# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0001752724-23-048896
**Filing Date:** 2023-3
**Character Count:** 253579
**Document Hash:** 7b2233f0a1e0d39edbce41e48d8c62f5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048896.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048896

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07953
- **FILM NUMBER:** 23690537

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 787 TRUST
- **DATE OF NAME CHANGE:** 19961125

## Series and Classes Contracts Data

### EQ/PIMCO Total Return ESG Portfolio (Series ID: S000062647)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000203174 | Class IB     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EQ Advisors Trust

- **b. Investment Company Act file number:** 811-07953

- **c. CIK number of Registrant:** 0001027263

- **d. LEI of Registrant:** 549300Q691FLN6WHB832

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

  - **Street Address 1:** 1290 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10104

  - **Telephone number:** 212-554-1234

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

- **a. Name of Series:** EQ/PIMCO Total Return ESG Portfolio

- **b. EDGAR series identifier (if any):** S000062647

- **c. LEI of Series:** 549300NBLWYBHQJNZR73

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

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

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $355556005.95

**Total Liabilities:** $94664674.49

**Net Assets:** $260891331.46

**Cash Not Reported:** $2396597.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 49186.79000000 | **1-Year:** 3639.49000000 | **5-Year:** 17771.50000000 | **10-Year:** 27133.98000000 | **30-Year:** 23838.57000000

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

- **3-Month:** 6.20000000 | **1-Year:** 150.33000000 | **5-Year:** 701.86000000 | **10-Year:** 3601.82000000 | **30-Year:** 1503.49000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203174 | -1.74%               | 3.75%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4682082.23             | $-826521.20                                |
| Month 2  | $244898.60               | $9419922.12                                |
| Month 3  | $-434403.01              | $-3704.50                                  |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                                    | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20090 | PA      | $12371.16     | 0.00%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                           | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $351710.96    | 0.13%             | 2034-05-10      | Fixed         | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2009-7, Class 5A2                                                | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54418 | PA      | $29830.48     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Japan International Cooperation Agency                                       | Japan International Cooperation Agency                                                                 | CUSIP: 47109LAB0<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    600000 | PA      | $556390.14    | 0.21%             | 2027-04-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Xylem, Inc.                                                                  | Xylem, Inc.                                                                                            | CUSIP: 98419MAM2<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1120033.59   | 0.43%             | 2028-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XV Ltd.                                                      | Sound Point CLO XV Ltd., Series 2017-1A, Class ARR                                                     | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    597377 | PA      | $589727.67    | 0.23%             | 2029-01-23      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  15100000 | PA      | $121124.36    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF Trust                                                                    | FHF Trust, Series 2020-1A, Class B                                                                     | CUSIP: 30260YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585153 | PA      | $579838.82    | 0.22%             | 2025-09-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                                     | BX Trust, Series 2021-ARIA, Class A                                                                    | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $856165.50    | 0.33%             | 2036-10-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                                 | SG Mortgage Securities Trust, Series 2006-FRE1, Class A2C                                              | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67523 | PA      | $32660.48     | 0.01%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| STARM Mortgage Loan Trust                                                    | STARM Mortgage Loan Trust, Series 2007-1, Class 2A1                                                    | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27125 | PA      | $23427.05     | 0.01%             | 2037-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1788844.02   | 0.69%             | 2032-07-15      | Fixed         | 0.62%                 | 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      | $15004.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-3, Class M2                                         | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $759216.40    | 0.29%             | 2036-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                          | MASTR Asset-Backed Securities Trust, Series 2006-FRE2, Class A5                                        | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160910 | PA      | $104776.99    | 0.04%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-30450.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                                 | VMware, Inc.                                                                                           | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    500000 | PA      | $468321.90    | 0.18%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                                                          | Highwoods Realty LP                                                                                    | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90243.74     | 0.03%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1474352.38   | 0.57%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6069148 | PA      | $5993468.52   | 2.30%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4                                          | CUSIP: 17307GRE0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      5791 | PA      | $5523.87      | 0.00%             | 2035-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                              | Lloyds Bank plc                                                                                        | CUSIP: N/A<br>LEI: H7FNTJ4851HG0EXQ1Z70       | Long             | DBT              | CORP              | GB        |    600000 | PA      | $364038.00    | 0.14%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1                                                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5844 | PA      | $5157.21      | 0.00%             | 2035-11-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2005-EMX5, Class A3                                                                 | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107326 | PA      | $96005.37     | 0.04%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                               | BNP Paribas SA                                                                                         | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    700000 | PA      | $692830.46    | 0.27%             | 2025-01-10      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                                  | Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1                                 | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       475 | PA      | $449.84       | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                          | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 1A1                          | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3430 | PA      | $3215.74      | 0.00%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO X Ltd.                                                      | Marble Point CLO X Ltd., Series 2017-1A, Class AR                                                      | CUSIP: 566061AL1<br>LEI: 549300PJ1FVY9B16K017 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $783864.00    | 0.30%             | 2030-10-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                      | Mosaic Solar Loan Trust, Series 2022-1A, Class A                                                       | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361041 | PA      | $1130961.58   | 0.43%             | 2053-01-20      | Fixed         | 2.64%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse AG                                                             | Credit Suisse AG                                                                                       | CUSIP: N/A<br>LEI: ANGGYXNX0JLX3X63JN86       | Long             | DBT              | CORP              | CH        |    200000 | PA      | $193500.00    | 0.07%             | 2023-08-08      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                     | Benchmark Mortgage Trust, Series 2019-B9, Class A5                                                     | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $756392.96    | 0.29%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |  57000000 | PA      | $3545969.12   | 1.36%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-111848.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1119262.38   | 0.43%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                       | Standard Chartered plc                                                                                 | CUSIP: 853254CB4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $282175.86    | 0.11%             | 2025-03-23      | Variable      | 1.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140JAJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12270 | PA      | $11374.81     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-3, Class 1A1                                                       | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8655 | PA      | $7580.75      | 0.00%             | 2034-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1                                       | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91185 | PA      | $86751.63     | 0.03%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                          | Newcastle Mortgage Securities Trust, Series 2006-1, Class M5                                           | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $838777.95    | 0.32%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                                    | Bank of Ireland Group plc                                                                              | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1400000 | PA      | $1390026.96   | 0.53%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                        | NextEra Energy Capital Holdings, Inc.                                                                  | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1797684.42   | 0.69%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                            | ONEOK Partners LP                                                                                      | CUSIP: 68268NAD5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    800000 | PA      | $814272.88    | 0.31%             | 2037-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2000000 | PA      | $174520.44    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-1, Class 12A5                                                      | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9331 | PA      | $8550.92      | 0.00%             | 2034-04-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                       | Realkredit Danmark A/S, Series 23S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |   2046872 | PA      | $225935.68    | 0.09%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798824.00    | 0.31%             | 2025-12-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 2266, Class F                                                                            | CUSIP: 3133TQFM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.03         | 0.00%             | 2030-11-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $114993.47    | 0.04%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $193684.70    | 0.07%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| City of Chicago IL                                                           | City Of Chicago General Obligation Bonds, Taxable Series 2015 B                                        | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     50000 | PA      | $50819.20     | 0.02%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $828900.00    | 0.32%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: —       |
| BRSP Ltd.                                                                    | BRSP Ltd., Series 2021-FL1, Class A                                                                    | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $771326.24    | 0.30%             | 2038-08-19      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class B                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    100000 | PA      | $118059.17    | 0.05%             | 2049-12-21      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                                                     | MF1 Ltd., Series 2020-FL4, Class A                                                                     | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    579301 | PA      | $567778.04    | 0.22%             | 2035-11-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A                                              | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6673 | PA      | $5910.45      | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1                            | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3094 | PA      | $2846.84      | 0.00%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3131Y9ZL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19936 | PA      | $18501.22     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  29000000 | PA      | $20342.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Province of Quebec Canada                                                    | Province of Quebec                                                                                     | CUSIP: 74814ZES8<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    200000 | PA      | $146371.86    | 0.06%             | 2024-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New York State Urban Development Corp.                                       | New York State Urban Development Corp.                                                                 | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    800000 | PA      | $717821.84    | 0.28%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR16, Class 3A3                             | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12753 | PA      | $10845.61     | 0.00%             | 2036-12-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan LLC Trust                                             | Wachovia Mortgage Loan LLC Trust, Series 2006-A, Class 2A1                                             | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9485 | PA      | $8909.02      | 0.00%             | 2036-05-20      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA ACES, Series 2020-M33, Class X2                                                                   | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1866854 | PA      | $178276.00    | 0.07%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2007-AA2, Class 12A1                                                            | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59046 | PA      | $52894.03     | 0.02%             | 2047-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                        | Parker-Hannifin Corp.                                                                                  | CUSIP: 70109MNK6<br>LEI: 5493002CONDB4N2HKI23 | Long             | STIV             | CORP              | US        |    500000 | PA      | $498753.89    | 0.19%             | 2023-01-19      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Greenko Power II Ltd.                                                        | Greenko Power II Ltd.                                                                                  | CUSIP: N/A<br>LEI: 254900YYA4B6O2O4JM12       | Long             | DBT              | CORP              | MU        |    573000 | PA      | $478455.00    | 0.18%             | 2028-12-13      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                              | Santander UK Group Holdings plc                                                                        | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $541320.22    | 0.21%             | 2032-03-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $902278.58    | 0.35%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128P7LZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14769 | PA      | $14713.41     | 0.01%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Notes                                                                                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $462388.20    | 0.18%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-53169.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2800000 | PA      | $-33771.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Beast Mortgage Trust                                                         | Beast Mortgage Trust, Series 2021-SSCP, Class A                                                        | CUSIP: 05601PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $479084.75    | 0.18%             | 2036-04-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| OZLM IX Ltd.                                                                 | OZLM IX Ltd., Series 2014-9A, Class A1A3                                                               | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $878481.90    | 0.34%             | 2031-10-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| RAMP Trust                                                                   | RAMP Trust, Series 2005-RS4, Class M5                                                                  | CUSIP: 76112BPF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101065 | PA      | $99685.82     | 0.04%             | 2035-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                              | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1                                              | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    674504 | PA      | $665838.95    | 0.26%             | 2029-10-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $943.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                    | Duke Energy Carolinas LLC                                                                              | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1863762.56   | 0.71%             | 2032-03-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                                       | Home Equity Loan Trust, Series 2007-FRE1, Class 2AV3                                                   | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307920 | PA      | $289471.03    | 0.11%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                          | Public Service Electric & Gas Co.                                                                      | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1310377.35   | 0.50%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    700000 | PA      | $37725.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A                                         | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52319 | PA      | $43274.44     | 0.02%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Notes                                                                                    | CUSIP: 9128285D8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24200000 | PA      | $23896328.72  | 9.16%             | 2023-09-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                                | UniCredit SpA                                                                                          | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    900000 | PA      | $908683.20    | 0.35%             | 2023-12-04      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 1A2                               | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157766 | PA      | $149880.82    | 0.06%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                       | Boardwalk Pipelines LP                                                                                 | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    600000 | PA      | $501012.72    | 0.19%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS12, Class 1A1                                                                | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156624 | PA      | $73620.30     | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                | NYO Commercial Mortgage Trust, Series 2021-1290, Class A                                               | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $363546.20    | 0.14%             | 2038-11-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                               | EPR Properties                                                                                         | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    700000 | PA      | $548603.86    | 0.21%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Central Japan Railway Co.                                                    | Central Japan Railway Co.                                                                              | CUSIP: N/A<br>LEI: 353800YAR3OVUITHTG64       | Long             | DBT              | CORP              | JP        |    600000 | PA      | $592355.76    | 0.23%             | 2023-09-06      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                               | Morgan Stanley Capital I Trust, Series 2020-CNP, Class A                                               | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $606447.84    | 0.23%             | 2042-04-05      | Variable      | 2.43%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                    | Commercial Mortgage Trust, Series 2021-2400, Class A                                                   | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $736666.08    | 0.28%             | 2038-12-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2013-1, Class A                                           | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261891 | PA      | $223413.33    | 0.09%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                              | BlueMountain Fuji Eur CLO V DAC, Series 5A, Class A                                                    | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $719771.01    | 0.28%             | 2033-01-15      | Floating      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2500000 | PA      | $-18855.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hanwha Life Insurance Co. Ltd.                                               | Hanwha Life Insurance Co. Ltd.                                                                         | CUSIP: 41135UAB1<br>LEI: 988400ZKCI3R9DQHR320 | Long             | DBT              | CORP              | KR        |    800000 | PA      | $660400.00    | 0.25%             | 2032-02-04      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                        | Countrywide Asset-Backed Certificates, Series 2004-2, Class M1                                         | CUSIP: 1266713Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10949 | PA      | $10846.79     | 0.00%             | 2034-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4564.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS TRUST                                                                 | C-Bass Trust, Series 2006-CB9, Class A1                                                                | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11666 | PA      | $5322.25      | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-13111.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    168000 | PA      | $2025.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H18, Class FB                                                                        | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356567 | PA      | $351396.97    | 0.13%             | 2065-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                        | Bank of America Corp.                                                                                  | CUSIP: 06051GJG5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2676194.53   | 1.03%             | 2025-09-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-118, Class A1                                                                        | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3129 | PA      | $3108.41      | 0.00%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                       | Residential Asset Securitization Trust, Series 2005-A11, Class 1A1                                     | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38378 | PA      | $23537.30     | 0.01%             | 2035-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| LCCM Trust                                                                   | LCCM Trust, Series 2021-FL3, Class A                                                                   | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $763375.52    | 0.29%             | 2038-11-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1959.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                    | Commercial Mortgage Trust, Series 2018-COR3, Class A3                                                  | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $662093.11    | 0.25%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -15100000 | PA      | $-76519.86    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                             | Ventas Realty LP                                                                                       | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $184930.22    | 0.07%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2005-D, Class A1                                                 | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6070 | PA      | $5693.58      | 0.00%             | 2035-05-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                     | Cooperatieve Rabobank UA                                                                               | CUSIP: 74977RDJ0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2300000 | PA      | $2033675.41   | 0.78%             | 2026-09-24      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                                 | Fiserv, Inc.                                                                                           | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | STIV             | CORP              | US        |    500000 | PA      | $499360.70    | 0.19%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                             | TRTX Issuer Ltd., Series 2019-FL3, Class A                                                             | CUSIP: 87276VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    142430 | PA      | $142429.65    | 0.05%             | 2034-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    600000 | PA      | $-20083.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3350000 | PA      | $-410243.74   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6600000 | PA      | $6621398.52   | 2.54%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Orleans Hotel Trust                                                      | New Orleans Hotel Trust, Series 2019-HNLA, Class A                                                     | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $469354.05    | 0.18%             | 2032-04-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2500000 | PA      | $-1631.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Stifel Financial Corp.                                                       | Stifel Financial Corp.                                                                                 | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |    900000 | PA      | $780574.14    | 0.30%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $490057.20    | 0.19%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                 | Oracle Corp.                                                                                           | CUSIP: 6840C3NS8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    500000 | PA      | $498271.25    | 0.19%             | 2023-01-26      | 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      | $-751.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                   | GSAA Trust, Series 2006-7, Class AF2                                                                   | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253807 | PA      | $97819.16     | 0.04%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                    | Ford Motor Credit Co. LLC                                                                              | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $690375.00    | 0.26%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Trust                                             | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A                                             | CUSIP: 88327HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324032 | PA      | $316253.19    | 0.12%             | 2034-11-11      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                        | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Class A3                      | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175502 | PA      | $169417.66    | 0.06%             | 2037-05-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                    | Sunrun Demeter Issuer LLC, Series 2021-2A, Class A                                                     | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    761187 | PA      | $595567.43    | 0.23%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    900000 | PA      | $59289.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                           | Crown Castle, Inc.                                                                                     | CUSIP: 22823QN56<br>LEI: 54930012H97VSM0I2R19 | Long             | STIV             | CORP              | US        |    500000 | PA      | $499594.92    | 0.19%             | 2023-01-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                          | STWD Mortgage Trust, Series 2021-LIH, Class A                                                          | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1200000 | PA      | $1156538.28   | 0.44%             | 2036-11-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance I UK plc                                                  | Brookfield Finance I UK plc                                                                            | CUSIP: 11272BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    700000 | PA      | $536132.80    | 0.21%             | 2032-01-30      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Corsair International Ltd.                                                   | Corsair International Ltd.                                                                             | CUSIP: N/A<br>LEI: 213800F3PS68ENYG4O41       | Long             | DBT              | CORP              | JE        |    700000 | PA      | $738075.28    | 0.28%             | 2029-01-28      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                         | American Tower Corp.                                                                                   | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $779272.16    | 0.30%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                              | Eurosail-UK plc, Series 2007-2X, Class A3C                                                             | CUSIP: N/A<br>LEI: 213800NEJVUXH4MS6Y78       | Long             | ABS-MBS          | CORP              | GB        |     16967 | PA      | $20107.05     | 0.01%             | 2045-03-13      | Floating      | 3.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    600000 | PA      | $21264.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 31334XML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40652 | PA      | $37865.53     | 0.01%             | 2049-07-01      | 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      | $27649.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-12, Class 2A12                                             | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56997 | PA      | $37646.42     | 0.01%             | 2035-10-19      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                 | Oracle Corp.                                                                                           | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    500000 | PA      | $498204.50    | 0.19%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                                    | Mid-America Apartments LP                                                                              | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $344449.04    | 0.13%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Greenko Power II Ltd.                                                        | Greenko Power II Ltd.                                                                                  | CUSIP: 39530MAA6<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |    382000 | PA      | $318970.00    | 0.12%             | 2028-12-13      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                 | Chase Mortgage Finance Trust, Series 2005-A2, Class 3A5                                                | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37025 | PA      | $31288.68     | 0.01%             | 2036-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                        | Bank of America Corp.                                                                                  | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198229.10    | 0.08%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                          | MASTR Asset-Backed Securities Trust, Series 2006-FRE1, Class A4                                        | CUSIP: 57643LPP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26436 | PA      | $26262.16     | 0.01%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Notes                                                                                    | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9714891.00   | 3.72%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust                                                      | Argent Securities Trust, Series 2006-W2, Class A2B                                                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218143 | PA      | $113627.61    | 0.04%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2004-CL1, Class 1A2                                                       | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       994 | PA      | $974.31       | 0.00%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  19000000 | PA      | $13717.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-14, Class 4A1A                                             | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67759 | PA      | $36404.96     | 0.01%             | 2035-12-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                       | Credit Suisse Group AG                                                                                 | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $233540.85    | 0.09%             | 2031-04-01      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| RAAC Trust                                                                   | RAAC Trust, Series 2006-SP2, Class M1                                                                  | CUSIP: 74919PAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35122 | PA      | $35099.74     | 0.01%             | 2036-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-37959.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2011-RR5, Class 12A1                                                            | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14446 | PA      | $14010.18     | 0.01%             | 2037-03-26      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46364 | PA      | $47513.07     | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                  | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A                                  | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376516 | PA      | $366404.68    | 0.14%             | 2036-07-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20600 | PA      | $19136.45     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                            | NTT Finance Corp.                                                                                      | CUSIP: 62954WAJ4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $394081.28    | 0.15%             | 2025-07-25      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 1529, Class Z                                                                            | CUSIP: 312916LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $180.09       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Choice Hotels International, Inc.                                            | Choice Hotels International, Inc.                                                                      | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $609388.71    | 0.23%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  85000000 | PA      | $58057.58     | 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      | $-120101.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                           | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB                         | CUSIP: 61690AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166820 | PA      | $162553.32    | 0.06%             | 2047-12-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2005-79, Class NF                                                                         | CUSIP: 31394FHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5423 | PA      | $5331.24      | 0.00%             | 2035-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -15100000 | PA      | $-43984.30    | -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      | $12783.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 10 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        54 | NC      | $-14417.73    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -8000000 | PA      | $-39802.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                         | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class A                      | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $765033.60    | 0.29%             | 2038-11-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Manulife Financial Corp.                                                     | Manulife Financial Corp.                                                                               | CUSIP: 56501RAN6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |   1100000 | PA      | $979155.10    | 0.38%             | 2032-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2317917 | PA      | $8054.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24373 | PA      | $25197.50     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                          | American Home Mortgage Assets Trust, Series 2006-5                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    476974 | PA      | $80002.86     | 0.03%             | 2036-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DMG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15368 | PA      | $14266.33     | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                            | CIFC Funding Ltd., Series 2017-1A, Class AR                                                            | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |    749917 | PA      | $742459.49    | 0.28%             | 2029-04-23      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class M1                                       | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140231 | PA      | $132427.00    | 0.05%             | 2035-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                | Enel Finance International NV                                                                          | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $632513.77    | 0.24%             | 2032-06-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2021-FL2, Class A                                                                    | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $772714.32    | 0.30%             | 2038-04-18      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class A                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    539556 | PA      | $640795.79    | 0.25%             | 2049-12-21      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22275 | PA      | $20685.37     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                 | ING Groep NV                                                                                           | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    300000 | PA      | $231015.00    | 0.09%             | 2029-05-16      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                         | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                                         | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785996 | PA      | $749549.18    | 0.29%             | 2036-11-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1376222.36   | 0.53%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -500000 | PA      | $-1119.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite XVIII Ltd.                                                         | Magnetite XVIII Ltd., Series 2016-18A, Class AR2                                                       | CUSIP: 55953TAS6<br>LEI: 549300BDVLRWS2SODX97 | Long             | ABS-CBDO         | CORP              | KY        |    771806 | PA      | $762201.79    | 0.29%             | 2028-11-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1                                                 | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73999 | PA      | $22363.18     | 0.01%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 188680000 | PA      | $209886.72    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Alba plc                                                                     | Alba plc, Series 2007-1, Class A3                                                                      | CUSIP: N/A<br>LEI: 2138008XOOHJFP498784       | Long             | ABS-MBS          | CORP              | GB        |    288834 | PA      | $326547.80    | 0.13%             | 2039-03-17      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-202519.76   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1                                               | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26625 | PA      | $19375.90     | 0.01%             | 2035-07-19      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42163 | PA      | $42378.59     | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $487110.24    | 0.19%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2015-58, Class AI                                                                         | CUSIP: 3136APU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211878 | PA      | $6309.18      | 0.00%             | 2055-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138EPLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41055 | PA      | $40749.70     | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2005-QA13, Class 2A1                                                                | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8426 | PA      | $6689.63      | 0.00%             | 2035-12-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2315096 | PA      | $8612.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L                                                   | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53145 | PA      | $39946.77     | 0.02%             | 2036-10-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                                         | Physicians Realty LP                                                                                   | CUSIP: 71951QAA0<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94449.96     | 0.04%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                       | Merrill Lynch Mortgage Investors Trust, Series 2005-1, Class 2A5                                       | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38310 | PA      | $33554.75     | 0.01%             | 2035-04-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                 | Sabine Pass Liquefaction LLC                                                                           | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94068.93     | 0.04%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                        | Nissan Motor Co. Ltd.                                                                                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $680866.88    | 0.26%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                         | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   3478900 | PA      | $362853.06    | 0.14%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR16, Class A1                               | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389352 | PA      | $357016.49    | 0.14%             | 2036-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2006-3, Class 2A3                                               | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1183463 | PA      | $604349.61    | 0.23%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2007-2, Class 1A2                                                | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61438 | PA      | $49605.85     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ares XL CLO Ltd.                                                             | Ares XL CLO Ltd., Series 2016-40A, Class A1RR                                                          | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    646314 | PA      | $638205.17    | 0.24%             | 2029-01-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-8, Class 2A1                                                       | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4154 | PA      | $3889.55      | 0.00%             | 2034-01-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                           | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                            | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    588552 | PA      | $503868.24    | 0.19%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1                                                    | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25144 | PA      | $23813.60     | 0.01%             | 2034-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Greenko Solar Mauritius Ltd.                                                 | Greenko Solar Mauritius Ltd.                                                                           | CUSIP: 39530VAB4<br>LEI: 2138007S1PL541B3KP92 | Long             | DBT              | CORP              | MU        |    500000 | PA      | $453125.00    | 0.17%             | 2026-07-29      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2016-3, Class A                                           | CUSIP: 023771S25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144282 | PA      | $108423.99    | 0.04%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11000000 | PA      | $6891.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2436.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE INSURANCE COMPANY                                          | Treasury Repurchase Agreement                                                                          | CUSIP: N/A<br>LEI: 549300H7EXFMRS487544       | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 6 Ltd.                                                 | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR                                                | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    999939 | PA      | $987190.24    | 0.38%             | 2030-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $9438.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                       | Standard Chartered plc                                                                                 | CUSIP: 853254CF5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $777252.28    | 0.30%             | 2025-11-23      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2005-HYB9, Class 3A2A                                          | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2623 | PA      | $2163.42      | 0.00%             | 2036-02-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Japan Finance Organization for Municipalities                                | Japan Finance Organization for Municipalities                                                          | CUSIP: 471068AN6<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   1100000 | PA      | $1084598.02   | 0.42%             | 2023-09-27      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296510.79    | 0.11%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CLNC Ltd.                                                                    | CLNC Ltd., Series 2019-FL1, Class A                                                                    | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    252630 | PA      | $246367.07    | 0.09%             | 2035-08-20      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39242 | PA      | $39702.74     | 0.02%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR9, Class 2A1                                           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185647 | PA      | $120360.38    | 0.05%             | 2036-06-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust Asset-Backed Certificates                     | Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-4, Class M2                      | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386241 | PA      | $361501.97    | 0.14%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138ERDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23909 | PA      | $23813.68     | 0.01%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $668681.60    | 0.26%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BHJQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293651 | PA      | $283576.44    | 0.11%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                          | Carlyle US CLO Ltd., Series 2017-1A, Class A1R                                                         | CUSIP: 14314BAL1<br>LEI: 549300VZ0HS3D307K776 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $784788.80    | 0.30%             | 2031-04-20      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| GSAMP Trust                                                                  | GSAMP Trust, Series 2006-NC2, Class A2B                                                                | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123977 | PA      | $66117.92     | 0.03%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                                 | Goodman US Finance Three LLC                                                                           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $451404.60    | 0.17%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-22, Class A3                                              | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17524 | PA      | $15753.43     | 0.01%             | 2034-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2022-FL3, Class A                                                                    | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $766262.88    | 0.29%             | 2038-11-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-45T1, Class 1A16                                                   | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230132 | PA      | $122831.04    | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saranac CLO VI Ltd.                                                          | Saranac CLO VI Ltd., Series 2018-6A, Class A1R                                                         | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |    800000 | PA      | $782548.00    | 0.30%             | 2031-08-13      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                         | Ready Capital Mortgage Financing LLC, Series 2022-FL10, Class A                                        | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599148 | PA      | $595844.86    | 0.23%             | 2039-10-25      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-21, Class 2A4                                       | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258633 | PA      | $240547.98    | 0.09%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PayPal Holdings, Inc.                                                        | PayPal Holdings, Inc.                                                                                  | CUSIP: 70450YAE3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    700000 | PA      | $611173.15    | 0.23%             | 2029-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1                                             | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169445 | PA      | $151585.31    | 0.06%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Stratus CLO Ltd.                                                             | Stratus CLO Ltd., Series 2021-2A, Class A                                                              | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    711947 | PA      | $703340.98    | 0.27%             | 2029-12-28      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                   | Bear Stearns Asset-Backed Securities Trust, Series 2005-HE2, Class M2                                  | CUSIP: 073879RA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108521 | PA      | $107050.42    | 0.04%             | 2035-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2006-WF2, Class A1                                               | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115769 | PA      | $62307.41     | 0.02%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Trust                                         | JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5                                        | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41446 | PA      | $39717.19     | 0.02%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $605516.32    | 0.23%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                                               | Corporate Office Properties LP                                                                         | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    800000 | PA      | $703704.40    | 0.27%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-R9, Class M1 | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141110 | PA      | $135697.93    | 0.05%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10764.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                        | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5                                       | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $761210.56    | 0.29%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class 1A1A                             | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213675 | PA      | $192780.52    | 0.07%             | 2045-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    300000 | PA      | $10511.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-8, Class 2A1                                                       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24235 | PA      | $23036.37     | 0.01%             | 2034-11-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    900000 | PA      | $754668.99    | 0.29%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Japan                                                                        | Japan Treasury Discount Bills                                                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | STIV             | NUSS              | JP        | 230000000 | PA      | $1751754.59   | 0.67%             | 2023-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                                                   | JetBlue Pass-Through Trust, Series 2020-1, Class A                                                     | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782213 | PA      | $684691.92    | 0.26%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCM XV LP                                                                    | LCM XV LP, Series 15A, Class AR2                                                                       | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    770531 | PA      | $758852.55    | 0.29%             | 2030-07-20      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H19, Class FK                                                                        | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249920 | PA      | $245892.17    | 0.09%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-24, Class 1A                                        | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737871 | PA      | $637254.87    | 0.24%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                                      | EMC Mortgage Loan Trust, Series 2001-A, Class A                                                        | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3049 | PA      | $2987.17      | 0.00%             | 2040-05-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                         | Charter Communications Operating LLC                                                                   | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $642000.00    | 0.25%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6600000 | PA      | $-261857.87   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                                                       | AP Moller - Maersk A/S                                                                                 | CUSIP: 00203QAE7<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    700000 | PA      | $662094.30    | 0.25%             | 2029-06-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK plc                                                              | Eurosail-UK plc, Series 2007-1X, Class A3C                                                             | CUSIP: N/A<br>LEI: 213800HEU63KH3XHB844       | Long             | ABS-MBS          | CORP              | GB        |     32871 | PA      | $39429.81     | 0.02%             | 2045-03-13      | Floating      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    752000 | PA      | $600387.40    | 0.23%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $646540.24    | 0.25%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $78460.79     | 0.03%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                              | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D                                              | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103673 | PA      | $36147.06     | 0.01%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                         | 522 Funding CLO Ltd., Series 2018-3A, Class AR                                                         | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $881002.80    | 0.34%             | 2031-10-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  19000000 | PA      | $13506.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                               | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A                             | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32987 | PA      | $25046.93     | 0.01%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                              | Danske Bank A/S                                                                                        | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1000000 | PA      | $878937.60    | 0.34%             | 2026-09-11      | Variable      | 1.62%                 | Yes           |                  2 | On Loan: No      |
| DC Office Trust                                                              | DC Office Trust, Series 2019-MTC, Class A                                                              | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1068643.68   | 0.41%             | 2045-09-15      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $-6362.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2005-32T1, Class A3                                                     | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103577 | PA      | $55772.22     | 0.02%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 22A1                                                     | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749 | PA      | $3220.78      | 0.00%             | 2035-01-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                           | Banco Santander SA                                                                                     | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    700000 | PA      | $655211.90    | 0.25%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -600000 | PA      | $-1540.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YBG3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $897652.80    | 0.34%             | 2024-07-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $-216693.40   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $9167183.20   | 3.51%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  12000000 | PA      | $7857.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                  | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1                                                 | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    606701 | PA      | $602979.74    | 0.23%             | 2059-10-25      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Euro-OAT                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -3 | NC      | $28433.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Global Payments, Inc.                                                        | Global Payments, Inc.                                                                                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    700000 | PA      | $576476.46    | 0.22%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                               | Morgan Stanley Capital I Trust, Series 2021-230P, Class A                                              | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $764196.88    | 0.29%             | 2023-12-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1270.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                  | RFMSI Trust, Series 2007-S6, Class 1A11                                                                | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50718 | PA      | $37596.50     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2255597 | PA      | $1987576.42   | 0.76%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                                          | Expedia Group, Inc.                                                                                    | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $425809.20    | 0.16%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2000000 | PA      | $681.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2006-CL1, Class A1                                                        | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27420 | PA      | $27041.07     | 0.01%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ripon Mortgages plc                                                          | Ripon Mortgages plc, Series 1RA, Class A                                                               | CUSIP: N/A<br>LEI: 213800MQYZ3GZ4HK1I88       | Long             | ABS-MBS          | CORP              | GB        |   2066749 | PA      | $2457462.04   | 0.94%             | 2056-08-28      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Business Mortgage Finance 7 plc                                              | Business Mortgage Finance 7 plc, Series 7X, Class A1                                                   | CUSIP: N/A<br>LEI: 6354003XKCGEIVFGHI58       | Long             | ABS-MBS          | CORP              | GB        |     16591 | PA      | $19965.00     | 0.01%             | 2041-02-15      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-102577.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  18000000 | PA      | $19190.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS13, Class 1A10                                                               | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11353 | PA      | $8718.02      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $160780.37    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                              | Lehman XS Trust, Series 2006-8, Class 2A1                                                              | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19319 | PA      | $19275.12     | 0.01%             | 2036-06-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                           | Tricolor Auto Securitization Trust, Series 2022-1A, Class A                                            | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409985 | PA      | $406413.27    | 0.16%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4637495 | PA      | $15780.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                         | FS Rialto Issuer LLC, Series 2022-FL4, Class A                                                         | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $859645.53    | 0.33%             | 2039-01-19      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                             | CVS Health Corp.                                                                                       | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    900000 | PA      | $716679.90    | 0.27%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                          | Realty Income Corp.                                                                                    | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198189.26    | 0.08%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                        | Alexandria Real Estate Equities, Inc.                                                                  | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189963.80    | 0.07%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                            | Republic of Chile                                                                                      | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   1600000 | PA      | $1347800.00   | 0.52%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: —       |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                                               | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2261 | PA      | $2080.59      | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $579400.74    | 0.22%             | 2026-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A                                    | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858480 | PA      | $693881.91    | 0.27%             | 2049-04-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                                    | FHF Trust, Series 2022-1A, Class A                                                                     | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1078718 | PA      | $1051029.10   | 0.40%             | 2028-01-18      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Trust                                                        | Worldwide Plaza Trust, Series 2017-WWP, Class A                                                        | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $756178.47    | 0.29%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                         | American Tower Corp.                                                                                   | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $309481.36    | 0.12%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1                                     | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3319 | PA      | $3330.63      | 0.00%             | 2045-02-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $813.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1                                | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28195 | PA      | $20056.10     | 0.01%             | 2046-12-26      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5607.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                        | Bank of America Corp.                                                                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $618069.18    | 0.24%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                  | Extended Stay America Trust, Series 2021-ESH, Class A                                                  | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780954 | PA      | $758602.41    | 0.29%             | 2038-07-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $845930.91    | 0.32%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A8MD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31738 | PA      | $28943.17     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSPA Monetization Trust                                                      | GSPA Monetization Trust                                                                                | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247013 | PA      | $237175.90    | 0.09%             | 2029-10-09      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                          | First Horizon Alternative Mortgage Securities Trust, Series 2005-AA6, Class 3A1                        | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35443 | PA      | $30331.90     | 0.01%             | 2035-08-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-73, Class A1                                                                         | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8566 | PA      | $8388.06      | 0.00%             | 2037-07-25      | Floating      | 3.82%                 | 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      | $-875.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-5, Class 1A1                                               | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355456 | PA      | $208878.65    | 0.08%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                              | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25701 | PA      | $22823.10     | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Euro-BTP                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -25 | NC      | $215604.12    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Galaxy XV CLO Ltd.                                                           | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR                                                         | CUSIP: 36318WAK6<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $884778.30    | 0.34%             | 2030-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                                 | Barclays plc                                                                                           | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $535632.86    | 0.21%             | 2032-03-10      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21900000 | PA      | $19951241.64  | 7.65%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nexi SpA                                                                     | Nexi SpA                                                                                               | CUSIP: N/A<br>LEI: 5493000P70CQRQG8SN85       | Long             | DBT              | CORP              | IT        |    300000 | PA      | $259573.68    | 0.10%             | 2029-04-30      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: —       |
| FORT CRE Issuer LLC                                                          | FORT CRE Issuer LLC, Series 2022-FL3, Class A                                                          | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $781191.52    | 0.30%             | 2039-02-23      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    300000 | PA      | $18788.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Stonepeak ABS                                                                | Stonepeak ABS, Series 2021-1A, Class AA                                                                | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    674402 | PA      | $599945.47    | 0.23%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                       | Standard Chartered plc                                                                                 | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $677166.84    | 0.26%             | 2025-05-21      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                           | Renaissance Home Equity Loan Trust, Series 2006-4, Class AF2                                           | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544629 | PA      | $189488.53    | 0.07%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-16313.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                             | Lazard Group LLC                                                                                       | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    700000 | PA      | $652803.20    | 0.25%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| GNR                                                                          | GNR                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    300000 | PA      | $300293.24    | 0.12%             | 2073-01-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Sound Point CLO XII Ltd.                                                     | Sound Point CLO XII Ltd., Series 2016-2A, Class AR2                                                    | CUSIP: 83610CAW1<br>LEI: 549300EBWPUX52MGF160 | Long             | ABS-CBDO         | CORP              | KY        |    544875 | PA      | $539866.32    | 0.21%             | 2028-10-20      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| University of Michigan                                                       | University of Michigan                                                                                 | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    900000 | PA      | $700893.18    | 0.27%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                | Enel Finance International NV                                                                          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2500000 | PA      | $1983999.50   | 0.76%             | 2028-07-12      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3350000 | PA      | $-412486.07   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13200000 | PA      | $10945313.28  | 4.20%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                             | Hilton USA Trust, Series 2016-SFP, Class A                                                             | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $556815.06    | 0.21%             | 2035-11-05      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| MortgageIT Trust                                                             | MortgageIT Trust, Series 2005-5, Class A2                                                              | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31263 | PA      | $29321.14     | 0.01%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC                                                      | Sprint Spectrum Co. LLC                                                                                | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $394735.36    | 0.15%             | 2028-03-20      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Crestline Denali CLO XV Ltd.                                                 | Crestline Denali CLO XV Ltd., Series 2017-1A, Class AR                                                 | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |    903171 | PA      | $890277.48    | 0.34%             | 2030-04-20      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Kilroy Realty LP                                                             | Kilroy Realty LP                                                                                       | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2433509.88   | 0.93%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                                   | DOLP Trust, Series 2021-NYC, Class A                                                                   | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $799559.10    | 0.31%             | 2041-05-10      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3654.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  70000000 | PA      | $65231.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H14, Class FA                                                                        | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144036 | PA      | $142594.31    | 0.05%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-3, Class 3A1                                          | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184210 | PA      | $150628.38    | 0.06%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1266624 | PA      | $1272319.07   | 0.49%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66676 | PA      | $61867.21     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Accor SA                                                                     | Accor SA                                                                                               | CUSIP: N/A<br>LEI: 969500QZC2Q0TK11NV07       | Long             | DBT              | CORP              | FR        |    300000 | PA      | $272779.68    | 0.10%             | 2028-11-29      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36185G6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5448 | PA      | $4968.68      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OZLM XVI Ltd.                                                                | OZLM XVI Ltd., Series 2017-16A, Class A1R                                                              | CUSIP: 67111KAJ9<br>LEI: 54930042UBEHLEPQ4B17 | Long             | ABS-CBDO         | CORP              | KY        |    774185 | PA      | $761435.50    | 0.29%             | 2030-05-16      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                         | WaMu Asset-Backed Certificates Trust                                                                   | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213070 | PA      | $77124.06     | 0.03%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $377030.40    | 0.14%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -500000 | PA      | $-31459.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 Month Eurodollar                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -76 | NC      | $-267900.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1                                | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32180 | PA      | $25551.96     | 0.01%             | 2036-01-26      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC                                                      | Sprint Spectrum Co. LLC                                                                                | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    393750 | PA      | $388397.13    | 0.15%             | 2025-03-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40800000 | PA      | $35919936.48  | 13.77%            | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128M8Q80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27697 | PA      | $26900.16     | 0.01%             | 2041-01-01      | 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      | $-1601.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  18000000 | PA      | $13330.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA11, Class A1B                                                    | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276297 | PA      | $254080.64    | 0.10%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 4A2                              | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44969 | PA      | $41038.48     | 0.02%             | 2037-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                           | United Airlines Pass-Through Trust, Series 2020-1, Class A                                             | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790383 | PA      | $778606.62    | 0.30%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                       | Credit Suisse Group AG                                                                                 | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    700000 | PA      | $606375.00    | 0.23%             | 2023-12-11      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H02, Class FH                                                                        | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95459 | PA      | $94151.25     | 0.04%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Euro-Buxl                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -2 | NC      | $54397.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                               | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                               | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $774418.80    | 0.30%             | 2037-01-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FM                                                                        | CUSIP: 38376RXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       980 | PA      | $963.76       | 0.00%             | 2066-08-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-5, Class 3A2                                                                         | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2748 | PA      | $2727.88      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    100000 | PA      | $6296.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138AU6B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6703 | PA      | $6669.64      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                                                | DREYFUS TREASURY OBLIGATIONS CASH MANAGEMENT FUND OPEN-END FUND USD                                    | CUSIP: 261908107<br>LEI: 54930067A504FBYASH16 | Long             | STIV             | RF                | US        |    200000 | PA      | $200000.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-1, Class A2B                                          | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29622 | PA      | $24521.86     | 0.01%             | 2037-03-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp.                                               | First American Financial Corp.                                                                         | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    700000 | PA      | $600778.92    | 0.23%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $5256.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO XVI Ltd.                                                     | Sound Point CLO XVI Ltd., Series 2017-2A, Class AR                                                     | CUSIP: 83610KAJ2<br>LEI: 549300ZK5CJ7PM7YBH85 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $787396.00    | 0.30%             | 2030-07-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA12, Class A1B                                                    | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84643 | PA      | $80017.94     | 0.03%             | 2046-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $8201.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10749485 | PA      | $10384907.58  | 3.98%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                                  | AREIT Trust, Series 2021-CRE5, Class A                                                                 | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    570660 | PA      | $544043.91    | 0.21%             | 2038-11-17      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                                                     | Host Hotels & Resorts LP, Series J                                                                     | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $230046.42    | 0.09%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  34000000 | PA      | $41127.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                 | GS Mortgage Securities Trust, Series 2015-GC30, Class AAB                                              | CUSIP: 36250GAQ8<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    256101 | PA      | $249415.24    | 0.10%             | 2050-05-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22125 | PA      | $22678.37     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -54 | NC      | $491309.86    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                        | Banque Federative du Credit Mutuel SA                                                                  | CUSIP: 06675FAQ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    600000 | PA      | $600849.24    | 0.23%             | 2023-07-20      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                               | EPR Properties                                                                                         | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    800000 | PA      | $582908.80    | 0.22%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                           | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB                         | CUSIP: 61764RBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33117 | PA      | $32186.39     | 0.01%             | 2048-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS, Inc. Asset-backed Certificates, Series 2007-12, Class 2A3                                       | CUSIP: 126697AE1<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |      6304 | PA      | $6171.80      | 0.00%             | 2047-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $509812.50    | 0.20%             | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $772418.64    | 0.30%             | 2024-09-08      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE7, Class 2A2                               | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16734 | PA      | $15723.48     | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Japan 10 Year Bond                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -10 | NC      | $203103.17    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Stratus CLO Ltd.                                                             | Stratus CLO Ltd., Series 2021-3A, Class A                                                              | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    724159 | PA      | $714294.78    | 0.27%             | 2029-12-29      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                 | GS Mortgage Securities Trust, Series 2016-GS3, Class WMB                                               | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83059.89     | 0.03%             | 2049-10-10      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                              | Citigroup, Inc.                                                                                        | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    700000 | PA      | $699790.98    | 0.27%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1                              | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87983 | PA      | $68559.65     | 0.03%             | 2037-05-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -8000000 | PA      | $-22321.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $731390.67    | 0.28%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12520.84    | -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      | $-21935.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                       | Digital Dutch Finco BV                                                                                 | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $891217.71    | 0.34%             | 2032-01-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7.69        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                              | AES Corp. (The)                                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1243054.54   | 0.48%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FA                                                                           | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252584 | PA      | $245222.27    | 0.09%             | 2040-08-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                        | Alexandria Real Estate Equities, Inc.                                                                  | CUSIP: 015271AH2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292620.87    | 0.11%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2005-S3, Class 1A2                                                    | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10492 | PA      | $5171.79      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A1                                                    | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21360 | PA      | $19765.81     | 0.01%             | 2035-05-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H20, Class PT                                                                        | CUSIP: 38376RYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472491 | PA      | $482404.59    | 0.18%             | 2066-09-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Clearway Energy Operating LLC                                                | Clearway Energy Operating LLC                                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    600000 | PA      | $498129.00    | 0.19%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1070123.64   | 0.41%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| Consolidated Edison Co. of New York, Inc.                                    | Consolidated Edison Co. of New York, Inc.                                                              | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |    800000 | PA      | $797827.66    | 0.31%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2                                           | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     52992 | PA      | $50668.17     | 0.02%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1787987.25   | 0.69%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                                           | HAT Holdings I LLC                                                                                     | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1737600.00   | 0.67%             | 2026-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                    | First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1                                  | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27310 | PA      | $25364.56     | 0.01%             | 2035-10-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $632209.20    | 0.24%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2006-3, Class 35A1                                                    | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55901 | PA      | $32001.42     | 0.01%             | 2036-05-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2002-11, Class 1A1                                                      | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70 | PA      | $66.34        | 0.00%             | 2033-02-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE5, Class A2D                                   | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453023 | PA      | $231962.64    | 0.09%             | 2036-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                                 | Verizon Communications, Inc.                                                                           | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    400000 | PA      | $277779.12    | 0.11%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2017-H10, Class FB                                                                        | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312201 | PA      | $308958.84    | 0.12%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-42, Class AF                                                                         | CUSIP: 31396VN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       505 | PA      | $490.34       | 0.00%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    800000 | PA      | $644679.36    | 0.25%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99303.14     | 0.04%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 23A1                                                     | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1241 | PA      | $1101.45      | 0.00%             | 2035-01-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                               | Accredited Mortgage Loan Trust, Series 2006-2, Class A4                                                | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78163 | PA      | $77092.30     | 0.03%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-HYB9, Class 1A1                                           | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3951 | PA      | $3915.68      | 0.00%             | 2035-02-20      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   8000000 | PA      | $64187.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -600000 | PA      | $-19456.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunnova Sol IV Issuer LLC                                                    | Sunnova Sol IV Issuer LLC, Series 2022-A, Class A                                                      | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1651382 | PA      | $1404202.61   | 0.54%             | 2049-02-22      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 5 Year Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         9 | NC      | $-6258.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2006-EMX2, Class M1                                                                 | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144894 | PA      | $143363.66    | 0.05%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities No. 3 plc                                       | Landmark Mortgage Securities No. 3 plc, Series 3, Class A                                              | CUSIP: N/A<br>LEI: 213800S8KWEEVI3XTK68       | Long             | ABS-MBS          | CORP              | GB        |    543328 | PA      | $620139.60    | 0.24%             | 2044-04-17      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-192053.72   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  95000000 | PA      | $62555.42     | 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      | $-54295.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                               | BNP Paribas SA                                                                                         | CUSIP: 09659W2C7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $273219.39    | 0.10%             | 2027-11-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FB                                                                           | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200524 | PA      | $195009.96    | 0.07%             | 2040-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  19000000 | PA      | $19977.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $498437.50    | 0.19%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2003-25, Class KP                                                                         | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8146 | PA      | $8087.60      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Society of Lloyd's                                                           | Society of Lloyd's                                                                                     | CUSIP: N/A<br>LEI: 213800O2FTUPFGPH3J11       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $118506.42    | 0.05%             | 2024-10-30      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                          | DBWF Mortgage Trust, Series 2018-GLKS, Class A                                                         | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97003.28     | 0.04%             | 2030-12-19      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund VII DAC                                               | CVC Cordatus Loan Fund VII DAC, Series 7A, Class ARR                                                   | CUSIP: N/A<br>LEI: 635400CLBI5JM6YQBR92       | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $727702.51    | 0.28%             | 2031-09-15      | Floating      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3400000 | PA      | $-439000.69   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No. 1 plc                                               | Great Hall Mortgages No. 1 plc, Series 2007-2A, Class AC                                               | CUSIP: 39052PAA7<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |     50518 | PA      | $49508.03     | 0.02%             | 2039-06-18      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                | Netflix, Inc.                                                                                          | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |    200000 | PA      | $209157.37    | 0.08%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2004-W2, Class 5AF                                                                        | CUSIP: 31393XGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8217 | PA      | $8084.28      | 0.00%             | 2044-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                               | Banc of America Mortgage Trust, Series 2003-D, Class 2A4                                               | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2974 | PA      | $2743.90      | 0.00%             | 2033-05-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                    | CBAM Ltd., Series 2018-8A, Class A1                                                                    | CUSIP: 12478CAA9<br>LEI: 254900YSCN4KH02DQ033 | Long             | ABS-CBDO         | CORP              | KY        |    783577 | PA      | $774382.14    | 0.30%             | 2029-10-20      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FC                                                                        | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412095 | PA      | $407569.87    | 0.16%             | 2066-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    215000 | PA      | $158027.62    | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-2, Class M1                                         | CUSIP: 126670UW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74289 | PA      | $72630.39     | 0.03%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  50000000 | PA      | $52268.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-OPT5, Class 1A1                                                 | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559771 | PA      | $424355.15    | 0.16%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33520.71     | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    135000 | PA      | $1684.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3289 | PA      | $3305.53      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   1700000 | PA      | $-4131.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSSG Trust                                                                   | MSSG Trust, Series 2017-237P, Class A                                                                  | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $616487.06    | 0.24%             | 2039-09-13      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Welltower, Inc.                                                              | Welltower, Inc.                                                                                        | CUSIP: 95040QAL8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    800000 | PA      | $641661.84    | 0.25%             | 2031-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| BIG Commercial Mortgage Trust                                                | BIG Commercial Mortgage Trust, Series 2022-BIG, Class A                                                | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $672501.34    | 0.26%             | 2039-02-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                          | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216646 | PA      | $184378.44    | 0.07%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128KKPB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46553 | PA      | $48682.83     | 0.02%             | 2037-01-01      | 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      | $-8000.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XLI Ltd.                                                | Madison Park Funding XLI Ltd., Series 12A, Class AR                                                    | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    585542 | PA      | $579209.69    | 0.22%             | 2027-04-22      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $8488468.32   | 3.25%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| California Health Facilities Financing Authority                             | California Health Facilities Financing Authority                                                       | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   1300000 | PA      | $1161291.17   | 0.45%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                | Enel Finance International NV                                                                          | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $662371.50    | 0.25%             | 2027-06-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                        | Nomura Holdings, Inc.                                                                                  | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $819278.10    | 0.31%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Owl Rock Capital Corp.                                                       | Owl Rock Capital Corp.                                                                                 | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    800000 | PA      | $628478.56    | 0.24%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-1, Class 6A1                                                       | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       733 | PA      | $720.02       | 0.00%             | 2033-04-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2018-38, Class WF                                                                         | CUSIP: 38380V2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175356 | PA      | $167072.55    | 0.06%             | 2043-10-20      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3300000 | PA      | $3809.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates               | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2006-M1, Class A2C              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    659290 | PA      | $169407.52    | 0.06%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ONE Mortgage Trust                                                           | ONE Mortgage Trust, Series 2021-PARK, Class A                                                          | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $666638.42    | 0.26%             | 2036-03-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                              | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class ASB                                             | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227829 | PA      | $219319.93    | 0.08%             | 2054-12-10      | Fixed         | 3.64%                 | 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      | $3667.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 3360, Class FC                                                                           | CUSIP: 31397KE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4622 | PA      | $4585.10      | 0.00%             | 2037-05-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3500000 | PA      | $-18265.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                           | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A                                          | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55414 | PA      | $45767.40     | 0.02%             | 2035-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $433736.25    | 0.17%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6600000 | PA      | $5830293.48   | 2.23%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2007-QA3, Class A1                                                                  | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186298 | PA      | $158549.40    | 0.06%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A36W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18657 | PA      | $17013.82     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 1993-45, Class Z                                                                          | CUSIP: 31358UPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $75.18        | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Realty Investment Trust                                              | Federal Realty Investment Trust                                                                        | CUSIP: 313747BA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $775896.93    | 0.30%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1313697.00   | 0.50%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                           | Specialty Underwriting & Residential Finance Trust, Series 2006-BC5, Class A2D                         | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544470 | PA      | $286510.02    | 0.11%             | 2037-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                       | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A                        | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $678150.27    | 0.26%             | 2038-06-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A3                             | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753236 | PA      | $558954.31    | 0.21%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1300000 | PA      | $115568.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236968 | PA      | $233095.75    | 0.09%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2005-D, Class M1                                                       | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $253272.81    | 0.10%             | 2035-11-25      | Floating      | 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      | $-2065.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1600000 | PA      | $-1391.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                                     | PFP Ltd., Series 2021-8, Class A                                                                       | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    667623 | PA      | $636363.43    | 0.24%             | 2037-08-09      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  19000000 | PA      | $24356.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA3, Class 1A1                                                     | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31127 | PA      | $26000.52     | 0.01%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                            | NTT Finance Corp.                                                                                      | CUSIP: 62954WAH8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $294864.69    | 0.11%             | 2024-07-26      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: —       |
| MASTR Adjustable Rate Mortgages Trust                                        | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A3                                       | CUSIP: 576431AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15689 | PA      | $15378.51     | 0.01%             | 2047-01-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2800000 | PA      | $-33771.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Boston Properties LP                                                         | Boston Properties LP                                                                                   | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373387.20    | 0.14%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Electronic Arts, Inc.                                                        | Electronic Arts, Inc.                                                                                  | CUSIP: 285512AE9<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |    800000 | PA      | $631877.52    | 0.24%             | 2031-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-WMC2, Class A2C                                  | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243282 | PA      | $86899.39     | 0.03%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                                | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2, Class A1                               | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104187 | PA      | $96578.64     | 0.04%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA                                                                                                   | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116846 | PA      | $116873.75    | 0.04%             | 2038-05-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK SECURITIES INC.                                                | Treasury Repurchase Agreement                                                                          | CUSIP: N/A<br>LEI: 9J6MBOOO7BECTDTUZW19       | Long             | RA               | CORP              | US        |    699692 | PA      | $699692.50    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10940.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                                  | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5                                 | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $514351.08    | 0.20%             | 2053-05-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                        | Quanta Services, Inc.                                                                                  | CUSIP: 74767HNK2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | STIV             | CORP              | US        |    250000 | PA      | $249311.95    | 0.10%             | 2023-01-19      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                          | Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A                                         | CUSIP: 17320QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $461826.60    | 0.18%             | 2035-05-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1243380.04   | 0.48%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10263 | PA      | $9520.57      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STORE Capital Corp.                                                          | STORE Capital Corp.                                                                                    | CUSIP: 862121AD2<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    800000 | PA      | $585372.80    | 0.22%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 2248, Class FB                                                                           | CUSIP: 3133TPV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $74.67        | 0.00%             | 2030-09-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7986.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Edison International                                                         | Edison International                                                                                   | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    500000 | PA      | $482865.55    | 0.19%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                    | CBAM Ltd., Series 2018-5A, Class A                                                                     | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $983143.00    | 0.38%             | 2031-04-17      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  57000000 | PA      | $40157.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                         | Ally Financial, Inc.                                                                                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1173634.65   | 0.45%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                              | Sumitomo Mitsui Trust Bank Ltd.                                                                        | CUSIP: 86563VBA6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1600000 | PA      | $1453766.88   | 0.56%             | 2027-03-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: —       |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6227.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H22, Class FA                                                                        | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242672 | PA      | $239611.90    | 0.09%             | 2066-10-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2002-11, Class 1A2                                                      | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169 | PA      | $131.73       | 0.00%             | 2033-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                                    | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21488 | PA      | $20082.45     | 0.01%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12412.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2006-E, Class 2A1                                                      | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2222 | PA      | $915.29       | 0.00%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2205705.49   | 0.85%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                               | Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1                               | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32995 | PA      | $28143.15     | 0.01%             | 2047-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                               | Walgreens Boots Alliance, Inc.                                                                         | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |    500000 | PA      | $499224.00    | 0.19%             | 2023-01-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer