 83007CAE2<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128405.11    | 0.06%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10 | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |     435156 | PA      | $442486.24    | 0.21%             | 2049-10-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-22035.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                          | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      85000 | PA      | $86898.46     | 0.04%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     830000 | PA      | $881154.82    | 0.41%             | 2029-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                              | Raizen Fuels Finance SA                                                          | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $196950.00    | 0.09%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2016-NXSR, Class AS                                           | CUSIP: 12594PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267000 | PA      | $258413.97    | 0.12%             | 2049-12-15      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1458600 | PA      | $259903.17    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2015-C04, Class 1M2             | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     192029 | PA      | $194324.25    | 0.09%             | 2028-04-25      | Floating      | 10.16%                | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                  | Brown & Brown, Inc.                                                              | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     246000 | PA      | $247119.59    | 0.12%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL       | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                   | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     214000 | PA      | $233076.60    | 0.11%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class XA                | CUSIP: 95000JAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3795811 | PA      | $28081.79     | 0.01%             | 2059-12-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                | Haleon US Capital LLC                                                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $245897.23    | 0.11%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                    | CD Mortgage Trust, Series 2017-CD4, Class B                                      | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323000 | PA      | $303096.51    | 0.14%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9142000 | PA      | $-124782.70   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                | Mexican Bonos Desarr Fixed Rate, Series M                                        | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   10900000 | PA      | $548660.38    | 0.26%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                 | WaMu Asset-Backed Certificates Trust, Series 2006-HE2, Class A3                  | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     438287 | PA      | $338650.29    | 0.16%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-451.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd.                                               | Rockland Park CLO Ltd., Series 2021-1A, Class B                                  | CUSIP: 773663AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $350000.00    | 0.16%             | 2034-04-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1             | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86470 | PA      | $88487.05     | 0.04%             | 2043-01-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                 | Sprint Capital Corp.                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     217000 | PA      | $232055.82    | 0.11%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                           | J.P. Morgan Mortgage Trust, Series 2023-HE2, Class A1                            | CUSIP: 46657FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     217304 | PA      | $218676.48    | 0.10%             | 2054-03-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3220000 | PA      | $-6391.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                           | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                           | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558165 | PA      | $560766.77    | 0.26%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                       | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class B                        | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203000 | PA      | $195266.15    | 0.09%             | 2048-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     125000 | PA      | $124237.13    | 0.06%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Notes                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         33 | NC      | $24694.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-103451.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H26, Class EI                                                  | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     724715 | PA      | $23219.15     | 0.01%             | 2065-10-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     165000 | PA      | $113601.96    | 0.05%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2024-1, Class A1                              | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     516372 | PA      | $516789.08    | 0.24%             | 2069-01-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6427.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M1A                             | CUSIP: 35564KYN3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |     275602 | PA      | $281792.10    | 0.13%             | 2042-06-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                             | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     140000 | PA      | $135930.98    | 0.06%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1             | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90823 | PA      | $93067.64     | 0.04%             | 2042-06-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 9 Ltd.                             | GoldenTree Loan Management US CLO 9 Ltd., Series 2021-9A, Class AR               | CUSIP: 38138JAN3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250927.12    | 0.12%             | 2037-04-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                      | BRAVO Residential Funding Trust, Series 2024-NQM2, Class A1                      | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157742 | PA      | $158712.30    | 0.07%             | 2064-02-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                         | Exelon Corp.                                                                     | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     126000 | PA      | $129078.39    | 0.06%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2             | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $123769.49    | 0.06%             | 2042-03-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1             | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356187 | PA      | $357237.50    | 0.17%             | 2045-05-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                     | CVS Health Corp.                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     127000 | PA      | $116116.90    | 0.05%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 406, Class F30                                                     | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232375 | PA      | $233697.79    | 0.11%             | 2053-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2018-C02, Class 2M2             | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      12286 | PA      | $12487.20     | 0.01%             | 2030-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital 27 Ltd.                                           | Northwoods Capital 27 Ltd., Series 2021-27A, Class A1R                           | CUSIP: 66860XAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     380000 | PA      | $380285.00    | 0.18%             | 2034-10-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                   | Ares Capital Corp.                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     472000 | PA      | $470075.17    | 0.22%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1419.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C     | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659000 | PA      | $572943.17    | 0.27%             | 2048-04-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2934.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 5077, Class GI                                                     | CUSIP: 3137F94J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2939724 | PA      | $551065.76    | 0.26%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Magnetite XL Ltd.                                                    | Magnetite XL Ltd., Series 2024-40A, Class A1                                     | CUSIP: 55955RAA7<br>LEI: 5299008V4F49IY3SSP69 | Long             | ABS-CBDO         | CORP              | KY        |     512000 | PA      | $513204.30    | 0.24%             | 2037-07-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $550.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2021-14, Class CI                                                   | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4459506 | PA      | $970391.70    | 0.45%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Ireland                                                  | Ireland Government Bond                                                          | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     110000 | PA      | $101231.98    | 0.05%             | 2045-02-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1             | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24467 | PA      | $24994.97     | 0.01%             | 2042-05-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro-Bund                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          9 | NC      | $-11943.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Radnor Re Ltd.                                                       | Radnor Re Ltd., Series 2024-1, Class M1A                                         | CUSIP: 75049AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56743 | PA      | $56804.78     | 0.03%             | 2034-09-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd.                                                  | Elmwood CLO 27 Ltd., Series 2024-3A, Class A                                     | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $301082.79    | 0.14%             | 2037-04-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Broadcom Corp. / Broadcom Cayman Finance Ltd.                        | Broadcom Corp. / Broadcom Cayman Finance Ltd.                                    | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     415000 | PA      | $411583.79    | 0.19%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                              | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615694 | PA      | $106.82       | 0.00%             | 2049-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                    | Eversource Energy                                                                | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      49000 | PA      | $50112.27     | 0.02%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Kingdom of Sweden                                                    | Sweden Government Bond                                                           | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |     660000 | PA      | $74205.28     | 0.03%             | 2039-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                         | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      52000 | PA      | $53015.98     | 0.02%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1             | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32095 | PA      | $32098.67     | 0.01%             | 2041-12-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R04, Class 1A1             | CUSIP: 20755TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134173 | PA      | $134246.12    | 0.06%             | 2045-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -27 | NC      | $6287.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     170000 | PA      | $176700.00    | 0.08%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co., Series BB                                                     | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     120000 | PA      | $118955.42    | 0.06%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1             | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66314 | PA      | $66339.25     | 0.03%             | 2044-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     868000 | PA      | $-22987.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $145117.96    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $44893.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                             | International Flavors & Fragrances, Inc.                                         | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      48000 | PA      | $42364.08     | 0.02%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     188000 | PA      | $136428.96    | 0.06%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1060761.62   | 0.50%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1157.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H04, Class BI                                                  | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1018980 | PA      | $41091.79     | 0.02%             | 2067-02-20      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     808000 | PA      | $-3628.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5157842.65   | 2.41%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                        | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      59000 | PA      | $54320.23     | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                          | Toll Brothers Finance Corp.                                                      | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $413056.65    | 0.19%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1038.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust               | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $419546.01    | 0.20%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 25 Ltd.                           | Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class AR2           | CUSIP: 64131JAU0<br>LEI: 549300YJLHTYDSFV8K03 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250860.34    | 0.12%             | 2038-07-18      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-778.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $148548.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6335.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1346.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-34904.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                             | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |     659006 | PA      | $667454.83    | 0.31%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2017-C02, Class 2M2C            | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      69383 | PA      | $70362.31     | 0.03%             | 2029-09-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                     | Paramount Global                                                                 | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146000.14    | 0.07%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $107.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                    | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      85000 | PA      | $83304.38     | 0.04%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                   | Renaissance Home Equity Loan Trust, Series 2003-4, Class A1                      | CUSIP: 759950BP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     116314 | PA      | $105719.47    | 0.05%             | 2034-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $74503.83     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5284.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AS Mileage Plan IP Ltd.                                              | AS Mileage Plan IP Ltd.                                                          | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     345000 | PA      | $342483.70    | 0.16%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd.                                                      | ICG US CLO Ltd., Series 2017-1A, Class ARR                                       | CUSIP: 449259AJ9<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $502794.11    | 0.23%             | 2034-07-28      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2027956.16   | 0.95%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-OA10, Class 1A1                              | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89594 | PA      | $80683.64     | 0.04%             | 2046-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                 | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1B       | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80158 | PA      | $79595.78     | 0.04%             | 2045-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                 | Cross Mortgage Trust, Series 2024-H4, Class A1                                   | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581902 | PA      | $585974.31    | 0.27%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-199.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                            | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     597000 | PA      | $547386.56    | 0.26%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2M2             | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      18867 | PA      | $19395.80     | 0.01%             | 2028-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201186.30    | 0.09%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon (The)                                        | Bank of New York Mellon (The)                                                    | CUSIP: 06405LAH4<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |     615000 | PA      | $621621.25    | 0.29%             | 2029-04-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                           | Southern Gas Corridor CJSC                                                       | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |     250000 | PA      | $253042.92    | 0.12%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                             | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     142000 | PA      | $137318.35    | 0.06%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                    | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |     435000 | PA      | $519773.22    | 0.24%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Nippon Life Insurance Co.                                            | Nippon Life Insurance Co.                                                        | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |     385000 | PA      | $403269.79    | 0.19%             | 2055-04-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                  | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167000 | PA      | $151122.84    | 0.07%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   90000000 | PA      | $488839.77    | 0.23%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                          | AREIT Trust, Series 2022-CRE6, Class A                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     193294 | PA      | $193573.71    | 0.09%             | 2037-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Romania                                                              | Romanian Government Bond                                                         | CUSIP: 77586RAH3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     450000 | PA      | $394648.81    | 0.18%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                       | Southern Co. Gas Capital Corp.                                                   | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98983.88     | 0.05%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                               | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $199292.83    | 0.09%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     368000 | PA      | $371342.53    | 0.17%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      95000 | PA      | $96468.23     | 0.05%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                          | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    3000000 | PA      | $3340340.34   | 1.56%             | 2027-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      45000 | PA      | $242.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3169.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      31000 | PA      | $31058.21     | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Pharmacia LLC                                                        | Pharmacia LLC                                                                    | CUSIP: 71713UAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $202922.61    | 0.09%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                  | Athene Holding Ltd.                                                              | CUSIP: 04686JAG6<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     119000 | PA      | $122762.25    | 0.06%             | 2034-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D      | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     274000 | PA      | $248883.38    | 0.12%             | 2046-05-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Flex Ltd.                                                            | Flex Ltd.                                                                        | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     250000 | PA      | $253016.41    | 0.12%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1       | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272408 | PA      | $220579.27    | 0.10%             | 2047-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                  | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148810 | PA      | $142653.32    | 0.07%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-160, Class IB                                                  | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5121242 | PA      | $1086611.28   | 0.51%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Kazakhstan                                               | Kazakhstan Government Bond                                                       | CUSIP: N/A<br>LEI: 5493007OEK8EF02UO833       | Long             | DBT              | NUSS              | KZ        |     260000 | PA      | $252593.30    | 0.12%             | 2035-04-09      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                            | Bank of Nova Scotia (The)                                                        | CUSIP: 0641598X7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     340000 | PA      | $347922.79    | 0.16%             | 2085-04-27      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CDSCMBX                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      16000 | PA      | $-470.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                | Haleon US Capital LLC                                                            | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     310000 | PA      | $299596.31    | 0.14%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                     | Paramount Global                                                                 | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      59000 | PA      | $57177.16     | 0.03%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1               | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76088 | PA      | $75745.54     | 0.04%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                         | ING Groep NV                                                                     | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $279263.78    | 0.13%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2022-13, Class CI                                                   | CUSIP: 3136BL6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4088772 | PA      | $624093.06    | 0.29%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                               | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1                                 | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |     150000 | PA      | $150662.98    | 0.07%             | 2037-04-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     261200 | PA      | $1801.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class M2                              | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |     335716 | PA      | $337322.47    | 0.16%             | 2041-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class B     | CUSIP: 61765LAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175297 | PA      | $174455.34    | 0.08%             | 2048-05-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                     | DTE Electric Co.                                                                 | CUSIP: 23338VAY2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101628.27    | 0.05%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-OA10, Class 4A1                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234118 | PA      | $199246.36    | 0.09%             | 2046-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                      | Canadian Natural Resources Ltd.                                                  | CUSIP: 136385AC5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     238000 | PA      | $261555.15    | 0.12%             | 2032-01-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2000000 | PA      | $-2027420.96  | -0.95%            | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                           | Netherlands Government Bond                                                      | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     290000 | PA      | $306566.03    | 0.14%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618G7ST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344015 | PA      | $352674.70    | 0.16%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                               | GSAA Home Equity Trust, Series 2006-15, Class AF3A                               | CUSIP: 3622E8AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     835598 | PA      | $262524.14    | 0.12%             | 2036-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                          | Rogers Communications, Inc.                                                      | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     160000 | PA      | $163810.15    | 0.08%             | 2055-04-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       9000 | PA      | $7506.78      | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                   | Royalty Pharma plc                                                               | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     154000 | PA      | $156868.44    | 0.07%             | 2029-09-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class A                            | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80457 | PA      | $77991.73     | 0.04%             | 2038-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     990000 | PA      | $972609.27    | 0.45%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2033100 | PA      | $48381.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-189                                                            | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    4768425 | PA      | $300242.00    | 0.14%             | 2061-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3718.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                    | Time Warner Cable Enterprises LLC                                                | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     448000 | PA      | $516607.89    | 0.24%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $673.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria                                                  | Austria Government Bond                                                          | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     360000 | PA      | $286131.15    | 0.13%             | 2047-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                   | Elevation CLO Ltd., Series 2021-13A, Class A1R                                   | CUSIP: 28622EAS7<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250189.46    | 0.12%             | 2034-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                             | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |     159389 | PA      | $162003.50    | 0.08%             | 2043-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     210000 | PA      | $210468.06    | 0.10%             | 2035-08-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                       | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1       | CUSIP: 61776HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274173 | PA      | $276506.89    | 0.13%             | 2069-05-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                  | Kinder Morgan, Inc.                                                              | CUSIP: 494553AD2<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     139000 | PA      | $140833.48    | 0.07%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                                            | PRMI Securitization Trust, Series 2024-CMG1, Class A1                            | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     225135 | PA      | $226037.55    | 0.11%             | 2054-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                       | Synopsys, Inc.                                                                   | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $251007.17    | 0.12%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                      | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class AS                        | CUSIP: 12636MAJ7<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |     254000 | PA      | $246920.99    | 0.12%             | 2049-01-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Kellanova                                                            | Kellanova, Series B                                                              | CUSIP: 487836AT5<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |      47000 | PA      | $53563.72     | 0.03%             | 2031-04-01      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                           | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     149000 | PA      | $145620.82    | 0.07%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      65000 | PA      | $64420.84     | 0.03%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                  | Brown & Brown, Inc.                                                              | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      89000 | PA      | $90078.81     | 0.04%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 21H052686<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1995227.04   | 0.93%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     368000 | PA      | $357506.52    | 0.17%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -46650000 | PA      | $-65720.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1458600 | PA      | $4046.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class C                  | CUSIP: 94989NBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84405 | PA      | $84058.76     | 0.04%             | 2058-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara            | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                        | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |     260000 | PA      | $265570.50    | 0.12%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1359.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co.                                                     | Weyerhaeuser Co.                                                                 | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |      30000 | PA      | $33964.07     | 0.02%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6903.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class AS                | CUSIP: 95000GBA1<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     707000 | PA      | $674564.47    | 0.31%             | 2049-08-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                           | Province of Ontario Canada                                                       | CUSIP: 68323ACY8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1340000 | PA      | $743527.86    | 0.35%             | 2046-12-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2964.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Financial, Inc.                                    | Fidelity National Financial, Inc.                                                | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     144000 | PA      | $88476.92     | 0.04%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2098.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1657191 | PA      | $1546026.73   | 0.72%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-851.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-76                                                             | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175401 | PA      | $36631.37     | 0.02%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                         | Nasdaq, Inc.                                                                     | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31136.45     | 0.01%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      62000 | PA      | $42211.97     | 0.02%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     626000 | PA      | $641183.33    | 0.30%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2020-C8, Class XA                                   | CUSIP: 05552ABG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4550118 | PA      | $300356.04    | 0.14%             | 2053-10-15      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                 | American Tower Corp.                                                             | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     446000 | PA      | $438614.78    | 0.20%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                    | Chile Government Bond                                                            | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     320000 | PA      | $330704.00    | 0.15%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7087000 | PA      | $-20391.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                             | COLT Mortgage Loan Trust, Series 2020-2, Class A2                                | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159539 | PA      | $158406.10    | 0.07%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                        | Brazil Government Bond                                                           | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     400000 | PA      | $396014.82    | 0.18%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                   | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                   | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |     655674 | PA      | $663394.09    | 0.31%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                    | SMBC Aviation Capital Finance DAC                                                | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     485000 | PA      | $494339.58    | 0.23%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  845000000 | PA      | $5926935.01   | 2.77%             | 2031-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 7 Ltd.                                          | Diameter Capital CLO 7 Ltd., Series 2024-7A, Class A1A                           | CUSIP: 25255WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251529.96    | 0.12%             | 2037-07-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | NDIRS                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 3919810000 | PA      | $1117.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     368000 | PA      | $382271.41    | 0.18%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  310000000 | PA      | $2104334.87   | 0.98%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                       | Hewlett Packard Enterprise Co.                                                   | CUSIP: 42824CBU2<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     162000 | PA      | $161452.64    | 0.08%             | 2031-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                            | Australia Government Bond                                                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     310000 | PA      | $149999.84    | 0.07%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                | Foundry JV Holdco LLC                                                            | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205707.34    | 0.10%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11956.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                      | DR Horton, Inc.                                                                  | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     556000 | PA      | $549846.46    | 0.26%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3034.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     285000 | PA      | $292029.19    | 0.14%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                    | NatWest Group plc                                                                | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     301000 | PA      | $293309.65    | 0.14%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -5584100 | PA      | $-591.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-60, Class IY                                                   | CUSIP: 38383PEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72507 | PA      | $10895.86     | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     240000 | PA      | $226583.41    | 0.11%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-75, Class LI                                                   | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322681 | PA      | $47061.01     | 0.02%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                   | Belgium Government Bond                                                          | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1500000 | PA      | $1522843.64   | 0.71%             | 2030-06-22      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                       | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      95000 | PA      | $94373.91     | 0.04%             | 2028-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                               | Paraguay Government Bond                                                         | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     370000 | PA      | $368157.40    | 0.17%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2331.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                      | Jefferies Financial Group, Inc.                                                  | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     117000 | PA      | $122285.96    | 0.06%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                            | Ivory Coast Government Bond                                                      | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     148000 | PA      | $156575.84    | 0.07%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                              | GLP Capital LP / GLP Financing II, Inc.                                          | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     448000 | PA      | $448410.37    | 0.21%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 21H042687<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $2847582.21   | 1.33%             | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMC Corp.                                                            | FMC Corp.                                                                        | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     315000 | PA      | $326444.58    | 0.15%             | 2055-11-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     560000 | PA      | $555050.00    | 0.26%             | 2030-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                               | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $389570.07    | 0.18%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class AS                 | CUSIP: 95001FAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $177538.16    | 0.08%             | 2060-01-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                              | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1300000 | PA      | $1290497.98   | 0.60%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                   | Elevation CLO Ltd., Series 2018-10A, Class AR                                    | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |     189081 | PA      | $189169.83    | 0.09%             | 2031-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $186.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      65400 | PA      | $7873.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2024-DNA2, Class A1                              | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |     117284 | PA      | $117834.67    | 0.06%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16890.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                           | Netherlands Government Bond                                                      | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     410000 | PA      | $501693.81    | 0.23%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MetLife Capital Trust IV                                             | MetLife Capital Trust IV                                                         | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $120288.85    | 0.06%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                   | Macquarie Airfinance Holdings Ltd.                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     159000 | PA      | $159038.57    | 0.07%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                   | Berry Global, Inc.                                                               | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     292000 | PA      | $279972.72    | 0.13%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     480000 | PA      | $538860.14    | 0.25%             | 2055-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                     | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      54000 | PA      | $40936.91     | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1             | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16607 | PA      | $16612.95     | 0.01%             | 2044-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-117.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1355000 | PA      | $-10654.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                            | CBAM Ltd., Series 2017-2A, Class AR                                              | CUSIP: 12481KAS7<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | KY        |     175000 | PA      | $175140.30    | 0.08%             | 2034-07-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                         | Uruguay Government Bond                                                          | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     475000 | PA      | $563136.25    | 0.26%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Government Bond                                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    1010000 | PA      | $1195240.80   | 0.56%             | 2033-10-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                 | American Express Co.                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     311000 | PA      | $313911.88    | 0.15%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                     | Vista Point Securitization Trust, Series 2020-2, Class A2                        | CUSIP: 92838TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35974 | PA      | $34629.05     | 0.02%             | 2065-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-533.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-141.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3611.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                         | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $75069.80     | 0.04%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                          | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     242000 | PA      | $239504.90    | 0.11%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $21938.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                | Global Payments, Inc.                                                            | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      55000 | PA      | $53146.40     | 0.02%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                     | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     300000 | PA      | $300107.40    | 0.14%             | 2025-08-07      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2020-BN30, Class XA                                                 | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6907053 | PA      | $349506.54    | 0.16%             | 2053-12-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-family Structured Pass-Through Certificates, Series K113, Class XAM | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2243000 | PA      | $151021.19    | 0.07%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                         | Ameren Corp.                                                                     | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     198000 | PA      | $201334.56    | 0.09%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  435000000 | PA      | $2536868.22   | 1.18%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-HQA2, Class M1A                             | CUSIP: 35564KB24<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | CORP              | US        |     438070 | PA      | $448429.33    | 0.21%             | 2042-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                              | GLP Capital LP / GLP Financing II, Inc.                                          | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193000 | PA      | $206939.04    | 0.10%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                              | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     184000 | PA      | $180747.42    | 0.08%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                       | 7-Eleven, Inc.                                                                   | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      54000 | PA      | $45943.90     | 0.02%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                       | Tapestry, Inc.                                                                   | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     140000 | PA      | $141998.29    | 0.07%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2046.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1M                   | CUSIP: 64828FCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28442 | PA      | $27977.05     | 0.01%             | 2048-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $85898.14     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                      | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                         | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $338641.57    | 0.16%             | 2050-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1008800 | PA      | $35972.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1             | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91730 | PA      | $91900.72     | 0.04%             | 2045-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                 | Colombia Government Bond                                                         | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     400000 | PA      | $337704.00    | 0.16%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                | Arroyo Mortgage Trust, Series 2019-3, Class A3                                   | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53113 | PA      | $50394.69     | 0.02%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7941.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                 | Cross Mortgage Trust, Series 2024-H3, Class A1                                   | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258031 | PA      | $260361.22    | 0.12%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12321.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     184000 | PA      | $181208.92    | 0.08%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Republic of Ireland                                                  | Ireland Government Bond                                                          | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     260000 | PA      | $284524.85    | 0.13%             | 2029-05-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                                | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                         | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     253000 | PA      | $245830.18    | 0.11%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                           | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class XA           | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7415860 | PA      | $313993.46    | 0.15%             | 2052-06-13      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1711928.82   | 0.80%             | 2055-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                 | Ally Financial, Inc.                                                             | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     162000 | PA      | $183107.05    | 0.09%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates                 | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     143164 | PA      | $126646.54    | 0.06%             | 2047-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                            | Viper Energy Partners LLC                                                        | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      58000 | PA      | $57791.49     | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $326.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     580000 | PA      | $666134.46    | 0.31%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 2M2             | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      43958 | PA      | $45119.02     | 0.02%             | 2028-08-25      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2019-BN20, Class XA                                                 | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8806063 | PA      | $250614.38    | 0.12%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R01, Class 1A1             | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87836 | PA      | $87832.20     | 0.04%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     139000 | PA      | $152928.85    | 0.07%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Pilgrim's Pride Corp.                                                | Pilgrim's Pride Corp.                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      85000 | PA      | $76414.34     | 0.04%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                              | Republic Services, Inc.                                                          | CUSIP: 760759BJ8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     378000 | PA      | $387116.40    | 0.18%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1730000 | PA      | $1821862.09   | 0.85%             | 2032-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                             | Electricite de France SA                                                         | CUSIP: 268317AP9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |     414000 | PA      | $399926.12    | 0.19%             | 2035-10-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                   | Dominican Republic Government Bond                                               | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     241000 | PA      | $243711.25    | 0.11%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11969.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Government Bond                                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     410000 | PA      | $553674.26    | 0.26%             | 2044-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-445.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6815.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                            | Northern States Power Co.                                                        | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     180000 | PA      | $181104.85    | 0.08%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    5584100 | PA      | $3018.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Pool, 30 Year                                                              | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1354404 | PA      | $1386426.76   | 0.65%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   31100000 | PA      | $112386.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                   | LPL Holdings, Inc.                                                               | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     218000 | PA      | $220751.29    | 0.10%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3475.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP / PTL Finance Corp.                      | Penske Truck Leasing Co. LP / PTL Finance Corp.                                  | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93000 | PA      | $91580.52     | 0.04%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     975900 | PA      | $20505.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9779.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                  | Benin Government Bond                                                            | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     225000 | PA      | $229802.26    | 0.11%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2             | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264000 | PA      | $266995.66    | 0.12%             | 2041-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4014.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington CLO III Ltd.                                               | Ellington CLO III Ltd., Series 2018-3A, Class B                                  | CUSIP: 28852LAG8<br>LEI: 254900V20GCNJI0I7591 | Long             | ABS-CBDO         | CORP              | KY        |     105285 | PA      | $105593.84    | 0.05%             | 2030-07-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      97000 | PA      | $85724.36     | 0.04%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                         | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     155000 | PA      | $154780.57    | 0.07%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                               | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $400447.24    | 0.19%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     364000 | PA      | $351912.29    | 0.16%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                   | VICI Properties LP                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     165000 | PA      | $165717.77    | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6704.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 33 Ltd.                                                  | Elmwood CLO 33 Ltd., Series 2024-9RA, Class AR                                   | CUSIP: 29001EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250653.58    | 0.12%             | 2037-10-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-17                                                             | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    2271273 | PA      | $178191.10    | 0.08%             | 2061-01-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                   | Macquarie Airfinance Holdings Ltd.                                               | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     180000 | PA      | $190720.26    | 0.09%             | 2031-03-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                          | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $244264.50    | 0.11%             | 2027-10-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2010.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                     | Spain Bonos Y Obligaciones del Estado                                            | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     850000 | PA      | $970052.43    | 0.45%             | 2026-04-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     296000 | PA      | $464.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-97, Class NI                                                   | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7497973 | PA      | $880192.27    | 0.41%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                   | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     220000 | PA      | $221764.40    | 0.10%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                 | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                  | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571544 | PA      | $549222.76    | 0.26%             | 2044-08-10      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2427.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2             | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127000 | PA      | $131660.65    | 0.06%             | 2042-03-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $457.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                              | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     240000 | PA      | $259799.71    | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                  | Brown & Brown, Inc.                                                              | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     118000 | PA      | $119344.47    | 0.06%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                 | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C3      | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76361 | PA      | $75508.66     | 0.04%             | 2045-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                     | Paramount Global                                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     108000 | PA      | $81789.23     | 0.04%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                               | Waste Management, Inc.                                                           | CUSIP: 94106LBV0<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     147000 | PA      | $150011.14    | 0.07%             | 2029-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4894.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    5584100 | PA      | $15069.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1099801.05   | 0.51%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                      | Intercontinental Exchange, Inc.                                                  | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200271.84    | 0.09%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-family Structured Pass-Through Certificates, Series K098, Class X1  | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2736268 | PA      | $106121.79    | 0.05%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                   | LPL Holdings, Inc.                                                               | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     128000 | PA      | $135952.23    | 0.06%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F050684<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4867160.30  | -2.27%            | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4390.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                        | Ovintiv, Inc.                                                                    | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      43000 | PA      | $44491.08     | 0.02%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                   | CNO Global Funding                                                               | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |      54000 | PA      | $54483.65     | 0.03%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                    | Xcel Energy, Inc.                                                                | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     190000 | PA      | $193690.99    | 0.09%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                     | Oaktree CLO Ltd., Series 2021-1A, Class A1R                                      | CUSIP: 67402JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250940.28    | 0.12%             | 2038-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                   | General Motors Financial Co., Inc.                                               | CUSIP: 37045XEZ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      66000 | PA      | $65918.21     | 0.03%             | 2029-10-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      11000 | PA      | $10664.71     | 0.00%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                      | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class B                         | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $201006.79    | 0.09%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                              | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     342000 | PA      | $352286.69    | 0.16%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                    | Georgia Power Co.                                                                | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     275000 | PA      | $279777.90    | 0.13%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $29992.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     387000 | PA      | $381912.73    | 0.18%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class C     | CUSIP: 61765LAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313000 | PA      | $306522.40    | 0.14%             | 2048-05-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                                   | Putnam Short Term Investment Fund, Class P                                       | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |     958944 | NS      | $958943.94    | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Colombia                                                 | Colombia Government Bond                                                         | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     390000 | PA      | $396630.00    | 0.19%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                    | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     545000 | PA      | $560150.46    | 0.26%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                    | Duke Energy Corp.                                                                | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     368000 | PA      | $359388.57    | 0.17%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                       | Blackstone Private Credit Fund                                                   | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     169000 | PA      | $164504.28    | 0.08%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                            | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     385000 | PA      | $357339.86    | 0.17%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2013-CR13, Class C                                   | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74032 | PA      | $70606.93     | 0.03%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     270000 | PA      | $280187.05    | 0.13%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1958200 | PA      | $38735.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                  | Switzerland Government Bond                                                      | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     540000 | PA      | $737730.92    | 0.34%             | 2028-04-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1A                             | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |      60516 | PA      | $60865.51     | 0.03%             | 2043-06-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                          | Rogers Communications, Inc., Series NC5                                          | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     320000 | PA      | $327958.83    | 0.15%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $540.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust                            | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A               | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     139137 | PA      | $140749.65    | 0.07%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                             | CUSIP: 35564KTA7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |      10920 | PA      | $10982.03     | 0.01%             | 2042-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| RR 29 Ltd.                                                           | RR 29 Ltd., Series 2024-29RA, Class A1R                                          | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251000.00    | 0.12%             | 2039-07-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $97.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                 | Bulgaria Government Bond                                                         | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     110000 | PA      | $129565.24    | 0.06%             | 2032-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2876.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $138.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                   | Barclays Commercial Mortgage Trust, Series 2019-C3, Class B                      | CUSIP: 05550MAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246000 | PA      | $231382.38    | 0.11%             | 2052-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1440000 | PA      | $1665965.78   | 0.78%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2             | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |       2318 | PA      | $2318.57      | 0.00%             | 2039-11-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                       | Enbridge, Inc.                                                                   | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     210000 | PA      | $211912.81    | 0.10%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2019-42, Class SA                                                   | CUSIP: 3136B5VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2360862 | PA      | $261673.46    | 0.12%             | 2049-08-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     224000 | PA      | $220996.76    | 0.10%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-607.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H12, Class BI                                                  | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     983620 | PA      | $33269.95     | 0.02%             | 2064-05-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5                    | CUSIP: 17291EAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238000 | PA      | $231266.05    | 0.11%             | 2049-12-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $0.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                                   | Elmwood CLO I Ltd., Series 2019-1A, Class A1RR                                   | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     225000 | PA      | $225877.24    | 0.11%             | 2037-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $134200.76    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                 | JPMorgan Chase & Co.                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     337000 | PA      | $344491.13    | 0.16%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     117800 | PA      | $11858.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | NDIRS                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  193850000 | PA      | $-112262.40   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                           | Netherlands Government Bond                                                      | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     300000 | PA      | $337898.73    | 0.16%             | 2026-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Japan 10 Year Bonds                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -10 | NC      | $52186.98     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                              | Pfizer Investment Enterprises Pte. Ltd.                                          | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     124000 | PA      | $115868.48    | 0.05%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3000000 | PA      | $-2846184.39  | -1.33%            | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL       | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                   | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     192000 | PA      | $181963.92    | 0.08%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2015-LC19, Class C                                   | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367000 | PA      | $355366.50    | 0.17%             | 2048-02-10      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                            | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     320000 | PA      | $326749.84    | 0.15%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                 | American Tower Corp.                                                             | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194322.65    | 0.09%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $299.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $429.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA            | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     529321 | PA      | $5.29         | 0.00%             | 2047-09-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| French Republic                                                      | France Government Bond                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     620000 | PA      | $703580.51    | 0.33%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8866.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1             | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89463 | PA      | $89496.82     | 0.04%             | 2042-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1497.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-171, Class SB                                                  | CUSIP: 38377NRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     302830 | PA      | $36145.14     | 0.02%             | 2040-12-16      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                             | VICI Properties LP / VICI Note Co., Inc.                                         | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      62000 | PA      | $60957.95     | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      24000 | PA      | $22301.96     | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Hungary                                                              | Hungary Government Bond                                                          | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |     260000 | PA      | $262841.72    | 0.12%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Kellanova                                                            | Kellanova                                                                        | CUSIP: 487836BQ0<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |      32000 | PA      | $27300.17     | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2015-CR22, Class AM                                  | CUSIP: 12592XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107559 | PA      | $105730.35    | 0.05%             | 2048-03-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008027 | PA      | $1007652.98   | 0.47%             | 2055-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                          | Aker BP ASA                                                                      | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     190000 | PA      | $172896.81    | 0.08%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                   | Panama Government Bond                                                           | CUSIP: 698299BX1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     420000 | PA      | $450912.00    | 0.21%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  205000000 | PA      | $1397541.24   | 0.65%             | 2027-06-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Atlassian Corp.                                                      | Atlassian Corp.                                                                  | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107207.43    | 0.05%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                 | United Kingdom Gilt                                                              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     610000 | PA      | $568026.09    | 0.27%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2023-INV2, Class A1                                            | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820452 | PA      | $827827.87    | 0.39%             | 2058-10-25      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP / PTL Finance Corp.                      | Penske Truck Leasing Co. LP / PTL Finance Corp.                                  | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $393510.06    | 0.18%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                 | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3039156 | PA      | $149124.07    | 0.07%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                             | Motorola Solutions, Inc.                                                         | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      59000 | PA      | $59420.67     | 0.03%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                          | Dick's Sporting Goods, Inc.                                                      | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     200000 | PA      | $142801.43    | 0.07%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                      | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190115.76    | 0.09%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                   | Hyatt Hotels Corp.                                                               | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     185000 | PA      | $188282.05    | 0.09%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                       | Hewlett Packard Enterprise Co.                                                   | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |      81000 | PA      | $78606.40     | 0.04%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Paychex, Inc.                                                        | Paychex, Inc.                                                                    | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     492000 | PA      | $502836.91    | 0.23%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Portuguese Republic                                                  | Portugal Obrigacoes do Tesouro OT                                                | CUSIP: N/A<br>LEI: 549300P6U1FJ3IMP7K42       | Long             | DBT              | NUSS              | PT        |     320000 | PA      | $317536.39    | 0.15%             | 2031-10-17      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $72.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-167.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Pool, 30 Year                                                              | CUSIP: 3133KPC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     909995 | PA      | $841799.64    | 0.39%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Australia 10 Year Bonds                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $38.35        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 5160, Class IA                                                     | CUSIP: 3137H3WE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.00         | 0.00%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                          | Philippines Government Bond                                                      | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     360000 | PA      | $375111.50    | 0.18%             | 2035-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                         | AES Andes SA                                                                     | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $203573.20    | 0.10%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2017-C06, Class 2M2C            | CUSIP: 30711XSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      53125 | PA      | $54094.82     | 0.03%             | 2030-02-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    1448800 | PA      | $12462.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank Gospodarstwa Krajowego                                          | Bank Gospodarstwa Krajowego                                                      | CUSIP: N/A<br>LEI: 259400BCOV9JJIGLYF05       | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $202957.88    | 0.09%             | 2033-05-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP, Series B                                                     | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     330000 | PA      | $329521.20    | 0.15%             | 2028-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                        | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150115.22    | 0.07%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                          | Dick's Sporting Goods, Inc.                                                      | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     185000 | PA      | $166148.84    | 0.08%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     329000 | PA      | $325197.07    | 0.15%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1             | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     394075 | PA      | $394448.52    | 0.18%             | 2045-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                    | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20770.05     | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | DTRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     502000 | PA      | $10047.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      45000 | PA      | $38068.97     | 0.02%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2017-C06, Class 1M2B            | CUSIP: 30711XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       2676 | PA      | $2679.22      | 0.00%             | 2030-02-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8056.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1958200 | PA      | $13310.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-214, Class AI                                                  | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3023318 | PA      | $603817.66    | 0.28%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                 | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR9, Class A1C3       | CUSIP: 92922FU89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147618 | PA      | $143890.54    | 0.07%             | 2045-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      60000 | PA      | $62767.07     | 0.03%             | 2034-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                          | Rogers Communications, Inc.                                                      | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     144000 | PA      | $134255.59    | 0.06%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $956.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1717.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-242.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Ultra Bonds                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         14 | NC      | $28521.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                     | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     420000 | PA      | $430709.16    | 0.20%             | 2030-02-08      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     261200 | PA      | $40723.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                       | Aircastle Ltd.                                                                   | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     203000 | PA      | $203000.00    | 0.09%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                   | Belgium Government Bond                                                          | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     740000 | PA      | $837534.16    | 0.39%             | 2026-06-22      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                 | Columbia Pipelines Operating Co. LLC                                             | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $100014.36    | 0.05%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     260000 | PA      | $264655.45    | 0.12%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203130 | PA      | $202806.68    | 0.09%             | 2061-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class C                  | CUSIP: 95001FBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199000 | PA      | $189094.91    | 0.09%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro-Schatz                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         11 | NC      | $-4407.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Bonds                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          8 | NC      | $5361.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                        | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204051.69    | 0.10%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                   | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30960.16     | 0.01%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4965000 | PA      | $-845.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-486.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13947.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4594000 | PA      | $-22809.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1363.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  600000000 | PA      | $3937914.15   | 1.84%             | 2027-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                          | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      50000 | PA      | $53078.71     | 0.02%             | 2030-04-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                   | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      33000 | PA      | $33493.74     | 0.02%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sovereign in right of New Zealand                                    | New Zealand Government Bond                                                      | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     380000 | PA      | $218973.38    | 0.10%             | 2029-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1094.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic                                                   | Dominican Republic Government Bond                                               | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     250000 | PA      | $256500.00    | 0.12%             | 2037-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     139000 | PA      | $143107.59    | 0.07%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Battalion CLO 18 Ltd.                                                | Battalion CLO 18 Ltd., Series 2020-18A, Class ARR                                | CUSIP: 07134QAY2<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $260195.00    | 0.12%             | 2036-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                       | Commonwealth Bank of Australia                                                   | CUSIP: 202712BV6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     400000 | PA      | $412822.68    | 0.19%             | 2034-03-13      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                          | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     497000 | PA      | $506239.99    | 0.24%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Atlassian Corp.                                                      | Atlassian Corp.                                                                  | CUSIP: 049468AB7<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71110.09     | 0.03%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                      | Canadian Natural Resources Ltd.                                                  | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     104000 | PA      | $104732.56    | 0.05%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                  | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |      92000 | PA      | $103031.74    | 0.05%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                   | Hyatt Hotels Corp.                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     120000 | PA      | $121693.56    | 0.06%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1A                             | CUSIP: 35564KE39<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |     101869 | PA      | $103793.34    | 0.05%             | 2042-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                   | DT Midstream, Inc.                                                               | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     310000 | PA      | $315569.77    | 0.15%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                             | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |      79207 | PA      | $79365.73     | 0.04%             | 2042-02-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    1448800 | PA      | $12587.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2             | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296000 | PA      | $297918.88    | 0.14%             | 2041-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                   | Station Place Securitization Trust, Series 2025-1, Class A                       | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     752000 | PA      | $752171.00    | 0.35%             | 2026-07-23      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                              | Pfizer Investment Enterprises Pte. Ltd.                                          | CUSIP: 716973AC6<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     102000 | PA      | $102422.77    | 0.05%             | 2028-05-19      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $30812.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                    | Corp. Nacional del Cobre de Chile                                                | CUSIP: 21987BBL1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |     200000 | PA      | $207778.00    | 0.10%             | 2035-01-13      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Series 2023-49, Class IA                                                   | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377382 | PA      | $48182.75     | 0.02%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2969.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                             | Arthur J Gallagher & Co.                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     125000 | PA      | $126175.58    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     295000 | PA      | $294044.37    | 0.14%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-186                                                            | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3325761 | PA      | $507878.93    | 0.24%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                | OHA Loan Funding Ltd., Series 2016-1A, Class A1R2                                | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |     427000 | PA      | $429610.21    | 0.20%             | 2037-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1A                             | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |      11231 | PA      | $11320.79     | 0.01%             | 2042-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single-family, 30 Year                                                  | CUSIP: 21H030682<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $873933.16    | 0.41%             | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                | Guatemala Government Bond                                                        | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |     200000 | PA      | $205414.00    | 0.10%             | 2036-06-13      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO 2024-II Ltd.                                         | Apex Credit CLO Ltd., Series 2024-2A, Class A                                    | CUSIP: 03753EAA0<br>LEI: 213800V47GF24QSFBA63 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250875.00    | 0.12%             | 2037-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2352000 | PA      | $9174.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                            | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39927.13     | 0.02%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                             | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     710000 | PA      | $714119.34    | 0.33%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1870.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                            | Australia Government Bond                                                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     220000 | PA      | $133411.83    | 0.06%             | 2037-04-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                         | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65698.74     | 0.03%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                         | Exelon Corp.                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     383000 | PA      | $391831.24    | 0.18%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77076.94     | 0.04%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                       | 7-Eleven, Inc.                                                                   | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     483000 | PA      | $447692.72    | 0.21%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                 | Elmwood CLO III Ltd., Series 2019-3A, Class A1RR                                 | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250830.70    | 0.12%             | 2037-07-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Japan                                                                | Japan Government Bond                                                            | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   93000000 | PA      | $430482.46    | 0.20%             | 2047-03-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2985.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                           | Province of Ontario Canada                                                       | CUSIP: 683234LJ5<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     970000 | PA      | $782552.54    | 0.37%             | 2029-03-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                          | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     900000 | PA      | $1026604.15   | 0.48%             | 2034-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     117800 | PA      | $15625.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                    | Duke Energy Corp.                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      63000 | PA      | $61633.50     | 0.03%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                            | Williams Cos., Inc. (The)                                                        | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     175000 | PA      | $178971.86    | 0.08%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                             | South Africa Government Bond                                                     | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     400000 | PA      | $397975.12    | 0.19%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-28080.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                            | CUSIP: 65339KDK3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     130000 | PA      | $133527.96    | 0.06%             | 2032-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     198000 | PA      | $190228.01    | 0.09%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3077.88      | 0.00%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                           | MSCI, Inc.                                                                       | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     357000 | PA      | $335202.72    | 0.16%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4779.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                        | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295000 | PA      | $282967.81    | 0.13%             | 2045-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                            | Viper Energy Partners LLC                                                        | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     126000 | PA      | $125310.15    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     140000 | PA      | $140450.52    | 0.07%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2077.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H26, Class DI                                                  | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670530 | PA      | $29567.01     | 0.01%             | 2065-10-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| WestRock MWV LLC                                                     | WestRock MWV LLC                                                                 | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |     155000 | PA      | $177792.04    | 0.08%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                   | Southern Co. (The)                                                               | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      26000 | PA      | $26946.17     | 0.01%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     660000 | PA      | $597384.72    | 0.28%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     180000 | PA      | $186312.00    | 0.09%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      98000 | PA      | $100459.75    | 0.05%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                    | American Electric Power Co., Inc.                                                | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      98000 | PA      | $101689.72    | 0.05%             | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2123.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                             | VICI Properties LP / VICI Note Co., Inc.                                         | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $493849.85    | 0.23%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                     | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     198000 | PA      | $183746.60    | 0.09%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $63368.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7042.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                     | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     379000 | PA      | $372787.43    | 0.17%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1387.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CE3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      85000 | PA      | $66678.73     | 0.03%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                        | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     263000 | PA      | $255549.44    | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                           | J.P. Morgan Mortgage Trust, Series 2025-2, Class A11                             | CUSIP: 46593NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     644579 | PA      | $643898.77    | 0.30%             | 2055-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Canada 10 Year Bond                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         18 | NC      | $-9895.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2079.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Poland                                                   | Poland Government Bond                                                           | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |    1480000 | PA      | $410341.89    | 0.19%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                   | CUSIP: 11135FAN1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     600000 | PA      | $594292.03    | 0.28%             | 2026-09-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                    | Duke Energy Corp.                                                                | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      89000 | PA      | $91281.97     | 0.04%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     154000 | PA      | $120467.17    | 0.06%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1             | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38332 | PA      | $38394.65     | 0.02%             | 2044-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                       | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF          | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140684 | PA      | $140562.86    | 0.07%             | 2054-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                      | Eastern Energy Gas Holdings LLC                                                  | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |      53000 | PA      | $50788.42     | 0.02%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     152000 | PA      | $147718.22    | 0.07%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Republic of Austria                                                  | Austria Government Bond                                                          | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     630000 | PA      | $675990.30    | 0.32%             | 2029-02-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5280.92      | 0.00%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                             | Icon Investments Six DAC                                                         | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     215000 | PA      | $218633.66    | 0.10%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                   | Station Place Securitization Trust, Series 2024-10, Class A                      | CUSIP: 85779PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $753694.88    | 0.35%             | 2025-10-27      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class A1                              | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |     131374 | PA      | $132979.87    | 0.06%             | 2043-11-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                | Ashtead Capital, Inc.                                                            | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     435000 | PA      | $431849.82    | 0.20%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                   | Royalty Pharma plc                                                               | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     191000 | PA      | $192745.65    | 0.09%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                   | Crown Castle, Inc.                                                               | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98057.13     | 0.05%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                      | DR Horton, Inc.                                                                  | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     260000 | PA      | $263843.49    | 0.12%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5741.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $28317.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $112735.77    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $638.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                              | Symphony CLO XXIII Ltd., Series 2020-23A, Class AR2                              | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |     422474 | PA      | $422095.71    | 0.20%             | 2034-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                      | Jefferies Financial Group, Inc.                                                  | CUSIP: 47233WJG5<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     225000 | PA      | $225204.93    | 0.11%             | 2026-03-16      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Long Gilt                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         37 | NC      | $55771.70     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cross Mortgage Trust                                                 | Cross Mortgage Trust, Series 2024-H1, Class A1                                   | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285222 | PA      | $286673.83    | 0.13%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2023-NQM7, Class A1                                            | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-MBS          | CORP              | US        |     305506 | PA      | $308596.88    | 0.14%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Connecticut Avenue Securities Trust, Series 2017-C06, Class 2M2             | CUSIP: 30711XSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      93070 | PA      | $94769.57     | 0.04%             | 2030-02-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     535000 | PA      | $542342.28    | 0.25%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     286000 | PA      | $301333.89    | 0.14%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                       | Synopsys, Inc.                                                                   | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19737.30     | 0.01%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                          | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     137000 | PA      | $123209.70    | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                    | Italy Buoni Poliennali del Tesoro                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1000000 | PA      | $1153505.98   | 0.54%             | 2030-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                 | American Tower Corp.                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     217000 | PA      | $201638.00    | 0.09%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class B             | CUSIP: 46643ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188000 | PA      | $175038.94    | 0.08%             | 2047-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2767318.68   | 1.29%             | 2055-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8851.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                             | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $30926.28     | 0.01%             | 2042-04-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                               | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     203000 | PA      | $207662.07    | 0.10%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2025-DNA1, Class A1                              | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |      58262 | PA      | $58331.64     | 0.03%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4097691.95   | 1.91%             | 2055-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                        | Uniform Mortgage-Backed Securities                                               | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $3912770.55   | 1.83%             | 2055-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $43254.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5587.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                     | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      99000 | PA      | $97245.81     | 0.05%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                    | Duke Energy Corp.                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      26000 | PA      | $26310.08     | 0.01%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2810.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOP                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1685000 | PA      | $165231.15    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-CR14, Class C                                   | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52000 | PA      | $49427.18     | 0.02%             | 2047-02-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                       | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98763.91     | 0.05%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1971000 | PA      | $-41051.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-02

**Name of Applicant:** Putnam Global Income Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer