# EDGAR Filing Document

**Accession Number:** 0000794614
**File Stem:** 0001752724-25-153759
**Filing Date:** 2025-6
**Character Count:** 410212
**Document Hash:** d138a7d1881307e3acae14529a3bf9ed
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-153759.hdr.sgml**: 20250624

**ACCESSION NUMBER**: 0001752724-25-153759

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250624

**DATE AS OF CHANGE**: 20250624

**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:** 251068724

**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:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $266080200.46

**Total Liabilities:** $50886987.37

**Net Assets:** $215193213.09

**Delayed Delivery Securities:** $35551237.61

**Cash Not Reported:** $67457.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4237.21000000 | **1-Year:** 10139.30000000 | **5-Year:** 28083.74000000 | **10-Year:** 40673.16000000 | **30-Year:** 19563.18000000

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

- **3-Month:** 48.41000000 | **1-Year:** 221.39000000 | **5-Year:** 901.58000000 | **10-Year:** 787.91000000 | **30-Year:** 166.85000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000015448 | 1.32%                | 0.04%                | 1.66%                |
| Class ID C000015447 | 1.34%                | 0.17%                | 1.58%                |
| Class ID C000118067 | 1.45%                | 0.08%                | 1.69%                |
| Class ID C000015446 | 1.26%                | 0.07%                | 1.60%                |
| Class ID C000015451 | 1.30%                | 0.02%                | 1.64%                |
| Class ID C000118068 | 1.35%                | 0.09%                | 1.69%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $249051.79               | $2168151.18                                |
| Month 2  | $347301.36               | $-100160.02                                |
| Month 3  | $88576.48                | $3306042.10                                |

**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      | $124853.32    | 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        |      71000 | PA      | $71588.32     | 0.03%             | 2031-04-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                             | Benin Government Bond                                                                 | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |     200000 | PA      | $180261.00    | 0.08%             | 2038-02-13      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Republic of Finland                                                             | Finland Government Bond                                                               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     370000 | PA      | $363505.45    | 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        |     733540 | PA      | $30103.01     | 0.01%             | 2067-04-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49967.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                                  | FHLMC STACR Debt Notes, Series 2015-DNA3, Class M3                                    | CUSIP: 3137G0GW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252821 | PA      | $256847.94    | 0.12%             | 2028-04-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4895253.00  | -2.27%            | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                        | Electricite de France SA                                                              | CUSIP: 28504DAF0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |     315000 | PA      | $321383.19    | 0.15%             | 2035-01-13      | 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      | $-44.88       | -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        |     210000 | PA      | $208050.03    | 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      | $159992.00    | 0.07%             | 2046-11-10      | Variable      | 5.11%                 | 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      | $110014.71    | 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      | $1909282.08   | 0.89%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 2 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -31 | NC      | $-60679.93    | -0.03%            |  |  |  | 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      | $2453.94      | 0.00%             |  |  |  | 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      | $250626.61    | 0.12%             | 2037-07-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AD2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      99000 | PA      | $104111.89    | 0.05%             | 2034-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-31253.25    | -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      | $3.29         | 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      | $221020.09    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     198000 | PA      | $205743.41    | 0.10%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     415000 | PA      | $9062.15      | 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      | $4168.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                             | Switzerland Government Bond                                                           | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     290000 | PA      | $412542.00    | 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      | $270688.14    | 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        |     964519 | PA      | $286856.31    | 0.13%             | 2036-11-25      | Floating      | 4.78%                 | 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      | $-89381.80    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1630000 | PA      | $-23337.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   19690000 | PA      | $-68609.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     247000 | PA      | $263315.43    | 0.12%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                                    | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1                                | CUSIP: 05682GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249567.88    | 0.12%             | 2035-04-22      | Floating      | 5.59%                 | 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      | $1049.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |      57000 | PA      | $49357.81     | 0.02%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                       | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141840 | PA      | $141288.67    | 0.07%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                                                    | Shackleton XIV CLO Ltd., Series 2019-14A, Class BR                                    | CUSIP: 81880XAQ5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250591.76    | 0.12%             | 2034-07-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11790.70     | 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      | $266.44       | 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      | $710351.77    | 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      | $308699.80    | 0.14%             | 2029-02-15      | Fixed         | 5.00%                 | 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      | $329399.90    | 0.15%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                                    | Humana, Inc.                                                                          | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     180000 | PA      | $185447.39    | 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        |     105772 | PA      | $102011.52    | 0.05%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1                       | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49108 | PA      | $49311.89     | 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      | $258618.33    | 0.12%             | 2034-04-01      | 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      | $-12104.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FRPC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     569160 | PA      | $591487.94    | 0.27%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5022.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618G7SL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837539 | PA      | $866015.88    | 0.40%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      62000 | PA      | $62608.84     | 0.03%             | 2029-07-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25570.91     | 0.01%             | 2028-04-15      | Fixed         | 5.50%                 | 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      | $176752.88    | 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      | $514794.65    | 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      | $248981.36    | 0.12%             | 2037-07-23      | Floating      | 5.64%                 | 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      | $13556.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     210000 | PA      | $211890.80    | 0.10%             | 2027-07-15      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2024-4, Class GI                                                         | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1812096 | PA      | $439852.26    | 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      | $247342.80    | 0.11%             | 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        |     775000 | PA      | $660228.70    | 0.31%             | 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      | $684662.91    | 0.32%             | 2025-08-04      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1                       | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9344 | PA      | $9319.62      | 0.00%             | 2044-02-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1                       | CUSIP: 207932AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46282 | PA      | $47381.89     | 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      | $299171.74    | 0.14%             | 2038-07-22      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co.                                                                     | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     220000 | PA      | $226394.88    | 0.11%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     172000 | PA      | $168250.89    | 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        |     100000 | PA      | $106226.66    | 0.05%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1                       | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112871 | PA      | $115216.56    | 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      | $1963951.24   | 0.91%             | 2034-11-25      | 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      | $-3386.38     | -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      | $246892.47    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1080.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M1                       | CUSIP: 20755RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69334 | PA      | $69256.79     | 0.03%             | 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        |        866 | PA      | $5.12         | 0.00%             | 2039-09-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  212000000 | PA      | $1392397.82   | 0.65%             | 2051-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AQ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $249367.49    | 0.12%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                          | Paraguay Government Bond                                                              | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $199700.00    | 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        |     971827 | PA      | $14353.79     | 0.01%             | 2065-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $31963.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                                  | Alimentation Couche-Tard, Inc.                                                        | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     256000 | PA      | $250758.63    | 0.12%             | 2027-07-26      | Fixed         | 3.55%                 | 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      | $4239.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                              | Southern Co. (The)                                                                    | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     167000 | PA      | $172803.14    | 0.08%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     462000 | PA      | $-10073.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871548 | PA      | $788915.30    | 0.37%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     145000 | PA      | $124378.95    | 0.06%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    4965000 | PA      | $130023.98    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1500000 | PA      | $1731072.68   | 0.80%             | 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      | $46353.55     | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2024-103, Class FB                                                       | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1101770 | PA      | $1098567.28   | 0.51%             | 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        |     203099 | PA      | $1.75         | 0.00%             | 2046-06-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     140000 | PA      | $149242.81    | 0.07%             | 2045-05-25      | Fixed         | 3.25%                 | 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      | $2494.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $208957.30    | 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        |      58791 | PA      | $54144.69     | 0.03%             | 2045-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                  | EPR Properties                                                                        | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      58000 | PA      | $57044.03     | 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      | $14276.10     | 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      | $-346931.23   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| IPALCO Enterprises, Inc.                                                        | IPALCO Enterprises, Inc.                                                              | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     315000 | PA      | $300567.11    | 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      | $-894.28      | -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        |      47684 | PA      | $47470.20     | 0.02%             | 2047-08-26      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     733000 | PA      | $744748.27    | 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      | $256386.10    | 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        |    2774171 | PA      | $549436.12    | 0.26%             | 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        |    1281833 | PA      | $55695.64     | 0.03%             | 2066-10-20      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                      | Huntsman International LLC                                                            | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     250000 | PA      | $235774.10    | 0.11%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2024-2, Class A                            | CUSIP: 85770KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     660000 | PA      | $660554.60    | 0.31%             | 2025-06-22      | Floating      | 5.22%                 | 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      | $110166.78    | 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      | $135587.00    | 0.06%             | 2035-03-01      | Fixed         | 5.20%                 | 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      | $284937.03    | 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        |     169665 | PA      | $163779.31    | 0.08%             | 2046-06-25      | Floating      | 5.51%                 | 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      | $501092.79    | 0.23%             | 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      | $-1885.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     625000 | PA      | $40429.03     | 0.02%             |  |  |  | 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      | $72603.53     | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NDIRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  192710000 | PA      | $349254.21    | 0.16%             |  |  |  | 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      | $23790.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                      | Huntsman International LLC                                                            | CUSIP: 44701QBG6<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     335000 | PA      | $302430.32    | 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      | $229267.09    | 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        |    5325612 | PA      | $116363.56    | 0.05%             | 2050-12-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     121000 | PA      | $120770.11    | 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      | $581357.35    | 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      | $-31929.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     104000 | PA      | $99762.20     | 0.05%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $206340.48    | 0.10%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3000000 | PA      | $-2869454.04  | -1.33%            | 2055-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federation of Malaysia                                                          | Malaysia Government Bond                                                              | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |    2280000 | PA      | $529853.66    | 0.25%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                                      | Warnermedia Holdings, Inc.                                                            | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     417000 | PA      | $357218.73    | 0.17%             | 2032-03-15      | Fixed         | 4.28%                 | 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      | $250378.17    | 0.12%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                             | CNA Financial Corp.                                                                   | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     162000 | PA      | $160059.60    | 0.07%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4157416.35   | 1.93%             | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kingdom of Norway                                                               | Norway Government Bond                                                                | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    1880000 | PA      | $175047.60    | 0.08%             | 2027-02-17      | Fixed         | 1.75%                 | 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        |      83003 | PA      | $83421.66     | 0.04%             | 2043-11-25      | Floating      | 6.20%                 | 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      | $-2381.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                                  | DTE Energy Co.                                                                        | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     155000 | PA      | $156624.55    | 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      | $135373.69    | 0.06%             | 2036-01-24      | Fixed         | 5.50%                 | 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      | $310190.33    | 0.14%             | 2048-09-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     163000 | PA      | $150489.78    | 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      | $194427.70    | 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      | $99013.65     | 0.05%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-117, Class MI                                                       | CUSIP: 38382WEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2955253 | PA      | $478123.59    | 0.22%             | 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      | $385748.26    | 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      | $464899.29    | 0.22%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     151000 | PA      | $-2601.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petrobras Global Finance BV                                                     | Petrobras Global Finance BV                                                           | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      44000 | PA      | $44501.60     | 0.02%             | 2033-07-03      | Fixed         | 6.50%                 | 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      | $813777.47    | 0.38%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Long Gilt                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         35 | NC      | $94950.53     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie, Inc.                                                                    | AbbVie, Inc.                                                                          | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63552.36     | 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      | $499659.56    | 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      | $195481.14    | 0.09%             | 2027-11-15      | Fixed         | 5.65%                 | 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      | $-6141.11     | -0.00%            |  |  |  | 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      | $255021.53    | 0.12%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H02, Class BI                                                       | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1115791 | PA      | $42288.47     | 0.02%             | 2067-01-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2016-C01, Class 1M2                        | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      92402 | PA      | $95312.87     | 0.04%             | 2028-08-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                   | Brazil Government Bond                                                                | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     400000 | PA      | $374065.21    | 0.17%             | 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      | $329409.37    | 0.15%             | 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      | $121697.93    | 0.06%             | 2039-11-15      | 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      | $-93041.27    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                                  | Protective Life Global Funding                                                        | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |     305000 | PA      | $316504.80    | 0.15%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3903.38     | -0.00%            |  |  |  | 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      | $54623.89     | 0.03%             | 2026-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Buxl                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          5 | NC      | $-6711.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Ultra Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          8 | NC      | $16416.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     261000 | PA      | $194084.63    | 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      | $165491.87    | 0.08%             | 2029-01-15      | Fixed         | 3.00%                 | 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        |      87332 | PA      | $82532.71     | 0.04%             | 2045-01-25      | Floating      | 5.22%                 | 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        |      87547 | PA      | $86929.32     | 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      | $892334.46    | 0.41%             | 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      | $250634.15    | 0.12%             | 2037-10-19      | Floating      | 5.67%                 | 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      | $13882.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     663000 | PA      | $-32406.53    | -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      | $40152.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  102000000 | PA      | $353303.64    | 0.16%             | 2060-03-20      | Fixed         | 0.50%                 | 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      | $28993.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5116, Class BI                                                          | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4188229 | PA      | $866854.87    | 0.40%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group, Inc.                                                       | CNO Financial Group, Inc.                                                             | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |     432000 | PA      | $446151.71    | 0.21%             | 2034-06-15      | Fixed         | 6.45%                 | 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      | $-2992.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     516000 | PA      | $492493.62    | 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      | $173682.56    | 0.08%             | 2027-08-15      | 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      | $2942.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     275000 | PA      | $272304.02    | 0.13%             | 2030-04-10      | Fixed         | 5.12%                 | 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      | $528032.71    | 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      | $997517.47    | 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      | $221759.30    | 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      | $350828.30    | 0.16%             | 2037-07-20      | Floating      | 5.62%                 | 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      | $213693.81    | 0.10%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     170000 | PA      | $165650.19    | 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      | $289957.84    | 0.13%             | 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      | $257020.26    | 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      | $121245.99    | 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        |     153501 | PA      | $153675.74    | 0.07%             | 2044-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                             | Thailand Government Bond                                                              | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |   15700000 | PA      | $478059.03    | 0.22%             | 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      | $199834.78    | 0.09%             | 2027-07-22      | Fixed         | 4.30%                 | 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      | $4068.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                     | Bundesobligation                                                                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     900000 | PA      | $1043554.35   | 0.48%             | 2029-10-11      | Fixed         | 2.50%                 | 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      | $84.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $23501.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                              | Belgium Government Bond                                                               | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1200000 | PA      | $1366629.68   | 0.64%             | 2035-06-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1                       | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69273 | PA      | $70218.49     | 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      | $400757.23    | 0.19%             | 2035-01-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140ABD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1052277 | PA      | $1068686.89   | 0.50%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  171000000 | PA      | $799887.45    | 0.37%             | 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      | $112148.79    | 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      | $158156.47    | 0.07%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Bobl                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          6 | NC      | $6322.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XEN2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     175000 | PA      | $178662.53    | 0.08%             | 2029-01-07      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M1A                                  | CUSIP: 35564KWS4<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |     179934 | PA      | $182739.93    | 0.08%             | 2042-05-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     780000 | PA      | $983847.06    | 0.46%             | 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      | $13308.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   11238000 | PA      | $-46571.07    | -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      | $339.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                              | Vertiv Group Corp.                                                                    | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |     330000 | PA      | $319093.70    | 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      | $102963.15    | 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      | $106458.25    | 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      | $544959.67    | 0.25%             | 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        |     527347 | PA      | $433397.83    | 0.20%             | 2041-11-01      | Fixed         | 1.50%                 | 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      | $24463.74     | 0.01%             |  |  |  | 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      | $362286.16    | 0.17%             | 2027-05-01      | Fixed         | 3.55%                 | 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      | $4114.98      | 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      | $779819.39    | 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        |     452087 | PA      | $420592.61    | 0.20%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP Paribas SA                                                                        | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $397559.08    | 0.18%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                     | Truist Bank                                                                           | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     250000 | PA      | $244785.22    | 0.11%             | 2029-09-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1999554.62   | 0.93%             | 2055-05-15      | Fixed         | 5.50%                 | 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      | $421570.85    | 0.20%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 013817AK7<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     287000 | PA      | $299012.67    | 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      | $-2288.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-102, Class IG                                                       | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84918 | PA      | $1928.79      | 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        |      72496 | PA      | $72736.02     | 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      | $-882.28      | -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        |      49149 | PA      | $48552.72     | 0.02%             | 2047-12-10      | Variable      | 4.40%                 | 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      | $118654.03    | 0.06%             | 2032-06-15      | 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      | $174213.57    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     396000 | PA      | $396236.77    | 0.18%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2016-C02, Class 1M2                        | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      38154 | PA      | $38922.42     | 0.02%             | 2028-09-25      | Floating      | 10.47%                | 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        |     152198 | PA      | $152402.11    | 0.07%             | 2032-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Franklin Ultra Short Bond ETF                                                   | Franklin Ultra Short Bond ETF                                                         | CUSIP: 35473P496<br>LEI: 549300C2WYDHE3Y9X469 | Long             |  | RF                | US        |     136838 | NS      | $3418897.43   | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      16000 | PA      | $2756.20      | 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      | $-542.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                             | Fifth Third Bancorp                                                                   | CUSIP: 316773DM9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     225000 | PA      | $224533.79    | 0.10%             | 2030-09-06      | Fixed         | 4.89%                 | 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      | $14903.52     | 0.01%             |  |  |  | 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        |    2642133 | PA      | $6951.45      | 0.00%             | 2048-12-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6414.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Australia 3 Year Bonds                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $890.40       | 0.00%             |  |  |  | No            |                  1 | 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      | $250055.81    | 0.12%             | 2037-07-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     265000 | PA      | $258601.96    | 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      | $-8177.14     | -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      | $337.33       | 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      | $-20474.06    | -0.01%            |  |  |  | No            |                  2 | 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      | $399001.00    | 0.19%             | 2037-07-15      | Floating      | 5.72%                 | 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      | $3102.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      36000 | PA      | $37371.50     | 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      | $30998.45     | 0.01%             | 2050-10-31      | Fixed         | 1.00%                 | 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        |     313218 | PA      | $311726.49    | 0.14%             | 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      | $85273.31     | 0.04%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc., Series X                                                             | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     373000 | PA      | $363696.43    | 0.17%             | 2026-02-18      | Fixed         | 3.88%                 | 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      | $254503.93    | 0.12%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7675.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                  | Illumina, Inc.                                                                        | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150069.66    | 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        |    1061741 | PA      | $36484.61     | 0.02%             | 2064-10-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp., Series FIX                                                     | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      97000 | PA      | $98838.10     | 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      | $105893.47    | 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      | $615590.27    | 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      | $104811.71    | 0.05%             | 2054-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1324000 | PA      | $9504.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     139000 | PA      | $137744.23    | 0.06%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1829000 | PA      | $11867.16     | 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      | $825.11       | 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      | $90633.09     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays plc                                                                    | Barclays plc                                                                          | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     250000 | PA      | $253432.23    | 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        |     200000 | PA      | $210323.00    | 0.10%             | 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      | $89325.24     | 0.04%             | 2053-03-02      | Fixed         | 5.65%                 | 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      | $-5599.80     | -0.00%            |  |  |  | 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        |     130278 | PA      | $102223.92    | 0.05%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     125100 | PA      | $31795.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5277000 | PA      | $-61534.29    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5149629.05   | 2.39%             | 2055-05-25      | Fixed         | 6.50%                 | 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      | $604669.63    | 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      | $-19060.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                       | Australia Government Bond                                                             | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1640000 | PA      | $1018440.68   | 0.47%             | 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      | $25146.80     | 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      | $224621.66    | 0.10%             | 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      | $243391.49    | 0.11%             | 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      | $163210.10    | 0.08%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1                       | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324808 | PA      | $324347.30    | 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        |     934999 | PA      | $851525.42    | 0.40%             | 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      | $464168.41    | 0.22%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     297000 | PA      | $242317.57    | 0.11%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                       | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427000 | PA      | $435896.42    | 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      | $260066.30    | 0.12%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1                       | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44104 | PA      | $44377.81     | 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        |    3685829 | PA      | $286156.69    | 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      | $81741.04     | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                        | South Africa Government Bond                                                          | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $133475.75    | 0.06%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                                      | Province of Ontario Canada                                                            | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     170000 | PA      | $124703.25    | 0.06%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                          | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class X     | CUSIP: 46630EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256279 | PA      | $5161.72      | 0.00%             | 2043-12-12      | Variable      | 1.14%                 | 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      | $141508.11    | 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      | $107418.82    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      97000 | PA      | $96876.57     | 0.05%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5027000 | PA      | $84546.36     | 0.04%             |  |  |  | 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      | $125785.43    | 0.06%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                                 | Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10           | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |     454387 | PA      | $455403.39    | 0.21%             | 2049-10-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     625000 | PA      | $46036.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      85000 | PA      | $85483.53     | 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      | $876289.84    | 0.41%             | 2029-05-25      | Fixed         | 0.50%                 | 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      | $257871.35    | 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      | $238672.09    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2015-C04, Class 1M2                        | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     201116 | PA      | $204671.44    | 0.10%             | 2028-04-25      | Floating      | 10.17%                | 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      | $49479.16     | 0.02%             |  |  |  | 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      | $232168.39    | 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        |    3825806 | PA      | $35926.24     | 0.02%             | 2059-12-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                           | Haleon US Capital LLC                                                                 | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $246242.39    | 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      | $303934.28    | 0.14%             | 2050-05-10      | Variable      | 3.95%                 | 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      | $525998.52    | 0.24%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6550000 | PA      | $65180.19     | 0.03%             |  |  |  | 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        |     442729 | PA      | $337368.99    | 0.16%             | 2036-05-25      | Floating      | 4.74%                 | 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      | $979.75       | 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      | $350664.16    | 0.16%             | 2034-04-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1                       | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91957 | PA      | $93789.63     | 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      | $232160.41    | 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        |     255130 | PA      | $257032.17    | 0.12%             | 2054-03-20      | Floating      | 6.05%                 | 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      | $36644.00     | 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      | $-28987.20    | -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      | $4630.17      | 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        |     580750 | PA      | $585419.09    | 0.27%             | 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      | $194754.40    | 0.09%             | 2048-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2482000 | PA      | $42534.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     125000 | PA      | $124225.60    | 0.06%             | 2045-05-01      | Fixed         | 5.65%                 | 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      | $-6337.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H26, Class EI                                                       | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     831380 | PA      | $27671.64     | 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      | $110105.16    | 0.05%             | 2059-08-01      | Fixed         | 3.95%                 | 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      | $-123.34      | -0.00%            |  |  |  | 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        |     572436 | PA      | $573459.22    | 0.27%             | 2069-01-25      | Fixed         | 5.71%                 | 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        |     311086 | PA      | $317400.53    | 0.15%             | 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      | $134832.51    | 0.06%             | 2064-08-15      | 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      | $9614.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1                       | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99205 | PA      | $101625.00    | 0.05%             | 2042-06-25      | Floating      | 7.30%                 | 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      | $3527.04      | 0.00%             |  |  |  | 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      | $250810.95    | 0.12%             | 2037-04-20      | Floating      | 5.77%                 | 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        |     177190 | PA      | $178701.96    | 0.08%             | 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      | $127317.73    | 0.06%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2                       | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $123346.10    | 0.06%             | 2042-03-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                | CVS Health Corp.                                                                      | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     127000 | PA      | $114598.79    | 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        |     247280 | PA      | $248566.04    | 0.12%             | 2053-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2018-C02, Class 2M2                        | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      12989 | PA      | $13196.22     | 0.01%             | 2030-08-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Canada 10 Year Bonds                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         19 | NC      | $8951.72      | 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      | $26306.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                              | Ares Capital Corp.                                                                    | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     472000 | PA      | $468369.48    | 0.22%             | 2026-01-15      | Fixed         | 3.88%                 | 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      | $594287.58    | 0.28%             | 2048-04-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6237000 | PA      | $78870.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5077, Class GI                                                          | CUSIP: 3137F94J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3046069 | PA      | $578809.75    | 0.27%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $930957.49    | 0.43%             | 2055-05-15      | Fixed         | 4.00%                 | 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      | $512681.28    | 0.24%             | 2037-07-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2021-14, Class CI                                                        | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4567385 | PA      | $1082941.57   | 0.50%             | 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      | $103077.95    | 0.05%             | 2045-02-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1                       | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26660 | PA      | $27169.68     | 0.01%             | 2042-05-25      | Floating      | 7.10%                 | No            |                  2 | 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        |      86726 | PA      | $86803.34     | 0.04%             | 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      | $300471.86    | 0.14%             | 2037-04-18      | Floating      | 5.79%                 | 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      | $412200.20    | 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        |     616051 | PA      | $99.43        | 0.00%             | 2049-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                               | Eversource Energy                                                                     | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      49000 | PA      | $50216.27     | 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      | $76425.96     | 0.04%             | 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      | $53292.16     | 0.02%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                       | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40420 | PA      | $40352.63     | 0.02%             | 2041-12-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     170000 | PA      | $171392.18    | 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      | $117934.70    | 0.05%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1                       | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80292 | PA      | $80242.71     | 0.04%             | 2044-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $111012.99    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $44511.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                        | International Flavors & Fragrances, Inc.                                              | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      97000 | PA      | $84461.70     | 0.04%             | 2030-11-01      | Fixed         | 2.30%                 | 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      | $-83.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1063204.60   | 0.49%             | 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      | $-3920.14     | -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      | $-30463.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H04, Class BI                                                       | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1124051 | PA      | $46735.47     | 0.02%             | 2067-02-20      | Variable      | 2.52%                 | 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      | $10521.99     | 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      | $-8527.61     | -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      | $-15454.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      59000 | PA      | $53538.63     | 0.02%             | 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      | $407378.93    | 0.19%             | 2029-11-01      | Fixed         | 3.80%                 | 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      | $420087.78    | 0.20%             | 2047-12-15      | Variable      | 3.69%                 | 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      | $250217.36    | 0.12%             | 2038-07-18      | Floating      | 5.67%                 | 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      | $-224.53      | -0.00%            |  |  |  | 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        |     719370 | PA      | $729739.34    | 0.34%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2017-C02, Class 2M2C                       | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      72000 | PA      | $73654.56     | 0.03%             | 2029-09-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144864.65    | 0.07%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13126000 | PA      | $-48484.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      85000 | PA      | $82552.48     | 0.04%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4385.17      | 0.00%             |  |  |  | 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        |     118639 | PA      | $106555.68    | 0.05%             | 2034-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $108017.09    | 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      | $8691.80      | 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      | $334835.39    | 0.16%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NDIRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 3919000000 | PA      | $69865.77     | 0.03%             |  |  |  | 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      | $501081.64    | 0.23%             | 2034-07-28      | Floating      | 5.71%                 | 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        |      91564 | PA      | $80620.86     | 0.04%             | 2046-08-25      | Floating      | 5.53%                 | 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        |      89295 | PA      | $87499.71     | 0.04%             | 2045-01-25      | Floating      | 5.18%                 | 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        |     642805 | PA      | $649256.21    | 0.30%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                                | ABN AMRO Bank NV                                                                      | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $399644.85    | 0.19%             | 2025-07-28      | 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      | $1907.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     473000 | PA      | $421922.37    | 0.20%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2016-C03, Class 2M2                        | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      22141 | PA      | $22806.75     | 0.01%             | 2028-10-25      | Floating      | 10.37%                | 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      | $198926.88    | 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      | $623819.56    | 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      | $252693.75    | 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      | $136752.15    | 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      | $515670.10    | 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      | $390835.94    | 0.18%             | 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      | $149924.12    | 0.07%             | 2053-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   90000000 | PA      | $560316.67    | 0.26%             | 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        |     194416 | PA      | $193235.31    | 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      | $374975.35    | 0.17%             | 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      | $97239.12     | 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      | $198872.30    | 0.09%             | 2028-04-12      | 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      | $-6519.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     368000 | PA      | $371993.98    | 0.17%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                     | Bundesrepublik Deutschland Bundesanleihe                                              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    3000000 | PA      | $3315349.25   | 1.54%             | 2027-02-15      | Fixed         | 0.25%                 | 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      | $-1606.86     | -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      | $-5276.00     | -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      | $30811.94     | 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      | $204541.89    | 0.10%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      45000 | PA      | $48369.68     | 0.02%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                             | Athene Holding Ltd.                                                                   | CUSIP: 04686JAG6<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     119000 | PA      | $120626.29    | 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      | $246589.40    | 0.11%             | 2046-05-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Flex Ltd.                                                                       | Flex Ltd.                                                                             | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     250000 | PA      | $245784.28    | 0.11%             | 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        |     273045 | PA      | $213027.12    | 0.10%             | 2047-05-25      | Floating      | 5.29%                 | 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        |     242717 | PA      | $232982.36    | 0.11%             | 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        |    5276484 | PA      | $1111595.30   | 0.52%             | 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      | $251519.58    | 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      | $337269.19    | 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      | $-311.17      | -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      | $298329.01    | 0.14%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-18737.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     180000 | PA      | $175043.72    | 0.08%             | 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        |     121007 | PA      | $120375.70    | 0.06%             | 2056-08-25      | Variable      | 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      | $-2548.78     | -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      | $5573.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                    | ING Groep NV                                                                          | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $280624.01    | 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        |    4180068 | PA      | $643782.73    | 0.30%             | 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      | $150441.28    | 0.07%             | 2037-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     261200 | PA      | $1856.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     449500 | PA      | $-3580.62     | -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      | $-13104.23    | -0.01%            |  |  |  | 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        |     359168 | PA      | $358821.90    | 0.17%             | 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        |     253000 | PA      | $248843.72    | 0.12%             | 2048-05-15      | Variable      | 4.45%                 | 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        |     237269 | PA      | $197030.04    | 0.09%             | 2046-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385AC5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     238000 | PA      | $258887.02    | 0.12%             | 2032-01-15      | Fixed         | 7.20%                 | 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      | $-250.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     290000 | PA      | $305065.44    | 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        |     422465 | PA      | $437566.84    | 0.20%             | 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        |     839126 | PA      | $264915.11    | 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      | $159522.75    | 0.07%             | 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      | $7429.97      | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | 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      | $-353.94      | -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      | $-292535.07   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     154000 | PA      | $155677.18    | 0.07%             | 2029-09-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     990000 | PA      | $964660.21    | 0.45%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     334000 | PA      | $-7872.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2033100 | PA      | $67493.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-189                                                                 | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    4874194 | PA      | $332466.83    | 0.15%             | 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      | $-17648.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria                                                             | Austria Government Bond                                                               | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     360000 | PA      | $292549.60    | 0.14%             | 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      | $248909.52    | 0.12%             | 2034-07-15      | Floating      | 5.32%                 | 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        |     174424 | PA      | $177393.66    | 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      | $205619.97    | 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        |     299750 | PA      | $303017.43    | 0.14%             | 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      | $140468.21    | 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        |     229911 | PA      | $229757.87    | 0.11%             | 2054-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                  | Synopsys, Inc.                                                                        | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250630.13    | 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      | $245531.54    | 0.11%             | 2049-01-15      | Fixed         | 3.35%                 | 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      | $46165.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                      | Corebridge Financial, Inc.                                                            | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     149000 | PA      | $144493.05    | 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      | $64118.42     | 0.03%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                   | Comcast Corp.                                                                         | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     368000 | PA      | $357560.01    | 0.17%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3575000 | PA      | $39580.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -46650000 | PA      | $-259783.75   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1762000 | PA      | $31385.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1458600 | PA      | $5590.70      | 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        |     342000 | PA      | $339086.43    | 0.16%             | 2058-09-15      | Variable      | 4.63%                 | 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      | $264677.66    | 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      | $119.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     694000 | PA      | $-10275.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co.                                                                | Weyerhaeuser Co.                                                                      | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |      30000 | PA      | $33687.77     | 0.02%             | 2032-03-15      | Fixed         | 7.38%                 | 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      | $672536.44    | 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      | $771710.14    | 0.36%             | 2046-12-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fidelity National Financial, Inc.                                               | Fidelity National Financial, Inc.                                                     | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     144000 | PA      | $85021.27     | 0.04%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1706268 | PA      | $1605960.70   | 0.75%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-76                                                                  | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181016 | PA      | $38188.65     | 0.02%             | 2044-05-20      | 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      | $4781.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                                    | Nasdaq, Inc.                                                                          | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30817.38     | 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      | $41259.51     | 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      | $642431.69    | 0.30%             | 2030-02-15      | 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      | $-981.69      | -0.00%            |  |  |  | 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        |    4562287 | PA      | $320062.71    | 0.15%             | 2053-10-15      | Variable      | 1.93%                 | 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      | $2075.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   24825200 | PA      | $28407.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   38593000 | PA      | $-645425.85   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Notes                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         34 | NC      | $80693.22     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   10338000 | PA      | $258404.62    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     446000 | PA      | $438288.05    | 0.20%             | 2027-07-15      | Fixed         | 3.55%                 | 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      | $-674.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Chile                                                               | Chile Government Bond                                                                 | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     320000 | PA      | $327971.61    | 0.15%             | 2037-01-13      | Fixed         | 5.65%                 | 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        |     237662 | PA      | $235464.40    | 0.11%             | 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      | $394777.91    | 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        |     692826 | PA      | $704306.91    | 0.33%             | 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      | $491467.15    | 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      | $6345225.33   | 2.95%             | 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      | $250465.09    | 0.12%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1                       | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338252 | PA      | $341311.27    | 0.16%             | 2042-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     368000 | PA      | $372057.20    | 0.17%             | 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      | $2286856.64   | 1.06%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     260000 | PA      | $255595.78    | 0.12%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBU2<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     162000 | PA      | $160103.23    | 0.07%             | 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      | $152547.82    | 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      | $204162.49    | 0.09%             | 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      | $-3751.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                                 | DR Horton, Inc.                                                                       | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     556000 | PA      | $540028.87    | 0.25%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     285000 | PA      | $290666.91    | 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      | $291120.62    | 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      | $-6967.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2022-60, Class IY                                                        | CUSIP: 38383PEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6692859 | PA      | $1020312.93   | 0.47%             | 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      | $225730.98    | 0.10%             | 2028-02-15      | Fixed         | 2.05%                 | 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      | $-730.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-75, Class LI                                                        | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339142 | PA      | $50529.23     | 0.02%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      95000 | PA      | $94682.05     | 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      | $365285.66    | 0.17%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     117000 | PA      | $118634.71    | 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      | $145200.99    | 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      | $447153.86    | 0.21%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6581.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     560000 | PA      | $552436.79    | 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      | $386960.96    | 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      | $177349.45    | 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        |    2400000 | PA      | $2358116.11   | 1.10%             | 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        |     263315 | PA      | $262746.28    | 0.12%             | 2031-10-20      | Floating      | 5.19%                 | 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        |     119626 | PA      | $119622.18    | 0.06%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     410000 | PA      | $512902.12    | 0.24%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9853.02     | -0.00%            |  |  |  | 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      | $118872.05    | 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      | $156190.58    | 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      | $277164.02    | 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      | $554973.70    | 0.26%             | 2055-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Schatz                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         13 | NC      | $7552.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      54000 | PA      | $40082.76     | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2073.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1                       | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22244 | PA      | $22227.82     | 0.01%             | 2044-07-25      | Floating      | 5.35%                 | 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      | $175333.23    | 0.08%             | 2034-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   29633000 | PA      | $-59026.56    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                    | Uruguay Government Bond                                                               | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     475000 | PA      | $558243.75    | 0.26%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Bills                                                                   | CUSIP: 912797PJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     400000 | PA      | $399107.00    | 0.19%             | 2025-05-20      | None          | 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      | $-152.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    1010000 | PA      | $1196056.13   | 0.56%             | 2033-10-31      | Fixed         | 3.55%                 | 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      | $-679.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Express Co.                                                            | American Express Co.                                                                  | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     311000 | PA      | $315030.20    | 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        |      39991 | PA      | $38495.27     | 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      | $17464.51     | 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      | $4793.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     242000 | PA      | $236524.75    | 0.11%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                           | Global Payments, Inc.                                                                 | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      55000 | PA      | $52728.88     | 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      | $300352.50    | 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        |    6932792 | PA      | $370274.16    | 0.17%             | 2053-12-15      | Variable      | 1.38%                 | 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      | $159144.44    | 0.07%             | 2030-06-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                                    | Ameren Corp.                                                                          | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     198000 | PA      | $200969.10    | 0.09%             | 2029-01-15      | 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      | $-209.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    8427900 | PA      | $39803.70     | 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      | $-497.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  435000000 | PA      | $2724744.31   | 1.27%             | 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        |     479171 | PA      | $489184.22    | 0.23%             | 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      | $203658.04    | 0.09%             | 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      | $174022.40    | 0.08%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     140000 | PA      | $140647.70    | 0.07%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2018-C05, Class 1M2                        | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      56032 | PA      | $56503.68     | 0.03%             | 2031-01-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3725.68      | 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        |      30161 | PA      | $29450.58     | 0.01%             | 2048-01-25      | Floating      | 5.34%                 | 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      | $338648.80    | 0.16%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities                                                   | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1                       | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104480 | PA      | $104204.70    | 0.05%             | 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        |     200000 | PA      | $161478.30    | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | 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      | $-939.86      | -0.00%            |  |  |  | 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        |      58001 | PA      | $55351.40     | 0.03%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5987984.82   | 2.78%             | 2055-05-25      | Fixed         | 5.50%                 | 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        |     284480 | PA      | $287516.64    | 0.13%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     184000 | PA      | $180042.11    | 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      | $283702.63    | 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      | $246627.87    | 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        |    7661820 | PA      | $338704.56    | 0.16%             | 2052-06-13      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                            | Ally Financial, Inc.                                                                  | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     162000 | PA      | $179491.16    | 0.08%             | 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        |     145919 | PA      | $125691.48    | 0.06%             | 2047-11-25      | Floating      | 4.62%                 | 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      | $663858.10    | 0.31%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2016-C01, Class 2M2                        | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      52902 | PA      | $54499.61     | 0.03%             | 2028-08-25      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| BANK                                                                            | BANK, Series 2019-BN20, Class XA                                                      | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8834988 | PA      | $269700.38    | 0.13%             | 2062-09-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities                                                   | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1A1                       | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91418 | PA      | $90977.84     | 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      | $148606.99    | 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      | $75507.29     | 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      | $387059.53    | 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      | $1800314.63   | 0.84%             | 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      | $393221.28    | 0.18%             | 2035-10-13      | 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      | $-3924.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic                                                              | Dominican Republic Government Bond                                                    | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     241000 | PA      | $242542.40    | 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      | $6333.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     410000 | PA      | $555323.38    | 0.26%             | 2044-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                       | Northern States Power Co.                                                             | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     180000 | PA      | $180689.29    | 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      | $36673.55     | 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      | $-48034.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2796234.99   | 1.30%             | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1404568 | PA      | $1435494.09   | 0.67%             | 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      | $287019.86    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     218000 | PA      | $220184.69    | 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      | $3779.32      | 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      | $91364.37     | 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      | $20909.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                             | Benin Government Bond                                                                 | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     225000 | PA      | $206157.64    | 0.10%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2                       | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264000 | PA      | $265377.13    | 0.12%             | 2041-12-25      | Floating      | 6.25%                 | 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        |     250000 | PA      | $250956.32    | 0.12%             | 2030-07-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FirstEnergy Transmission LLC                                                          | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     155000 | PA      | $153556.64    | 0.07%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2029134.86   | 0.94%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | Banco Santander SA                                                                    | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $400517.04    | 0.19%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Australia 10 Year Bonds                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $1976.44      | 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      | $-11261.37    | -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      | $-1715.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                  | Broadcom, Inc.                                                                        | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     364000 | PA      | $348774.79    | 0.16%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Bund                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          9 | NC      | $7130.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     165000 | PA      | $165185.63    | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | 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      | $249158.66    | 0.12%             | 2037-10-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $3967140.00   | 1.84%             | 2055-05-25      | Fixed         | 2.00%                 | 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      | $-21320.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1426000 | PA      | $80015.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-17                                                                  | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    2284123 | PA      | $182912.58    | 0.08%             | 2061-01-16      | Variable      | 1.05%                 | 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      | $-1975.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                              | Macquarie Airfinance Holdings Ltd.                                                    | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     180000 | PA      | $185046.84    | 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      | $243551.16    | 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      | $19755.34     | 0.01%             |  |  |  | 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      | $963982.68    | 0.45%             | 2026-04-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-97, Class NI                                                        | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7730860 | PA      | $947164.14    | 0.44%             | 2049-08-20      | Fixed         | 2.50%                 | 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        |     572705 | PA      | $553141.10    | 0.26%             | 2044-08-10      | Variable      | 5.53%                 | 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      | $-3409.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127000 | PA      | $131350.84    | 0.06%             | 2042-03-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     240000 | PA      | $248759.35    | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | 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        |      80591 | PA      | $78045.07     | 0.04%             | 2045-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     108000 | PA      | $77853.89     | 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      | $150559.66    | 0.07%             | 2029-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    5584100 | PA      | $30462.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1107377.14   | 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      | $200490.72    | 0.09%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Japan 10 Year Bonds                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -10 | NC      | $-182349.98   | -0.08%            |  |  |  | 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      | $636.09       | 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        |    2744530 | PA      | $114059.38    | 0.05%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     128000 | PA      | $136104.63    | 0.06%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      43000 | PA      | $42411.52     | 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      | $54122.22     | 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      | $191966.85    | 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      | $248744.16    | 0.12%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3131.44     | -0.00%            |  |  |  | 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      | $64943.29     | 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      | $10617.47     | 0.00%             | 2030-04-15      | 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      | $-317633.93   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                 | Air Lease Corp.                                                                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     342000 | PA      | $341946.47    | 0.16%             | 2028-10-01      | Fixed         | 4.62%                 | 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      | $200188.49    | 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      | $353430.01    | 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      | $277808.83    | 0.13%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     387000 | PA      | $379246.51    | 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      | $304998.22    | 0.14%             | 2048-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                                              | Putnam Short Term Investment Fund, Class P                                            | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |    5142946 | NS      | $5142946.00   | 2.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     390000 | PA      | $380820.67    | 0.18%             | 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      | $545689.43    | 0.25%             | 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      | $358471.30    | 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      | $162859.45    | 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      | $353302.24    | 0.16%             | 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        |      74906 | PA      | $70346.42     | 0.03%             | 2046-11-10      | Variable      | 5.11%                 | 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      | $-225.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     270000 | PA      | $279520.17    | 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      | $36952.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                             | Switzerland Government Bond                                                           | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     540000 | PA      | $732090.28    | 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        |      76197 | PA      | $76619.13     | 0.04%             | 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      | $322583.43    | 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      | $-928.03      | -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      | $12473.46     | 0.01%             |  |  |  | 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      | $142604.46    | 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        |      14325 | PA      | $14394.07     | 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      | $250644.38    | 0.12%             | 2039-07-15      | Floating      | 5.65%                 | 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      | $6836.76      | 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      | $231422.36    | 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      | $1662089.75   | 0.77%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2                       | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |       9191 | PA      | $9208.16      | 0.00%             | 2039-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      70900 | PA      | $2305.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 69047QAB8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     194000 | PA      | $197650.99    | 0.09%             | 2028-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2019-42, Class SA                                                        | CUSIP: 3136B5VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2435408 | PA      | $295071.08    | 0.14%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     224000 | PA      | $220188.17    | 0.10%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-H12, Class BI                                                       | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1165086 | PA      | $38490.95     | 0.02%             | 2064-05-20      | Variable      | 1.56%                 | 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      | $232041.98    | 0.11%             | 2049-12-10      | Variable      | 3.72%                 | 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      | $225515.75    | 0.10%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     337000 | PA      | $344267.41    | 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      | $13964.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    4965000 | PA      | $9706.29      | 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      | $-12.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     300000 | PA      | $334735.93    | 0.16%             | 2026-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     124000 | PA      | $114921.00    | 0.05%             | 2053-05-19      | Fixed         | 5.30%                 | 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      | $180624.06    | 0.08%             | 2029-02-02      | 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      | $-27523.34    | -0.01%            |  |  |  | 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      | $355573.42    | 0.17%             | 2048-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     320000 | PA      | $325333.23    | 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      | $193446.97    | 0.09%             | 2029-08-15      | Fixed         | 3.80%                 | 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        |     642484 | PA      | $9.89         | 0.00%             | 2047-09-15      | Variable      | 0.55%                 | 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: 46590XAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     155000 | PA      | $157489.15    | 0.07%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     620000 | PA      | $706248.63    | 0.33%             | 2033-05-25      | Fixed         | 3.00%                 | 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      | $-2541.11     | -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      | $-2435.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1                       | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138225 | PA      | $138158.75    | 0.06%             | 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      | $-56297.53    | -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      | $-484.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2010-171, Class SB                                                       | CUSIP: 38377NRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308274 | PA      | $40173.10     | 0.02%             | 2040-12-16      | Floating      | 2.01%                 | 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      | $60911.53     | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6056.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      24000 | PA      | $22038.22     | 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      | $260003.25    | 0.12%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $885514.70    | 0.41%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4299000 | PA      | $52793.24     | 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      | $42876.06     | 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      | $-52926.81    | -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      | $-7861.02     | -0.00%            |  |  |  | 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        |     312000 | PA      | $306514.23    | 0.14%             | 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        |    1049386 | PA      | $1049086.55   | 0.49%             | 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      | $166475.74    | 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      | $436833.60    | 0.20%             | 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      | $1483028.15   | 0.69%             | 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      | $106822.41    | 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      | $593776.49    | 0.28%             | 2068-07-22      | 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      | $4603.86      | 0.00%             |  |  |  | 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        |     863944 | PA      | $875518.29    | 0.41%             | 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      | $393583.33    | 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        |    3068357 | PA      | $158715.96    | 0.07%             | 2052-08-15      | Variable      | 1.70%                 | 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      | $137203.24    | 0.06%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5000000 | PA      | $4787104.10   | 2.22%             | 2055-05-15      | 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      | $-5661.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                                     | Amgen, Inc.                                                                           | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190318.47    | 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      | $185684.42    | 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      | $78232.12     | 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      | $499531.10    | 0.23%             | 2030-04-15      | 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      | $28989.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Portuguese Republic                                                             | Portugal Obrigacoes do Tesouro OT                                                     | CUSIP: N/A<br>LEI: 549300P6U1FJ3IMP7K42       | Long             | DBT              | NUSS              | PT        |     320000 | PA      | $316794.25    | 0.15%             | 2031-10-17      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7087000 | PA      | $9817.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KPC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     928782 | PA      | $867960.55    | 0.40%             | 2052-05-01      | 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      | $4308.58      | 0.00%             |  |  |  | No            |                  2 | 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      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21023.71    | -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      | $931.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                                     | Philippine Government Bond                                                            | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     360000 | PA      | $371477.61    | 0.17%             | 2035-02-04      | 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      | $4489.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                    | AES Andes SA                                                                          | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $200211.16    | 0.09%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2017-C06, Class 2M2C                       | CUSIP: 30711XSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      56122 | PA      | $57271.97     | 0.03%             | 2030-02-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    1448800 | PA      | $19745.81     | 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      | $201518.60    | 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      | $318043.24    | 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      | $150394.33    | 0.07%             | 2026-02-15      | Fixed         | 5.88%                 | 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      | $254.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     329000 | PA      | $325528.05    | 0.15%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1                       | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450997 | PA      | $451583.33    | 0.21%             | 2045-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                                          | Home Depot, Inc. (The)                                                                | CUSIP: 437076DF6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      80000 | PA      | $76034.21     | 0.04%             | 2054-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20836.31     | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9840.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | DTRS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     502000 | PA      | $5714.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2017-C06, Class 1M2B                       | CUSIP: 30711XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      12407 | PA      | $12439.33     | 0.01%             | 2030-02-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     125100 | PA      | $45.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 4979, Class SN                                                          | CUSIP: 3137FTXU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     832244 | PA      | $105835.08    | 0.05%             | 2050-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1958200 | PA      | $22178.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-214, Class AI                                                       | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3110124 | PA      | $638531.73    | 0.30%             | 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        |     153360 | PA      | $150593.94    | 0.07%             | 2045-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc.                                                                       | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61433.30     | 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      | $131681.34    | 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      | $-6904.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     420000 | PA      | $430256.94    | 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      | $39040.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2000000 | PA      | $-2023359.38  | -0.94%            | 2055-05-15      | 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      | $127593.52    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                                  | Aircastle Ltd.                                                                        | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     203000 | PA      | $202696.10    | 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      | $830884.10    | 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      | $99402.47     | 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      | $262610.14    | 0.12%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2548000 | PA      | $-15606.33    | -0.01%            |  |  |  | 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      | $9972.16      | 0.00%             |  |  |  | No            |                  1 | 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        |     208545 | PA      | $208367.50    | 0.10%             | 2061-07-25      | Fixed         | 4.75%                 | 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      | $189128.45    | 0.09%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201112.06    | 0.09%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      70900 | PA      | $3094.46      | 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      | $-6597.47     | -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      | $-487987.96   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  600000000 | PA      | $4152879.90   | 1.93%             | 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      | $52314.46     | 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      | $32791.22     | 0.02%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $902622.05    | 0.42%             | 2055-05-25      | Fixed         | 3.50%                 | 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      | $220573.77    | 0.10%             | 2029-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                              | Dominican Republic Government Bond                                                    | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     250000 | PA      | $248575.00    | 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      | $143253.36    | 0.07%             | 2027-12-15      | Fixed         | 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      | $-8228.87     | -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      | $408327.10    | 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      | $501066.75    | 0.23%             | 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      | $70467.14     | 0.03%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1705000 | PA      | $40319.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     448300 | PA      | $-2052.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     104000 | PA      | $103725.77    | 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      | $104102.33    | 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      | $119363.39    | 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        |     109645 | PA      | $111274.97    | 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      | $307416.46    | 0.14%             | 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        |      97104 | PA      | $97067.97     | 0.05%             | 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      | $45803.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2                       | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296000 | PA      | $296790.29    | 0.14%             | 2041-12-25      | 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      | $17257.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2015-LC21, Class XA                                       | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4641012 | PA      | $60.80        | 0.00%             | 2048-07-10      | Variable      | 0.65%                 | 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      | $102819.72    | 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      | $805.61       | 0.00%             |  |  |  | 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      | $207520.00    | 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        |     392825 | PA      | $50645.70     | 0.02%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                                        | Arthur J Gallagher & Co.                                                              | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     125000 | PA      | $126623.69    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2024-186                                                                 | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3416670 | PA      | $528205.58    | 0.25%             | 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      | $427704.30    | 0.20%             | 2037-07-20      | Floating      | 5.73%                 | 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        |      13823 | PA      | $13920.84     | 0.01%             | 2042-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                           | Guatemala Government Bond                                                             | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |     200000 | PA      | $200353.16    | 0.09%             | 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      | $249732.03    | 0.12%             | 2037-07-25      | Floating      | 5.80%                 | 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      | $57.83        | 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      | $39021.01     | 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      | $710734.11    | 0.33%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                       | Australia Government Bond                                                             | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     220000 | PA      | $134172.29    | 0.06%             | 2037-04-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $487.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                    | Exelon Corp.                                                                          | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     383000 | PA      | $391719.39    | 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      | $76505.99     | 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        |     573000 | PA      | $524000.87    | 0.24%             | 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      | $250062.50    | 0.12%             | 2037-07-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   93000000 | PA      | $481253.33    | 0.22%             | 2047-03-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                                      | Province of Ontario Canada                                                            | CUSIP: 683234LJ5<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     970000 | PA      | $799184.03    | 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      | $1034935.71   | 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      | $14692.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      63000 | PA      | $60441.63     | 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      | $176600.83    | 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      | $393047.50    | 0.18%             | 2027-09-27      | Fixed         | 4.85%                 | 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      | $132738.86    | 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      | $188760.81    | 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      | $3091.27      | 0.00%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7832.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                                      | MSCI, Inc.                                                                            | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     357000 | PA      | $330198.37    | 0.15%             | 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      | $-947.68      | -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      | $282564.33    | 0.13%             | 2045-03-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     140000 | PA      | $138066.94    | 0.06%             | 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      | $-57964.62    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H26, Class DI                                                       | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     721747 | PA      | $34356.59     | 0.02%             | 2065-10-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| WestRock MWV LLC                                                                | WestRock MWV LLC                                                                      | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |     155000 | PA      | $177045.81    | 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      | $26994.26     | 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      | $583439.80    | 0.27%             | 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      | $183182.84    | 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      | $99370.63     | 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      | $100495.37    | 0.05%             | 2033-03-01      | Fixed         | 5.62%                 | 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      | $488901.61    | 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      | $177825.62    | 0.08%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                            | Bulgaria Government Bond                                                              | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     193000 | PA      | $129391.18    | 0.06%             | 2050-09-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $71189.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     379000 | PA      | $369310.73    | 0.17%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     263000 | PA      | $250348.79    | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     510000 | PA      | $2906.73      | 0.00%             |  |  |  | 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        |     690106 | PA      | $682480.02    | 0.32%             | 2055-07-25      | 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      | $-4694.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     108000 | PA      | $101312.83    | 0.05%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                              | Poland Government Bond                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |    1480000 | PA      | $408939.64    | 0.19%             | 2029-04-25      | 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      | $-1972.22     | -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      | $781.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                  | Broadcom, Inc.                                                                        | CUSIP: 11135FAN1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     600000 | PA      | $592601.03    | 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      | $90531.91     | 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      | $117781.67    | 0.05%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1                       | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44928 | PA      | $44878.62     | 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        |     157986 | PA      | $156462.59    | 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      | $49946.28     | 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      | $146913.59    | 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      | $672081.88    | 0.31%             | 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      | $5261.00      | 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      | $219355.62    | 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      | $752627.48    | 0.35%             | 2025-10-27      | Floating      | 5.22%                 | 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        |     134276 | PA      | $135501.53    | 0.06%             | 2043-11-25      | Floating      | 6.20%                 | 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      | $-2476.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                           | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     435000 | PA      | $431620.96    | 0.20%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1736029.40   | 0.81%             | 2055-05-25      | 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      | $-265285.43   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     191000 | PA      | $189760.82    | 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      | $97725.52     | 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      | $260449.30    | 0.12%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1662000 | PA      | $1039.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $103548.01    | 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      | $495.13       | 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        |     456932 | PA      | $452790.05    | 0.21%             | 2034-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WJG5<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     225000 | PA      | $225584.73    | 0.10%             | 2026-03-16      | 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      | $-624.50      | -0.00%            |  |  |  | No            |                  2 | 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        |     314977 | PA      | $316703.51    | 0.15%             | 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        |     324025 | PA      | $327684.63    | 0.15%             | 2063-04-25      | Fixed         | 6.84%                 | 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      | $3911.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     535000 | PA      | $543812.68    | 0.25%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   14187000 | PA      | $28263.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     286000 | PA      | $302633.47    | 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      | $19347.45     | 0.01%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1                       | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261320 | PA      | $263353.17    | 0.12%             | 2042-03-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     137000 | PA      | $120337.20    | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     217000 | PA      | $201060.51    | 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      | $181812.68    | 0.08%             | 2047-09-15      | Variable      | 4.70%                 | 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      | $30821.89     | 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      | $205826.17    | 0.10%             | 2029-07-01      | 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      | $105.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    8245000 | PA      | $51955.94     | 0.02%             |  |  |  | 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        |      67150 | PA      | $66860.66     | 0.03%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $78114.07     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      99000 | PA      | $96936.40     | 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      | $26362.48     | 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      | $-148.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1685000 | PA      | $129221.90    | 0.06%             |  |  |  | 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      | $206012.56    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 5 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         47 | NC      | $103108.27    | 0.05%             |  |  |  | No            |                  1 | 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      | $49432.76     | 0.02%             | 2047-02-10      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98642.51     | 0.05%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer