# EDGAR Filing Document

**Accession Number:** 0000003794
**File Stem:** 0001752724-23-070279
**Filing Date:** 2023-3
**Character Count:** 319880
**Document Hash:** 544c1345ead2f10ce7d269d04c3ea7e8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-070279.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-070279

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AB BOND FUND, INC.
- **CENTRAL INDEX KEY:** 0000003794
- **IRS NUMBER:** 132754393
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02383
- **FILM NUMBER:** 23770474

**BUSINESS ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 2129691000

**MAIL ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANCEBERNSTEIN BOND FUND INC
- **DATE OF NAME CHANGE:** 20030319

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANCE BOND FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### AB Bond Inflation Strategy (Series ID: S000027378)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000082621 | Class A       | ABNAX           |
| C000082622 | Class C       | ABNCX           |
| C000082623 | Advisor Class | ABNYX           |
| C000085359 | Class 1       | ABNOX           |
| C000085435 | Class R       | ABNRX           |
| C000085436 | Class K       | ABNKX           |
| C000085437 | Class I       | ANBIX           |
| C000085438 | Class 2       | ABNTX           |
| C000152483 | Class Z       | ABNZX           |

## Nport-Ex

**AB Bond Inflation Strategy** 

**Portfolio of Investments** 

**January 31, 2023 (unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **INFLATION-LINKED SECURITIES – 73.5%** |  |  |  |
|  **United States – 73.5%** | **United States – 73.5%** | **United States – 73.5%** | **United States – 73.5%** |
|  U.S. Treasury Inflation Index<br>0.125%, 07/15/2024 (TIPS) | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111183 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107864899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 07/15/2026 (TIPS)<sup>(a)</sup> |  | 182835 | 174036043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 07/15/2030 (TIPS)<sup>(a) (b)</sup> |  | 294946 | 270520945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 07/15/2027 (TIPS) |  | 52489 | 50134903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/15/2029 (TIPS)<sup>(b)</sup> |  | 105733 | 112208813 |
|  Total Inflation-Linked Securities <br>(cost $721,270,481) | Total Inflation-Linked Securities <br>(cost $721,270,481) | Total Inflation-Linked Securities <br>(cost $721,270,481) | 714765603 |
|  **CORPORATES - INVESTMENT GRADE – 13.0%** | **CORPORATES - INVESTMENT GRADE – 13.0%** | **CORPORATES - INVESTMENT GRADE – 13.0%** | **CORPORATES - INVESTMENT GRADE – 13.0%** |
|  **Financial Institutions – 6.3%** | **Financial Institutions – 6.3%** | **Financial Institutions – 6.3%** | **Financial Institutions – 6.3%** |
|  **Banking – 5.0%** | **Banking – 5.0%** | **Banking – 5.0%** | **Banking – 5.0%** |
|  AIB Group PLC <br>7.583%, 10/14/2026<sup>(c)</sup> |  | 2155 | 2230339 |
|  Australia & New Zealand Banking Group Ltd. <br>4.83%, 02/03/2025<sup>(c)</sup> |  | 992 | 993379 |
|  Banco de Credito del Peru S.A. <br>3.125%, 07/01/2030<sup>(c)</sup> |  | 958 | 880129 |
|  Banco Santander SA <br>4.175%, 03/24/2028 |  | 600 | 570498 |
|  Bank of America Corp. <br>4.376%, 04/27/2028 |  | 2480 | 2425465 |
|  Bank of Ireland Group PLC <br>6.253%, 09/16/2026<sup>(c)</sup> |  | 456 | 462320 |
|  Bank of Nova Scotia (The) <br>4.75%, 02/02/2026 |  | 995 | 994463 |
|  Barclays PLC <br>7.385%, 11/02/2028 |  | 1252 | 1356279 |
|  BNP Paribas SA<br>2.591%, 01/20/2028<sup>(c)</sup> |  | 593 | 538011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 02/25/2031<sup>(c) (d)</sup> |  | 1255 | 1029000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 08/16/2029<sup>(c) (d)</sup> |  | 1045 | 1073309 |
|  Capital One Financial Corp. <br>5.468%, 02/01/2029 |  | 353 | 355079 |
|  Citigroup, Inc.<br>4.075%, 04/23/2029 |  | 592 | 565650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.14%, 05/24/2025 |  | 2463 | 2433641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.87% (LIBOR 3 Month + 4.07%), 04/30/2023<sup>(d) (e)</sup> |  | 103 | 103626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series W<br>4.00%, 12/10/2025<sup>(d)</sup> |  | 504 | 470101 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Y<br>4.15%, 11/15/2026<sup>(d)</sup> |  | 480 | 429000 |
|  Credit Suisse Group AG<br>3.091%, 05/14/2032<sup>(c)</sup> |  | 928 | 705364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.194%, 04/01/2031<sup>(c)</sup> |  | 614 | 518363 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.373%, 07/15/2026<sup>(c)</sup> |  | 1025 | 995203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 12/11/2023<sup>(c) (d)</sup> |  | 257 | 243119 |
|  Danske Bank A/S<br>4.298%, 04/01/2028<sup>(c)</sup> |  | 746 | 718152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.466%, 01/09/2026<sup>(c)</sup> |  | 604 | 613030 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Deutsche Bank AG/New York NY<br>2.129%, 11/24/2026 | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.961%, 11/26/2025 |  | 405 | 392400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.119%, 07/14/2026 |  | 846 | 857362 |
|  Discover Bank <br>4.682%, 08/09/2028 |  | 327 | 317285 |
|  Federation des Caisses Desjardins du Quebec <br>4.55%, 08/23/2027<sup>(c)</sup> |  | 1174 | 1159208 |
|  Goldman Sachs Group, Inc. (The) <br>Series V 4.125%, 11/10/2026<sup>(d)</sup> |  | 775 | 691409 |
|  HSBC Holdings PLC<br>4.762%, 03/29/2033 |  | 373 | 343884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.402%, 08/11/2033 |  | 603 | 601480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.336%, 11/03/2026 |  | 1794 | 1893980 |
|  Intesa Sanpaolo SpA <br>7.00%, 11/21/2025<sup>(c)</sup> |  | 283 | 292379 |
|  JPMorgan Chase & Co.<br>2.58%, 04/22/2032 |  | 1364 | 1149088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.565%, 06/14/2030 |  | 426 | 417267 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.546%, 12/15/2025 |  | 1555 | 1567564 |
|  KBC Group NV <br>5.796%, 01/19/2029<sup>(c)</sup> |  | 461 | 467698 |
|  Mizuho Financial Group, Inc. <br>5.414%, 09/13/2028 |  | 1151 | 1176046 |
|  Morgan Stanley<br>0.406%, 10/29/2027 | EUR | 1030 | 982806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.21%, 04/20/2028 | U.S.$| 799 | 776612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.296%, 10/18/2028 |  | 1224 | 1293731 |
|  Nationwide Building Society <br>2.972%, 02/16/2028<sup>(c)</sup> |  | 982 | 894798 |
|  NatWest Group PLC <br>7.472%, 11/10/2026 |  | 548 | 579713 |
|  PNC Financial Services Group, Inc. (The) <br>5.068%, 01/24/2034 |  | 276 | 278283 |
|  Santander Holdings USA, Inc.<br>2.49%, 01/06/2028 |  | 497 | 437847 |
|  Santander UK Group Holdings PLC <br>6.833%, 11/21/2026 |  | 1572 | 1626297 |
|  Societe Generale SA <br>2.797%, 01/19/2028<sup>(c)</sup> |  | 1764 | 1589629 |
|  Standard Chartered PLC<br>3.971%, 03/30/2026<sup>(c)</sup> |  | 657 | 635161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/26/2025<sup>(c) (d)</sup> |  | 1267 | 1243142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.312% (LIBOR 3 Month + 1.51%), 01/30/2027<sup>(c) (d) (e)</sup> |  | 400 | 349460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.776%, 11/16/2025<sup>(c)</sup> |  | 1104 | 1151064 |
|  Svenska Handelsbanken AB <br>4.75%, 03/01/2031<sup>(c) (d)</sup> |  | 1400 | 1201074 |
|  UBS Group AG <br>4.488%, 05/12/2026<sup>(c)</sup> |  | 648 | 638001 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  UniCredit SpA<br>1.982%, 06/03/2027<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;204 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.569%, 09/22/2026<sup>(c)</sup> |  | 1071 |  | 969159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.127%, 06/03/2032<sup>(c)</sup> |  | 368 |  | 297212 |
|  US Bancorp <br>Series J <br>5.30%, 04/15/2027<sup>(d)</sup> |  | 427 |  | 402336 |
|  Wells Fargo & Co. <br>Series BB <br>3.90%, 03/15/2026<sup>(d)</sup> |  | 418 |  | 385032 |
|  |  |  |  | 48208540 |
|  **Brokerage – 0.3%** | **Brokerage – 0.3%** | **Brokerage – 0.3%** | **Brokerage – 0.3%** | **Brokerage – 0.3%** |
|  Charles Schwab Corp. (The)<br>2.90%, 03/03/2032 |  | 322 |  | 285485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G<br>5.375%, 06/01/2025<sup>(d)</sup> |  | 253 |  | 251894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I<br>4.00%, 06/01/2026<sup>(d)</sup> |  | 1366 |  | 1258113 |
|  Nomura Holdings, Inc. <br>5.709%, 01/09/2026 |  | 906 |  | 917996 |
|  |  |  |  | 2713488 |
|  **Finance – 0.7%** | **Finance – 0.7%** | **Finance – 0.7%** | **Finance – 0.7%** | **Finance – 0.7%** |
|  Air Lease Corp.<br>2.875%, 01/15/2026 |  | 111 |  | 104164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 04/01/2027 |  | 51 |  | 47970 |
|  Aircastle Ltd.<br>2.85%, 01/26/2028<sup>(c)</sup> |  | 1329 |  | 1157253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/01/2024 |  | 232 |  | 227142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/2026 |  | 83 |  | 80014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/11/2025<sup>(c)</sup> |  | 585 |  | 572388 |
|  Aviation Capital Group LLC<br>1.95%, 01/30/2026<sup>(c)</sup> |  | 751 |  | 667654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/20/2026<sup>(c)</sup> |  | 346 |  | 300947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2027<sup>(c)</sup> |  | 211 |  | 189020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 08/01/2025<sup>(c)</sup> |  | 7 |  | 6604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/30/2024<sup>(c)</sup> |  | 194 |  | 190411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 10/01/2025<sup>(c)</sup> |  | 246 |  | 234942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024<sup>(c)</sup> |  | 550 |  | 545523 |
|  CDBL Funding 1 <br>3.50%, 10/24/2027<sup>(c)</sup> |  | 940 |  | 881908 |
|  Synchrony Financial<br>2.875%, 10/28/2031 |  | 791 |  | 615722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/2027 |  | 429 |  | 396786 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/23/2025 |  | 244 |  | 237385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/13/2025 |  | 414 |  | 406254 |
|  |  |  |  | 6862087 |
|  **Insurance – 0.1%** | **Insurance – 0.1%** | **Insurance – 0.1%** | **Insurance – 0.1%** | **Insurance – 0.1%** |
|  Guardian Life Insurance Co. of America (The) <br>4.85%, 01/24/2077<sup>(c)</sup> |  | 183 |  | 162678 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Swiss Re Finance Luxembourg SA <br>5.00%, 04/02/2049<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;969150 |
|  Voya Financial, Inc. <br>5.65%, 05/15/2053 |  | 335 | 333586 |
|  |  |  | 1465414 |
|  **REITs – 0.2%** |  |  |  |
|  American Tower Corp. <br>3.65%, 03/15/2027 |  | 635 | 604298 |
|  GLP Capital LP/GLP Financing II, Inc. <br>3.25%, 01/15/2032 |  | 1373 | 1142926 |
|  Vornado Realty LP <br>3.40%, 06/01/2031 |  | 718 | 555589 |
|  |  |  | 2302813 |
|  |  |  | 61552342 |
|  **Industrial – 6.3%** |  |  |  |
|  **Basic – 0.3%** |  |  |  |
|  Anglo American Capital PLC <br>3.875%, 03/16/2029<sup>(c)</sup> |  | 373 | 347589 |
|  Celanese US Holdings LLC <br>5.90%, 07/05/2024 |  | 2365 | 2378788 |
|  Freeport Indonesia PT <br>4.763%, 04/14/2027<sup>(c)</sup> |  | 415 | 402596 |
|  Suzano Austria GmbH <br>3.75%, 01/15/2031 |  | 222 | 189377 |
|  |  |  | 3318350 |
|  **Capital Goods – 0.6%** |  |  |  |
|  CNH Industrial Capital LLC <br>3.95%, 05/23/2025 |  | 1889 | 1849803 |
|  Flowserve Corp. <br>2.80%, 01/15/2032 |  | 545 | 435390 |
|  Parker-Hannifin Corp. <br>4.50%, 09/15/2029 |  | 1430 | 1421048 |
|  Regal Rexnord Corp. <br>6.05%, 02/15/2026<sup>(c)</sup> |  | 2018 | 2048290 |
|  Westinghouse Air Brake Technologies Corp. <br>3.20%, 06/15/2025 |  | 180 | 170188 |
|  |  |  | 5924719 |
|  **Communications - Media – 0.5%** |  |  |  |
|  Discovery Communications LLC<br>4.65%, 05/15/2050 |  | 58 | 45307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 09/20/2047 |  | 188 | 156771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/15/2049 |  | 83 | 70183 |
|  Prosus NV<br>3.257%, 01/19/2027<sup>(c)</sup> |  | 593 | 538148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.68%, 01/21/2030<sup>(c)</sup> |  | 428 | 368883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.027%, 08/03/2050<sup>(c)</sup> |  | 487 | 325986 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Tencent Holdings Ltd. <br>3.24%, 06/03/2050<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;448798 |
|  Time Warner Cable LLC <br>4.50%, 09/15/2042 |  | 235 | 186449 |
|  Warnermedia Holdings, Inc. <br>4.279%, 03/15/2032<sup>(c)</sup> |  | 1595 | 1418465 |
|  Weibo Corp. <br>3.375%, 07/08/2030 |  | 2114 | 1765190 |
|  |  |  | 5324180 |
|  **Communications - Telecommunications – 0.0%** |  |  |  |
|  T-Mobile USA, Inc.<br>2.625%, 02/15/2029 |  | 203 | 177944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 04/15/2029 |  | 119 | 108691 |
|  |  |  | 286635 |
|  **Consumer Cyclical - Automotive – 0.4%** |  |  |  |
|  General Motors Co.<br>6.125%, 10/01/2025 |  | 194 | 198937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 10/01/2027 |  | 272 | 289182 |
|  Harley-Davidson Financial Services, Inc. <br>3.05%, 02/14/2027<sup>(c)</sup> |  | 1942 | 1776600 |
|  Nissan Motor Co., Ltd. <br>4.345%, 09/17/2027<sup>(c)</sup> |  | 1378 | 1296078 |
|  |  |  | 3560797 |
|  **Consumer Cyclical - Other – 0.2%** |  |  |  |
|  Las Vegas Sands Corp. <br>3.90%, 08/08/2029 |  | 1419 | 1269991 |
|  Marriott International, Inc./MD <br>Series EE <br>5.75%, 05/01/2025 |  | 92 | 93546 |
|  MDC Holdings, Inc. <br>6.00%, 01/15/2043 |  | 731 | 648353 |
|  |  |  | 2011890 |
|  **Consumer Cyclical - Retailers – 0.3%** |  |  |  |
|  Advance Auto Parts, Inc.<br>3.50%, 03/15/2032 |  | 141 | 119997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/15/2030 |  | 1525 | 1388436 |
|  Ross Stores, Inc. <br>4.70%, 04/15/2027 |  | 1083 | 1077607 |
|  |  |  | 2586040 |
|  **Consumer Non-Cyclical – 0.8%** |  |  |  |
|  Altria Group, Inc.<br>3.40%, 05/06/2030 |  | 950 | 841158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/14/2029 |  | 226 | 223570 |
|  BAT Capital Corp.<br>2.259%, 03/25/2028 |  | 1727 | 1484374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/02/2027 |  | 605 | 593154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.906%, 04/02/2030 |  | 593 | 561002 |
|  Cargill, Inc. <br>5.125%, 10/11/2032<sup>(c)</sup> |  | 632 | 658234 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Cigna Corp. <br>4.375%, 10/15/2028 | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;496822 |
|  CVS Health Corp. <br>4.30%, 03/25/2028 |  | 49 | 48189 |
|  Ochsner LSU Health System of North Louisiana <br>Series 2021 <br>2.51%, 05/15/2031 |  | 1190 | 895820 |
|  Philip Morris International, Inc. <br>5.625%, 11/17/2029 |  | 284 | 296621 |
|  Takeda Pharmaceutical Co., Ltd. <br>4.40%, 11/26/2023 |  | 384 | 382176 |
|  Zoetis, Inc. <br>5.40%, 11/14/2025 |  | 911 | 931598 |
|  |  |  | 7412718 |
|  **Energy – 0.7%** |  |  |  |
|  BP Capital Markets America, Inc. <br>2.939%, 06/04/2051 |  | 1962 | 1402967 |
|  Continental Resources, Inc./OK<br>2.875%, 04/01/2032<sup>(c)</sup> |  | 1496 | 1169872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/2031<sup>(c)</sup> |  | 1113 | 1092554 |
|  EQT Corp. <br>5.70%, 04/01/2028 |  | 345 | 349268 |
|  Marathon Petroleum Corp. <br>6.50%, 03/01/2041 |  | 0 | 0 |
|  Oleoducto Central SA <br>4.00%, 07/14/2027<sup>(c)</sup> |  | 453 | 400707 |
|  ONEOK Partners LP <br>6.125%, 02/01/2041 |  | 105 | 106784 |
|  ONEOK, Inc.<br>6.10%, 11/15/2032 |  | 275 | 288849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 01/15/2031 |  | 166 | 176705 |
|  Tengizchevroil Finance Co. International Ltd. <br>3.25%, 08/15/2030<sup>(c)</sup> |  | 306 | 230647 |
|  Var Energi ASA<br>7.50%, 01/15/2028<sup>(c)</sup> |  | 867 | 913437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2032<sup>(c)</sup> |  | 680 | 744729 |
|  |  |  | 6876519 |
|  **Other Industrial – 0.1%** |  |  |  |
|  Alfa SAB de CV <br>5.25%, 03/25/2024<sup>(c)</sup> |  | 600 | 595237 |
|  **Services – 0.4%** |  |  |  |
|  Amazon.com, Inc. <br>4.55%, 12/01/2027 |  | 1562 | 1582025 |
|  Expedia Group, Inc.<br>4.625%, 08/01/2027 |  | 486 | 478166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 05/01/2025<sup>(c)</sup> |  | 34 | 34589 |
|  Global Payments, Inc.<br>2.90%, 11/15/2031 |  | 432 | 360236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 08/15/2032 |  | 971 | 974505 |
|  S&P Global, Inc.<br>4.25%, 05/01/2029<sup>(c)</sup> |  | 295 | 290109 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/01/2028<sup>(c)</sup> |  | 59 | 59744 |
|  |  |  | 3779374 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Technology – 1.9%** |  |  |  |
|  Broadcom, Inc.<br>3.137%, 11/15/2035<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.187%, 11/15/2036<sup>(c)</sup> |  | 557 | 425799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/2029<sup>(c)</sup> |  | 188 | 175979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/15/2030 |  | 260 | 242567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/2032<sup>(c)</sup> |  | 673 | 614664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037<sup>(c)</sup> |  | 689 | 632530 |
|  Entegris Escrow Corp. <br>4.75%, 04/15/2029<sup>(c)</sup> |  | 1896 | 1778865 |
|  Honeywell International, Inc. <br>4.125%, 11/02/2034 | EUR | 1853 | 2068740 |
|  HP, Inc. <br>5.50%, 01/15/2033 | U.S.$| 1844 | 1811343 |
|  Infor, Inc. <br>1.75%, 07/15/2025<sup>(c)</sup> |  | 450 | 409230 |
|  Intel Corp. <br>5.05%, 08/05/2062 |  | 1204 | 1126511 |
|  International Business Machines Corp.<br>4.50%, 02/06/2026 |  | 981 | 982001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 07/27/2052 |  | 1186 | 1153824 |
|  Kyndryl Holdings, Inc. <br>2.05%, 10/15/2026 |  | 1428 | 1231307 |
|  Micron Technology, Inc. <br>6.75%, 11/01/2029 |  | 1463 | 1557583 |
|  NXP BV/NXP Funding LLC <br>5.55%, 12/01/2028 |  | 711 | 732429 |
|  Oracle Corp. <br>5.375%, 07/15/2040 |  | 376 | 367119 |
|  SK Hynix, Inc. <br>2.375%, 01/19/2031<sup>(c)</sup> |  | 382 | 287765 |
|  TSMC Arizona Corp. <br>3.875%, 04/22/2027 |  | 1009 | 985107 |
|  Western Digital Corp.<br>2.85%, 02/01/2029 |  | 426 | 347352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/01/2032 |  | 1250 | 959825 |
|  |  |  | 18036484 |
|  **Transportation - Airlines – 0.1%** |  |  |  |
|  Delta Air Lines, Inc./SkyMiles IP Ltd.<br>4.50%, 10/20/2025<sup>(c)</sup> |  | 484 | 478435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/20/2028<sup>(c)</sup> |  | 614 | 596962 |
|  |  |  | 1075397 |
|  **Transportation - Railroads – 0.0%** |  |  |  |
|  Lima Metro Line 2 Finance Ltd.<br>4.35%, 04/05/2036<sup>(c)</sup> |  | 220 | 197125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 07/05/2034<sup>(c)</sup> |  | 280 | 272602 |
|  |  |  | 469727 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Transportation - Services – 0.0%** |  |  |  |
|  ENA Master Trust <br>4.00%, 05/19/2048<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;303 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;237382 |
|  |  |  | 61495449 |
|  **Utility – 0.4%** |  |  |  |
|  **Electric – 0.4%** |  |  |  |
|  AES Panama Generation Holdings SRL <br>4.375%, 05/31/2030<sup>(c)</sup> |  | 358 | 318687 |
|  Chile Electricity Pec SpA <br>Zero Coupon, 01/25/2028<sup>(c)</sup> |  | 661 | 488025 |
|  Duke Energy Carolinas NC Storm Funding LLC <br>Series A-2 <br>2.617%, 07/01/2041 |  | 1183 | 911265 |
|  Engie Energia Chile SA <br>3.40%, 01/28/2030<sup>(c)</sup> |  | 751 | 626991 |
|  Public Service Enterprise Group, Inc. <br>5.85%, 11/15/2027 |  | 1054 | 1106710 |
|  |  |  | 3451678 |
|  Total Corporates - Investment Grade <br>(cost $134,625,016) |  |  | 126499469 |
|  **ASSET-BACKED SECURITIES – 5.4%** |  |  |  |
|  **Autos - Fixed Rate – 3.2%** |  |  |  |
|  ACM Auto Trust<br>Series 2022-1A, Class A<br>3.23%, 04/20/2029<sup>(c)</sup> |  | 427 | 425766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A<br>6.61%, 01/22/2030<sup>(c)</sup> |  | 2138 | 2138383 |
|  American Credit Acceptance Receivables Trust <br>Series 2022-3, Class A <br>4.12%, 02/13/2026<sup>(c)</sup> |  | 960 | 953499 |
|  Avis Budget Rental Car Funding AESOP LLC<br>Series 2017-2A, Class D<br>4.56%, 03/20/2024<sup>(c)</sup> |  | 816 | 813543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A<br>3.70%, 09/20/2024<sup>(c)</sup> |  | 1760 | 1745312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A<br>4.00%, 03/20/2025<sup>(c)</sup> |  | 1425 | 1406147 |
|  Carvana Auto Receivables Trust<br>Series 2021-N3, Class C<br>1.02%, 06/12/2028 |  | 599 | 572182 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class D<br>2.30%, 09/11/2028 |  | 916 | 843108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-P4, Class D<br>2.61%, 09/11/2028 |  | 1206 | 972463 |
|  CPS Auto Receivables Trust<br>Series 2021-C, Class D<br>1.69%, 06/15/2027<sup>(c)</sup> |  | 1080 | 1000930 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C<br>2.17%, 04/16/2029<sup>(c)</sup> |  | 1765 | 1664320 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  FHF Trust <br>Series 2021-2A, Class A <br>0.83%, 12/15/2026<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;394790 |
|  Ford Credit Auto Owner Trust <br>Series 2021-1, Class D <br>2.31%, 10/17/2033<sup>(c)</sup> |  | 1000 | 878782 |
|  Hertz Vehicle Financing III LLC <br>Series 2022-1A, Class C <br>2.63%, 06/25/2026<sup>(c)</sup> |  | 1660 | 1517729 |
|  LAD Auto Receivables Trust<br>Series 2021-1A, Class A<br>1.30%, 08/17/2026<sup>(c)</sup> |  | 741 | 718370 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A<br>5.21%, 06/15/2027<sup>(c)</sup> |  | 1821 | 1796687 |
|  Octane Receivables Trust <br>Series 2021-2A, Class B <br>2.02%, 09/20/2028<sup>(c)</sup> |  | 1508 | 1372428 |
|  Prestige Auto Receivables Trust <br>Series 2022-1A, Class A2 <br>5.90%, 07/15/2025<sup>(c)</sup> |  | 1459 | 1460850 |
|  Research-Driven Pagaya Motor Asset Trust VII <br>Series 2022-3A, Class A <br>5.38%, 11/25/2030<sup>(c)</sup> |  | 2180 | 2131018 |
|  Santander Bank Auto Credit-Linked Notes<br>Series 2022-A, Class B<br>5.281%, 05/15/2032<sup>(c)</sup> |  | 1939 | 1894440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class B<br>5.721%, 08/16/2032<sup>(c)</sup> |  | 1955 | 1947698 |
|  Santander Bank NA - SBCLN <br>Series 2021-1A, Class B <br>1.833%, 12/15/2031<sup>(c)</sup> |  | 672 | 650190 |
|  United Auto Credit Securitization Trust<br>Series 2022-2, Class A<br>4.39%, 04/10/2025<sup>(c)</sup> |  | 1464 | 1458024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A<br>5.57%, 07/10/2025<sup>(c)</sup> |  | 1905 | 1905207 |
|  |  |  | 30661866 |
|  **Other ABS - Fixed Rate – 1.8%** |  |  |  |
|  AB Issuer LLC <br>Series 2021-1, Class A2 <br>3.734%, 07/30/2051<sup>(c)</sup> |  | 1457 | 1204577 |
|  Affirm Asset Securitization Trust<br>Series 2021-Z1, Class A<br>1.07%, 08/15/2025<sup>(c)</sup> |  | 211 | 205671 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-Z2, Class A<br>1.17%, 11/16/2026<sup>(c)</sup> |  | 357 | 342210 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-X1, Class A<br>1.75%, 02/15/2027<sup>(c)</sup> |  | 960 | 938060 |
|  Amur Equipment Finance Receivables XI LLC <br>Series 2022-2A, Class A2 <br>5.30%, 06/21/2028<sup>(c)</sup> |  | 936 | 930688 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Atalaya Equipment Leasing Trust <br>Series 2021-1A, Class B <br>2.08%, 02/15/2027<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;482 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;455476 |
|  BHG Securitization Trust <br>Series 2022-A, Class D <br>3.56%, 02/20/2035<sup>(c)</sup> |  | 1350 | 1138711 |
|  Cajun Global LLC <br>Series 2021-1, Class A2 <br>3.931%, 11/20/2051<sup>(c)</sup> |  | 457 | 393304 |
|  College Ave Student Loans LLC <br>Series 2021-C, Class B <br>2.72%, 07/26/2055<sup>(c)</sup> |  | 603 | 517402 |
|  Dext ABS LLC <br>Series 2021-1, Class B <br>1.76%, 02/15/2028<sup>(c)</sup> |  | 197 | 182343 |
|  Diamond Issuer <br>Series 2021-1A, Class A <br>2.305%, 11/20/2051<sup>(c)</sup> |  | 2152 | 1860290 |
|  Domino's Pizza Master Issuer LLC <br>Series 2021-1A, Class A2I <br>2.662%, 04/25/2051<sup>(c)</sup> |  | 767 | 668921 |
|  GCI Funding I LLC <br>Series 2021-1, Class A <br>2.38%, 06/18/2046<sup>(c)</sup> |  | 491 | 430201 |
|  Hardee's Funding LLC<br>Series 2018-1A, Class A23<br>5.71%, 06/20/2048<sup>(c)</sup> |  | 496 | 473175 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A2<br>3.981%, 12/20/2050<sup>(c)</sup> |  | 328 | 290552 |
|  MVW LLC <br>Series 2021-2A, Class B <br>1.83%, 05/20/2039<sup>(c)</sup> |  | 891 | 803880 |
|  Neighborly Issuer<br>Series 2022-1A, Class A2<br>3.695%, 01/30/2052<sup>(c)</sup> |  | 1648 | 1373745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2<br>7.308%, 01/30/2053<sup>(c)</sup> |  | 1965 | 1925700 |
|  Neighborly Issuer LLC <br>Series 2021-1A, Class A2 <br>3.584%, 04/30/2051<sup>(c)</sup> |  | 516 | 437218 |
|  Nelnet Student Loan Trust<br>Series 2021-CA, Class B<br>2.53%, 04/20/2062<sup>(c)</sup> |  | 758 | 619574 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class B<br>2.90%, 04/20/2062<sup>(c)</sup> |  | 793 | 667685 |
|  NMEF Funding LLC <br>Series 2022-B, Class A2 <br>6.07%, 06/15/2029<sup>(c)</sup> |  | 968 | 971898 |
|  Upstart Securitization Trust <br>Series 2021-3, Class B <br>1.66%, 07/20/2031<sup>(c)</sup> |  | 1090 | 1019908 |
|  |  |  | 17851189 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Credit Cards - Fixed Rate – 0.4%** |  |  |  |
|  Brex Commercial Charge Card Master Trust<br>Series 2021-1, Class A<br>2.09%, 07/15/2024<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;729 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;722296 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A<br>4.63%, 07/15/2025<sup>(c)</sup> |  | 2894 | 2813843 |
|  Mission Lane Credit Card Master Trust <br>Series 2021-A, Class B <br>2.24%, 09/15/2026<sup>(c)</sup> |  | 352 | 342473 |
|  |  |  | 3878612 |
|  Total Asset-Backed Securities <br>(cost $55,653,136) |  |  | 52391667 |
|  **COLLATERALIZED MORTGAGE OBLIGATIONS – 5.0%** |  |  |  |
|  **Risk Share Floating Rate – 4.9%** |  |  |  |
|  Bellemeade Re Ltd.<br>Series 2019-1A, Class M1B<br>6.256% (LIBOR 1 Month + 1.75%), 03/25/2029<sup>(c) (e)</sup> |  | 8 | 7814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1B<br>6.106% (LIBOR 1 Month + 1.60%), 07/25/2029<sup>(c) (e)</sup> |  | 55 | 55365 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1C<br>6.456% (LIBOR 1 Month + 1.95%), 07/25/2029<sup>(c) (e)</sup> |  | 480 | 477737 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class M1C<br>7.26% (SOFR + 2.95%), 03/25/2031<sup>(c) (e)</sup> |  | 728 | 716611 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class M1B<br>5.81% (SOFR + 1.50%), 06/25/2031<sup>(c) (e)</sup> |  | 1425 | 1390345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A2<br>5.31% (SOFR + 1.00%), 09/25/2031<sup>(c) (e)</sup> |  | 1699 | 1643665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1B<br>6.46% (SOFR + 2.15%), 01/26/2032<sup>(c) (e)</sup> |  | 1255 | 1212826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class M1A<br>8.31% (SOFR + 4.00%), 09/27/2032<sup>(c) (e)</sup> |  | 2594 | 2594118 |
|  Connecticut Avenue Securities Trust<br>Series 2018-R07, Class 1M2<br>6.906% (LIBOR 1 Month + 2.40%), 04/25/2031<sup>(c) (e)</sup> |  | 41 | 40767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R02, Class 1M2<br>6.806% (LIBOR 1 Month + 2.30%), 08/25/2031<sup>(c) (e)</sup> |  | 14 | 13828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R03, Class 1M2<br>6.656% (LIBOR 1 Month + 2.15%), 09/25/2031<sup>(c) (e)</sup> |  | 8 | 8427 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R06, Class 2M2<br>6.606% (LIBOR 1 Month + 2.10%), 09/25/2039<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3989 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R07, Class 1M2<br>6.606% (LIBOR 1 Month + 2.10%), 10/25/2039<sup>(c) (e)</sup> |  | 73 | 73013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1M2<br>6.556% (LIBOR 1 Month + 2.05%), 01/25/2040<sup>(c) (e)</sup> |  | 362 | 361998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R02, Class 2M2<br>6.506% (LIBOR 1 Month + 2.00%), 01/25/2040<sup>(c) (e)</sup> |  | 186 | 185186 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1M2<br>5.86% (SOFR + 1.55%), 10/25/2041<sup>(c) (e)</sup> |  | 1447 | 1424990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1M2<br>5.96% (SOFR + 1.65%), 12/25/2041<sup>(c) (e)</sup> |  | 864 | 830314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1M2<br>6.21% (SOFR + 1.90%), 12/25/2041<sup>(c) (e)</sup> |  | 2899 | 2825229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M1<br>5.51% (SOFR + 1.20%), 01/25/2042<sup>(c) (e)</sup> |  | 1758 | 1740514 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1M2<br>7.81% (SOFR + 3.50%), 03/25/2042<sup>(c) (e)</sup> |  | 2283 | 2314194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2<br>7.41% (SOFR + 3.10%), 03/25/2042<sup>(c) (e)</sup> |  | 573 | 575230 |
|  Eagle Re Ltd. <br>Series 2021-2, Class M1B <br>6.36% (SOFR + 2.05%), 04/25/2034<sup>(c) (e)</sup> |  | 675 | 668004 |
|  Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes<br>Series 2015-HQA2, Class M3<br>9.306% (LIBOR 1 Month + 4.80%), 05/25/2028<sup>(e)</sup> |  | 94 | 96404 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA4, Class M2<br>6.456% (LIBOR 1 Month + 1.95%), 10/25/2049<sup>(c) (e)</sup> |  | 60 | 60074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA1, Class M2<br>6.206% (LIBOR 1 Month + 1.70%), 01/25/2050<sup>(c) (e)</sup> |  | 172 | 171814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA5, Class M2<br>7.11% (SOFR + 2.80%), 10/25/2050<sup>(c) (e)</sup> |  | 368 | 371591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class M2<br>5.96% (SOFR + 1.65%), 01/25/2034<sup>(c) (e)</sup> |  | 477 | 472310 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M2<br>5.81% (SOFR + 1.50%), 10/25/2041<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2561 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2452627 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class M2<br>6.11% (SOFR + 1.80%), 11/25/2041<sup>(c) (e)</sup> |  | 2635 | 2537451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA3, Class M1<br>5.16% (SOFR + 0.85%), 09/25/2041<sup>(c) (e)</sup> |  | 1072 | 1034932 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2<br>6.66% (SOFR + 2.35%), 12/25/2041<sup>(c) (e)</sup> |  | 1765 | 1580101 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M1B<br>6.16% (SOFR + 1.85%), 01/25/2042<sup>(c) (e)</sup> |  | 1542 | 1493664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M1B<br>6.71% (SOFR + 2.40%), 02/25/2042<sup>(c) (e)</sup> |  | 2468 | 2423339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M1B<br>7.21% (SOFR + 2.90%), 04/25/2042<sup>(c) (e)</sup> |  | 1069 | 1072044 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M1B<br>7.66% (SOFR + 3.35%), 05/25/2042<sup>(c) (e)</sup> |  | 2051 | 2088193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1B<br>8.81% (SOFR + 4.50%), 06/25/2042<sup>(c) (e)</sup> |  | 3681 | 3907246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA6, Class M1A<br>6.46% (SOFR + 2.15%), 09/25/2042<sup>(c) (e)</sup> |  | 1117 | 1125160 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA7, Class M1A<br>6.81% (SOFR + 2.50%), 03/25/2052<sup>(c) (e)</sup> |  | 3059 | 3097978 |
|  Federal National Mortgage Association Connecticut Avenue Securities<br>Series 2014-C04, Class 1M2<br>9.406% (LIBOR 1 Month + 4.90%), 11/25/2024<sup>(e)</sup> |  | 112 | 116435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C02, Class 1M2<br>8.506% (LIBOR 1 Month + 4.00%), 05/25/2025<sup>(e)</sup> |  | 98 | 100466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C03, Class 1M2<br>9.506% (LIBOR 1 Month + 5.00%), 07/25/2025<sup>(e)</sup> |  | 94 | 98745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C03, Class 2M2<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C04, Class 1M2<br>10.206% (LIBOR 1 Month + 5.70%), 04/25/2028<sup>(e)</sup> |  | 378 | 398805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2M2<br>6.31% (SOFR + 2.00%), 11/25/2041<sup>(c) (e)</sup> |  | 1221 | 1155738 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  PMT Credit Risk Transfer Trust<br>Series 2019-2R, Class A<br>7.267% (LIBOR 1 Month + 2.75%), 05/27/2023<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;489248 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3R, Class A<br>8.217% (LIBOR 1 Month + 3.70%), 11/27/2031<sup>(c) (e)</sup> |  | 45 | 43505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1R, Class A<br>6.867% (LIBOR 1 Month + 2.35%), 02/27/2023<sup>(e) (f)</sup> |  | 165 | 159038 |
|  Radnor Re Ltd.<br>Series 2019-1, Class M1B<br>6.456% (LIBOR 1 Month + 1.95%), 02/25/2029<sup>(c) (e)</sup> |  | 586 | 581493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M1B<br>6.256% (LIBOR 1 Month + 1.75%), 06/25/2029<sup>(c) (e)</sup> |  | 52 | 51752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M1A<br>5.456% (LIBOR 1 Month + 0.95%), 01/25/2030<sup>(c) (e)</sup> |  | 36 | 35804 |
|  Traingle Re Ltd. <br>Series 2021-3, Class M1A <br>6.21% (SOFR + 1.90%), 02/25/2034<sup>(c) (e)</sup> |  | 874 | 872040 |
|  |  |  | 47252161 |
|  **Agency Floating Rate – 0.1%** |  |  |  |
|  Federal Home Loan Mortgage Corp. REMICs<br>Series 3955, Class SD<br>2.141% (6.60% - LIBOR 1 Month), 11/15/2041<sup>(e) (g)</sup> |  | 1875 | 174818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4693, Class SL<br>1.691% (6.15% - LIBOR 1 Month), 06/15/2047<sup>(e) (g)</sup> |  | 1133 | 132958 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4954, Class SL<br>1.544% (6.05% - LIBOR 1 Month), 02/25/2050<sup>(e) (g)</sup> |  | 1418 | 157456 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4981, Class HS<br>1.594% (6.10% - LIBOR 1 Month), 06/25/2050<sup>(e) (g)</sup> |  | 2834 | 291478 |
|  Federal National Mortgage Association REMICs<br>Series 2011-131, Class ST<br>2.034% (6.54% - LIBOR 1 Month), 12/25/2041<sup>(e) (g)</sup> |  | 5 | 713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-17, Class SA<br>1.544% (6.05% - LIBOR 1 Month), 04/25/2044<sup>(e) (g)</sup> |  | 38 | 4212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-78, Class SE<br>1.594% (6.10% - LIBOR 1 Month), 12/25/2044<sup>(e) (g)</sup> |  | 839 | 89319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-77, Class DS<br>1.494% (6.00% - LIBOR 1 Month), 10/25/2046<sup>(e) (g)</sup> |  | 885 | 96612 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-62, Class AS<br>1.644% (6.15% - LIBOR 1 Month), 08/25/2047<sup>(e) (g)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;962 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-81, Class SA<br>1.694% (6.20% - LIBOR 1 Month), 10/25/2047<sup>(e) (g)</sup> |  | 15 | 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class LS<br>1.694% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(e) (g)</sup> |  | 1382 | 170338 |
|  Government National Mortgage Association<br>Series 2017-122, Class SA<br>1.714% (6.20% - LIBOR 1 Month), 08/20/2047<sup>(e) (g)</sup> |  | 742 | 89516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-134, Class MS<br>1.714% (6.20% - LIBOR 1 Month), 09/20/2047<sup>(e) (g)</sup> |  | 838 | 104648 |
|  |  |  | 1433450 |
|  **Non-Agency Floating Rate – 0.0%** |  |  |  |
|  JPMorgan Chase Bank, NA <br>Series 2019-CL1, Class M3 <br>6.606% (LIBOR 1 Month + 2.10%), 04/25/2047<sup>(c) (e)</sup> |  | 139 | 132978 |
|  Total Collateralized Mortgage Obligations <br>(cost $49,115,060) |  |  | 48818589 |
|  **COLLATERALIZED LOAN OBLIGATIONS – 2.8%** |  |  |  |
|  **CLO - Floating Rate – 2.8%** |  |  |  |
|  AGL CLO 10 Ltd. <br>Series 2021-10A, Class A <br>5.922% (LIBOR 3 Month + 1.13%), 04/15/2034<sup>(c) (e)</sup> |  | 250 | 245695 |
|  AGL CLO 12 Ltd. <br>Series 2021-12A, Class D <br>7.658% (LIBOR 3 Month + 2.85%), 07/20/2034<sup>(c) (e)</sup> |  | 948 | 877328 |
|  AGL CLO 16 Ltd.<br>Series 2021-16A, Class A<br>5.938% (LIBOR 3 Month + 1.13%), 01/20/2035<sup>(c) (e)</sup> |  | 4408 | 4332439 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-16A, Class D<br>7.908% (LIBOR 3 Month + 3.10%), 01/20/2035<sup>(c) (e)</sup> |  | 650 | 608548 |
|  Balboa Bay Loan Funding Ltd.<br>Series 2020-1A, Class DR<br>7.958% (LIBOR 3 Month + 3.15%), 01/20/2032<sup>(c) (e)</sup> |  | 415 | 387091 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A<br>6.008% (LIBOR 3 Month + 1.20%), 07/20/2034<sup>(c) (e)</sup> |  | 1111 | 1094529 |
|  Ballyrock CLO 15 Ltd. <br>Series 2021-1A, Class C <br>7.892% (LIBOR 3 Month + 3.10%), 04/15/2034<sup>(c) (e)</sup> |  | 1000 | 925699 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Ballyrock CLO 16 Ltd. <br>Series 2021-16A, Class C <br>7.708% (LIBOR 3 Month + 2.90%), 07/20/2034<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600953 |
|  Crown Point CLO 11 Ltd. <br>Series 2021-11A, Class D <br>8.392% (LIBOR 3 Month + 3.60%), 01/17/2034<sup>(c) (e)</sup> |  | 400 | 382966 |
|  Dryden 78 CLO Ltd.<br>Series 2020-78A, Class C<br>6.742% (LIBOR 3 Month + 1.95%), 04/17/2033<sup>(c) (e)</sup> |  | 880 | 841073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-78A, Class D<br>7.792% (LIBOR 3 Month + 3.00%), 04/17/2033<sup>(c) (e)</sup> |  | 460 | 432274 |
|  Dryden 98 CLO Ltd. <br>Series 2022-98A, Class D <br>7.739% (SOFR + 3.10%), 04/20/2035<sup>(c) (e)</sup> |  | 500 | 441156 |
|  Elevation CLO Ltd. <br>Series 2020-11A, Class C <br>6.992% (LIBOR 3 Month + 2.20%), 04/15/2033<sup>(c) (e)</sup> |  | 780 | 728335 |
|  Elmwood CLO IX Ltd. <br>Series 2021-2A, Class D <br>7.758% (LIBOR 3 Month + 2.95%), 07/20/2034<sup>(c) (e)</sup> |  | 1065 | 1004939 |
|  Flatiron CLO 21 Ltd. <br>Series 2021-1A, Class D <br>7.698% (LIBOR 3 Month + 2.90%), 07/19/2034<sup>(c) (e)</sup> |  | 1120 | 1039573 |
|  Goldentree Loan Management US CLO 7 Ltd. <br>Series 2020-7A, Class AR <br>5.878% (LIBOR 3 Month + 1.07%), 04/20/2034<sup>(c) (e)</sup> |  | 1077 | 1058667 |
|  Magnetite XXVI Ltd. <br>Series 2020-26A, Class A1R <br>5.938% (LIBOR 3 Month + 1.12%), 07/25/2034<sup>(c) (e)</sup> |  | 2348 | 2319425 |
|  Neuberger Berman Loan Advisers CLO 42 Ltd. <br>Series 2021-42A, Class D <br>7.592% (LIBOR 3 Month + 2.80%), 07/16/2035<sup>(c) (e)</sup> |  | 1295 | 1207500 |
|  Neuberger Berman Loan Advisers CLO 43 Ltd. <br>Series 2021-43A, Class A <br>5.922% (LIBOR 3 Month + 1.13%), 07/17/2035<sup>(c) (e)</sup> |  | 1354 | 1334650 |
|  Neuberger Berman Loan Advisers CLO Ltd. <br>Series 2021-42A, Class A <br>5.892% (LIBOR 3 Month + 1.10%), 07/16/2035<sup>(c) (e)</sup> |  | 903 | 891377 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  New Mountain CLO 3 Ltd. <br>Series CLO-3A, Class A <br>5.988% (LIBOR 3 Month + 1.18%), 10/20/2034<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;489875 |
|  OCP CLO Ltd. <br>Series 2020-18A, Class AR <br>5.898% (LIBOR 3 Month + 1.09%), 07/20/2032<sup>(c) (e)</sup> |  | 1424 |  | 1409665 |
|  Pikes Peak CLO 8 <br>Series 2021-8A, Class A <br>5.978% (LIBOR 3 Month + 1.17%), 07/20/2034<sup>(c) (e)</sup> |  | 1450 |  | 1430975 |
|  Rad CLO 7 Ltd. <br>Series 2020-7A, Class C <br>6.792% (LIBOR 3 Month + 2.00%), 04/17/2033<sup>(c) (e)</sup> |  | 400 |  | 384652 |
|  Rad CLO 14 Ltd <br>Series 2021-14A, Class A <br>5.962% (LIBOR 3 Month + 1.17%), 01/15/2035<sup>(c) (e)</sup> |  | 291 |  | 286716 |
|  Regatta XX Funding Ltd. <br>Series 2021-2A, Class D <br>7.892% (LIBOR 3 Month + 3.10%), 10/15/2034<sup>(c) (e)</sup> |  | 1425 |  | 1340334 |
|  Regatta XXIV Funding Ltd. <br>Series 2021-5A, Class D <br>7.342% (LIBOR 3 Month + 3.10%), 01/20/2035<sup>(c) (e)</sup> |  | 500 |  | 463393 |
|  Sixth Street CLO XVII Ltd. <br>Series 2021-17A, Class A <br>6.048% (LIBOR 3 Month + 1.24%), 01/20/2034<sup>(c) (e)</sup> |  | 381 |  | 378704 |
|  Voya CLO Ltd. <br>Series 2019-1A, Class DR <br>7.642% (LIBOR 3 Month + 2.85%), 04/15/2031<sup>(c) (e)</sup> |  | 340 |  | 305486 |
|  Total Collateralized Loan Obligations <br>(cost $28,171,283) | Total Collateralized Loan Obligations <br>(cost $28,171,283) | Total Collateralized Loan Obligations <br>(cost $28,171,283) |  | 27244017 |
|  **MORTGAGE PASS-THROUGHS – 2.7%** | **MORTGAGE PASS-THROUGHS – 2.7%** | **MORTGAGE PASS-THROUGHS – 2.7%** | **MORTGAGE PASS-THROUGHS – 2.7%** | **MORTGAGE PASS-THROUGHS – 2.7%** |
|  **Agency Fixed Rate 30-Year – 2.7%** | **Agency Fixed Rate 30-Year – 2.7%** | **Agency Fixed Rate 30-Year – 2.7%** | **Agency Fixed Rate 30-Year – 2.7%** | **Agency Fixed Rate 30-Year – 2.7%** |
|  Federal National Mortgage Association<br>Series 2022<br>2.50%, 03/01/2052 |  | 3751 |  | 3292869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2052 |  | 6663 |  | 6098594 |
|  Uniform Mortgage-Backed Security<br>Series 2023<br>2.50%, 02/01/2053, TBA |  | 7341 |  | 6425092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2053, TBA |  | 11228 |  | 10190918 |
|  Total Mortgage Pass-Throughs <br>(cost $26,657,699) | Total Mortgage Pass-Throughs <br>(cost $26,657,699) | Total Mortgage Pass-Throughs <br>(cost $26,657,699) |  | 26007473 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.7%** |  |  |  |
|  **Non-Agency Floating Rate CMBS – 1.2%** |  |  |  |
|  AREIT Trust <br>Series 2022-CRE6, Class A <br>5.56% (SOFR + 1.25%), 01/16/2037<sup>(c) (e)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3751 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3618819 |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2017-SCH, Class AF <br>5.46% (LIBOR 1 Month + 1.00%), 11/15/2033<sup>(c) (e)</sup> |  | 1755 | 1662197 |
|  BBCMS Mortgage Trust <br>Series 2020-BID, Class A <br>6.599% (LIBOR 1 Month + 2.14%), 10/15/2037<sup>(c) (e)</sup> |  | 1383 | 1350077 |
|  BFLD Trust <br>Series 2021-FPM, Class A <br>6.06% (LIBOR 1 Month + 1.60%), 06/15/2038<sup>(c) (e)</sup> |  | 2276 | 2190703 |
|  BX Commercial Mortgage Trust<br>Series 2019-IMC, Class D<br>6.359% (LIBOR 1 Month + 1.90%), 04/15/2034<sup>(c) (e)</sup> |  | 185 | 176958 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-IMC, Class E<br>6.609% (LIBOR 1 Month + 2.15%), 04/15/2034<sup>(c) (e)</sup> |  | 895 | 846672 |
|  CLNY Trust <br>Series 2019-IKPR, Class D <br>6.484% (LIBOR 1 Month + 2.02%), 11/15/2038<sup>(c) (e)</sup> |  | 1000 | 932373 |
|  Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk <br>Series 2021-MN1, Class M1 <br>6.31% (SOFR + 2.00%), 01/25/2051<sup>(c) (e)</sup> |  | 112 | 106096 |
|  HFX Funding Issuer <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035<sup>(f)</sup> |  | 1070 | 1024103 |
|  Natixis Commercial Mortgage Securities Trust <br>Series 2019-MILE, Class A <br>6.058% (SOFR + 1.58%), 07/15/2036<sup>(c) (e)</sup> |  | 461 | 443705 |
|  |  |  | 12351703 |
|  **Non-Agency Fixed Rate CMBS – 0.5%** |  |  |  |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2013-WBRK, Class D <br>3.534%, 03/10/2037<sup>(c)</sup> |  | 520 | 331887 |
|  Citigroup Commercial Mortgage Trust<br>Series 2013-GC11, Class B<br>3.732%, 04/10/2046 |  | 915 | 911738 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC11, Class D<br>4.377%, 04/10/2046<sup>(c)</sup> |  | 191 | 186856 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Commercial Mortgage Trust <br>Series 2013-SFS, Class A1 <br>1.873%, 04/12/2035<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13493 |
|  GS Mortgage Securities Trust<br>Series 2011-GC5, Class D<br>5.154%, 08/10/2044<sup>(c)</sup> |  | 19 | 7770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC18, Class D<br>5.055%, 01/10/2047<sup>(c)</sup> |  | 157 | 58864 |
|  GSF<br>Series 2021-1, Class A1<br>1.433%, 08/15/2026<sup>(f) (h)</sup> |  | 573 | 537753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A2<br>2.435%, 08/15/2026<sup>(f) (h)</sup> |  | 1421 | 1344344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AS<br>2.638%, 08/15/2026<sup>(f) (h)</sup> |  | 40 | 36241 |
|  JPMBB Commercial Mortgage Securities Trust<br>Series 2014-C21, Class B<br>4.341%, 08/15/2047 |  | 314 | 295681 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class XA<br>0.799%, 09/15/2047<sup>(i)</sup> |  | 17637 | 154318 |
|  LB-UBS Commercial Mortgage Trust <br>Series 2006-C6, Class AJ <br>5.452%, 09/15/2039 |  | 78 | 34070 |
|  Morgan Stanley Bank of America Merrill Lynch Trust <br>Series 2015-C25, Class XA <br>1.038%, 10/15/2048<sup>(i)</sup> |  | 9375 | 176310 |
|  Wells Fargo Commercial Mortgage Trust<br>Series 2016-LC25, Class C<br>4.342%, 12/15/2059 |  | 330 | 288730 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NXS6, Class C<br>4.386%, 11/15/2049 |  | 525 | 462777 |
|  |  |  | 4840832 |
|  Total Commercial Mortgage-Backed Securities <br>(cost $18,327,885) |  |  | 17192535 |
|  **CORPORATES - NON-INVESTMENT GRADE – 1.6%** |  |  |  |
|  **Industrial – 1.4%** |  |  |  |
|  **Basic – 0.1%** |  |  |  |
|  INEOS Quattro Finance 2 PLC <br>2.50%, 01/15/2026<sup>(c)</sup> | EUR | 506 | 490787 |
|  **Capital Goods – 0.0%** |  |  |  |
|  TK Elevator Midco GmbH <br>4.375%, 07/15/2027<sup>(c)</sup> |  | 401 | 394702 |
|  **Communications - Media – 0.4%** |  |  |  |
|  Altice Financing SA <br>3.00%, 01/15/2028<sup>(c)</sup> |  | 642 | 558005 |
|  CCO Holdings LLC/CCO Holdings Capital Corp.<br>4.50%, 08/15/2030<sup>(c)</sup> | U.S.$| 104 | 88918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/2033<sup>(c)</sup> |  | 368 | 299018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/2032<sup>(c)</sup> |  | 2261 | 1921307 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  DISH DBS Corp. <br>5.75%, 12/01/2028<sup>(c)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1067 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875121 |
|  VZ Vendor Financing II BV <br>2.875%, 01/15/2029<sup>(c)</sup> | EUR | 561 | 479064 |
|  |  |  | 4221433 |
|  **Communications - Telecommunications – 0.1%** |  |  |  |
|  Altice France SA/France <br>3.375%, 01/15/2028<sup>(c)</sup> |  | 307 | 261838 |
|  Lorca Telecom Bondco SA <br>4.00%, 09/18/2027<sup>(c)</sup> |  | 642 | 640418 |
|  |  |  | 902256 |
|  **Consumer Cyclical - Automotive – 0.2%** |  |  |  |
|  Ford Motor Co. <br>6.10%, 08/19/2032 | U.S.$| 1172 | 1150025 |
|  Ford Motor Credit Co. LLC <br>7.35%, 11/04/2027 |  | 501 | 525409 |
|  |  |  | 1675434 |
|  **Consumer Cyclical - Entertainment – 0.2%** |  |  |  |
|  Carnival Corp. <br>4.00%, 08/01/2028<sup>(c)</sup> |  | 1235 | 1064607 |
|  Royal Caribbean Cruises Ltd. <br>8.25%, 01/15/2029<sup>(c)</sup> |  | 1118 | 1168008 |
|  |  |  | 2232615 |
|  **Consumer Cyclical - Other – 0.1%** |  |  |  |
|  Caesars Entertainment, Inc. <br>7.00%, 02/15/2030<sup>(c)</sup> |  | 561 | 571670 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC <br>3.50%, 03/15/2029<sup>(c)</sup> |  | 664 | 572733 |
|  IQVIA, Inc. <br>2.25%, 03/15/2029<sup>(c)</sup> | EUR | 550 | 502581 |
|  Organon & Co./Organon Foreign Debt Co-Issuer BV <br>2.875%, 04/30/2028<sup>(c)</sup> |  | 550 | 522258 |
|  |  |  | 1597572 |
|  **Services – 0.1%** |  |  |  |
|  APCOA Parking Holdings GmbH <br>4.625%, 01/15/2027<sup>(c)</sup> |  | 642 | 605221 |
|  **Technology – 0.1%** |  |  |  |
|  Playtech PLC <br>4.25%, 03/07/2026<sup>(c)</sup> |  | 550 | 574643 |
|  |  |  | 13266333 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Financial Institutions – 0.1%** |  |  |  |
|  **Banking – 0.1%** |  |  |  |
|  Credit Suisse Group AG<br>5.25%, 02/11/2027<sup>(c) (d)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;713 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;539114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 08/21/2026<sup>(c) (d)</sup> |  | 320 | 261018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 07/17/2023<sup>(c) (d)</sup> |  | 694 | 645614 |
|  |  |  | 1445746 |
|  **Utility – 0.1%** |  |  |  |
|  **Electric – 0.1%** |  |  |  |
|  Vistra Corp. <br>7.00%, 12/15/2026<sup>(c) (d)</sup> |  | 751 | 706961 |
|  Total Corporates - Non-Investment Grade <br>(cost $17,341,319) |  |  | 15419040 |
|  **EMERGING MARKETS - CORPORATE BONDS – 0.3%** |  |  |  |
|  **Industrial – 0.3%** |  |  |  |
|  **Basic – 0.0%** |  |  |  |
|  Volcan Cia Minera SAA <br>4.375%, 02/11/2026<sup>(c)</sup> |  | 125 | 110047 |
|  **Capital Goods – 0.1%** |  |  |  |
|  Embraer Netherlands Finance BV<br>5.40%, 02/01/2027 |  | 590 | 578937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 01/17/2028<sup>(c)</sup> |  | 384 | 392832 |
|  Odebrecht Holdco Finance Ltd. <br>Zero Coupon, 09/10/2058<sup>(c)</sup> |  | 270 | 433 |
|  |  |  | 972202 |
|  **Communications - Media – 0.0%** |  |  |  |
|  Globo Comunicacao e Participacoes SA <br>4.875%, 01/22/2030<sup>(c)</sup> |  | 427 | 362763 |
|  **Consumer Cyclical - Other – 0.1%** |  |  |  |
|  Wynn Macau Ltd. <br>5.625%, 08/26/2028<sup>(c)</sup> |  | 483 | 427455 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Natura & Co. Luxembourg Holdings SARL <br>6.00%, 04/19/2029<sup>(c)</sup> |  | 592 | 518192 |
|  Natura Cosmeticos SA <br>4.125%, 05/03/2028<sup>(c)</sup> |  | 583 | 481092 |
|  Virgolino de Oliveira Finance SA <br>10.50%, 01/28/2018<sup>(f) (h) (j) (k) (l)</sup> |  | 655 | 66 |
|  |  |  | 999350 |
|  |  |  | 2871817 |
|  **Utility – 0.0%** |  |  |  |
|  **Electric – 0.0%** |  |  |  |
|  Terraform Global Operating LP <br>6.125%, 03/01/2026<sup>(f)</sup> |  | 89 | 84659 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Financial Institutions – 0.0%** |  |  |  |
|  **Other Finance – 0.0%** |  |  |  |
|  OEC Finance Ltd. <br>5.25%, 12/27/2033<sup>(c) (m)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6047 |
|  Total Emerging Markets - Corporate Bonds <br>(cost $4,114,912) |  |  | 2962523 |
|  **LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.3%** |  |  |  |
|  **United States – 0.3%** |  |  |  |
|  City of New York<br>Series 2021-D<br>1.923%, 08/01/2031 |  | 775 | 627724 |
|  Port Authority of New York & New Jersey<br>Series 2020-A<br>1.086%, 07/01/2023 |  | 660 | 649994 |
|  Tobacco Settlement Finance Authority/WV<br>Series 2020<br>3.00%, 06/01/2035 |  | 396 | 366365 |
|  University of California<br>Series 2021-B<br>3.071%, 05/15/2051 |  | 1465 | 1061545 |
|  Total Local Governments - US Municipal Bonds <br>(cost $3,286,938) |  |  | 2705628 |
|  **QUASI-SOVEREIGNS – 0.2%** |  |  |  |
|  **Quasi-Sovereign Bonds – 0.2%** |  |  |  |
|  **Mexico – 0.2%** |  |  |  |
|  Comision Federal de Electricidad<br>3.348%, 02/09/2031<sup>(c)</sup> |  | 1089 | 891142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.688%, 05/15/2029<sup>(c)</sup> |  | 1016 | 932371 |
|  Total Quasi-Sovereigns <br>(cost $2,104,817) |  |  | 1823513 |
|  **EMERGING MARKETS - SOVEREIGNS – 0.1%** |  |  |  |
|  **Dominican Republic – 0.1%** |  |  |  |
|  Dominican Republic International Bond <br>4.875%, 09/23/2032<sup>(c)</sup> <br>(cost $1,213,000) |  | 1213 | 1031277 |
|  | **Shares** | **Shares** |  |
|  **COMMON STOCKS – 0.0%** |  |  |  |
|  **Financials – 0.0%** |  |  |  |
|  **Insurance – 0.0%** |  |  |  |
|  Mt. Logan Re Ltd. (Special Investment)<sup>(h) (k)</sup> <br>(cost $213,001) |  | 452 | 383252 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **GOVERNMENTS - SOVEREIGN BONDS – 0.0%** |  |  |  |
|  **Colombia – 0.0%** |  |  |  |
|  Colombia Government International Bond <br>3.125%, 04/15/2031 <br>(cost $247,293) | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187441 |
|  | **Shares** | **Shares** |  |
|  **SHORT-TERM INVESTMENTS – 0.1%** |  |  |  |
|  **Investment Companies – 0.1%** |  |  |  |
|  AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB,<br>4.15%<sup>(n) (o) (p)</sup> <br>(cost $923,572) |  | 923572 | 923572 |
|  **Total Investments – 106.7%** <br> (cost $1,063,265,412)<sup>(q)</sup> |  |  | 1038355599 |
|  Other assets less liabilities – (6.7)% |  |  | (65631054) |
|  **Net Assets – 100.0%** |  |  | $**972724545** |

---

**FUTURES** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br>of<br>Contracts** | **Expiration<br>Month** | **Current<br>Notional** | **Value and<br>Unrealized<br>Appreciation<br>(Depreciation)** |
| **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** |
| U.S. 10 Yr Ultra Futures | 91 | March 2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11029484 | $(3481) |
| U.S. T-Note 2 Yr (CBT) Futures | 298 | March 2023 | 61283235 | 220443 |
| U.S. T-Note 5 Yr (CBT) Futures | 163 | March 2023 | 17806477 | 83720 |
| **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** |
| 10 Yr Japan Bond (OSE) Futures | 36 | March 2023 | 40534399 | 489664 |
| U.S. 10 Yr Ultra Futures | 171 | March 2023 | 20725734 | 36255 |
| U.S. Ultra Bond (CBT) Futures | 72 | March 2023 | 10206000 | (285854) |
|  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540747 |

---

**FORWARD CURRENCY EXCHANGE CONTRACTS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to**<br> **Deliver**<br> **(000)** | **Contracts to**<br> **Deliver**<br> **(000)** | **In Exchange**<br> **For**<br> **(000)** | **In Exchange**<br> **For**<br> **(000)** | **Settlement**<br> **Date** | **Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
| Citibank, NA | JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104935 | USD | 760 | 02/09/2023 | $(47321) |
| State Street Bank & Trust Co. | USD | 797 | JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;103621 | 02/09/2023 | (556) |
| UBS AG | EUR | 7354 | USD | 7763 | 02/27/2023 | (244922) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(292799) |

---

------

**CENTRALLY CLEARED CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Buy Contracts** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-NAHY Series 39, 5 Year Index, 12/20/2027\* | (5.00)% | Quarterly | 4.29% | USD | 10100 | $(338668) | $236583 | $(575251) |

---

*\** *Termination date* 

**CENTRALLY CLEARED INFLATION (CPI) SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| USD | 9000 | 07/15/2023 | 1.902% | CPI# | Maturity | $889893 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $889893 |
| USD | 3000 | 01/15/2024 | 1.599% | CPI# | Maturity | 348269 |  | 348269 |
| USD | 20700 | 07/15/2024 | 3.440% | CPI# | Maturity | (109791) |  | (109791) |
| USD | 64600 | 02/26/2025 | 1.589% | CPI# | Maturity | 7643924 |  | 7643924 |
| USD | 38550 | 02/28/2025 | 1.527% | CPI# | Maturity | 4676651 |  | 4676651 |
| USD | 61010 | 05/13/2027 | 3.263% | CPI# | Maturity | (961138) |  | (961138) |
| USD | 29760 | 07/08/2027 | 2.770% | CPI# | Maturity | (10608) |  | (10608) |
| USD | 29760 | 07/08/2027 | 2.778% | CPI# | Maturity | (21294) |  | (21294) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12455906 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12455906 |

---

*#* *Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).* 

**CENTRALLY CLEARED INTEREST RATE SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| USD | 1160 | 06/09/2025 | 2.488% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | $51328 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $51328 |
| USD | 2106 | 08/04/2025 | 2.293% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 96640 |  | 96640 |
| USD | 5400 | 10/04/2026 | 1.487% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 431778 |  | 431778 |
| USD | 1080 | 11/08/2026 | 1.657% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 90488 |  | 90488 |
| USD | 1080 | 11/09/2026 | 1.672% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 89794 |  | 89794 |
| USD | 7030 | 04/04/2027 | 2.436% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 336576 |  | 336576 |
| USD | 20920 | 06/05/2027 | 0.558% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2811456 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2811456 |
| USD | 715 | 07/12/2027 | 2.355% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 41812 |  | 41812 |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| USD | 5395 | 06/04/2029 | 2.150% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | $462686 | $— | $462686 |
| USD | 3170 | 09/27/2029 | 1.593% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 368940 |  | 368940 |
| USD | 40300 | 05/21/2031 | 1.617% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 5758182 |  | 5758182 |
| USD | 1490 | 11/10/2035 | 2.631% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 143318 |  | 143318 |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10682998 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10682998 |

---

**CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Sale Contracts** |  |  |  |  |  |  |  |  |
| Citigroup Global Markets, Inc. |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 6 | $(1358) | $(832) | $(526) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1358) | (665) | (693) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 8 | (1961) | (759) | (1202) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 17 | (4074) | (2310) | (1764) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 17 | (4073) | (2104) | (1969) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 15 | (3771) | (1730) | (2041) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 23 | (5583) | (2695) | (2888) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 27 | (6488) | (3235) | (3253) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6487) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3131) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3356) |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 37 | $(9052) | $(4369) | $(4683) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 37 | (9053) | (3943) | (5110) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 57 | (13880) | (6535) | (7345) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 54 | (13126) | (5717) | (7409) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 75 | (18256) | (7623) | (10633) |
| Credit Suisse International |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 3 | (754) | (358) | (396) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 75 | (18406) | (8535) | (9871) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 86 | (20971) | (9898) | (11073) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19613) | (6051) | (13562) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 140 | (34097) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19244) | (14853) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 85 | (20820) | (5476) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15344) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 105 | (25498) | (8034) | (17464) |
| Deutsche Bank AG |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 19 | (4527) | (2019) | (2508) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 80 | (19614) | (9403) | (10211) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 93 | (22631) | (10849) | (11782) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 134 | (32739) | (14247) | (18492) |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 135 | $(32890) | $(14307) | $(18583) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 270 | (65781) | (17954) | (47827) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 409 | (99878) | (26631) | (73247) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(107723) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23523) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(84200) |
| Goldman Sachs International |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 9 | (2263) | (1308) | (955) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 9 | (2264) | (772) | (1492) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 17 | (4073) | (1987) | (2086) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 19 | (4526) | (1701) | (2825) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 19 | (4526) | (1572) | (2954) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 36 | (8902) | (3656) | (5246) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 103 | (25044) | (10151) | (14893) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 110 | (26855) | (8828) | (18027) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 229 | (55974) | (34805) | (21169) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 199 | (48581) | (25153) | (23428) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 320 | (78001) | (49200) | (28801) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 370 | (90222) | (52763) | (37459) |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| Morgan Stanley Capital Services LLC |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 118 | $(28817) | $(7731) | $(21086) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1004510) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(421804) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(582706) |

---

*\** *Termination date* 

**INFLATION (CPI) SWAPS** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Rate Type** | **Rate Type** | | | | |
| **Swap Counterparty** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | **Payment<br>Frequency<br>Paid/<br>Received** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| JPMorgan Chase Bank, NA | USD | 23800 | 07/15/2023 | 1.848% | CPI# | Maturity | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2420979 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2420979 |

---

*#* *Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).* 

**INTEREST RATE SWAPS** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Rate Type** | **Rate Type** | | | | |
| **Swap Counterparty** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | **Payment<br>Frequency<br>Paid/<br>Received** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| Morgan Stanley Capital Services LLC | USD | 595 | 03/06/2042 | 2.804% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55298 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55298 |

---

**REVERSE REPURCHASE AGREEMENTS** 

---

| | | | |
|:---|:---|:---|:---|
| **Broker** | **Interest**<br> **Rate** | **Maturity** | **U.S. $Value at<br>January 31,<br>2023** |
| HSBC Securities (USA), Inc.† | 4.40% |  | $19193450 |
| HSBC Securities (USA), Inc.† | 4.40% |  | 10565685 |
| HSBC Securities (USA), Inc.† | 4.40% |  | 6030162 |
| JPMorgan Chase Bank† | 4.37% |  | 5764945 |
|  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41554242 |

---

*†* *The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on January 31, 2023.* 

------

The type of underlying collateral and the remaining maturity of open reverse repurchase agreements is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Overnight and**<br> **Continuous** | **Up to 30 Days** | **31-90 Days** | **Greater than**<br> **90 Days** | **Total** |
| Inflation-Linked Securities | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41554242 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41554242 |

---

*(a)* *Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements.* 

*(b)* *Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.* 

*(c)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At January 31, 2023, the aggregate market value of these securities amounted to $205,280,486 or 21.1% of net assets.* 

*(d)* *Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.* 

*(e)* *Floating Rate Security. Stated interest/floor/ceiling rate was in effect at January 31, 2023.* 

*(f)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.34% of net assets as of January 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows:* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **144A/Restricted & Illiquid Securities** | **Acquisition<br>Date** | **Cost** | | **Market<br>Value** | | **Percentage<br>of<br>Net Assets** |
|  *GSF <br>Series 2021-1, Class A1 <br>1.433%, 08/15/2026* | *02/25/2021* | $*557165* | | $*537753* | | *0.06%* |
|  *GSF <br>Series 2021-1, Class A2 <br>2.435%, 08/15/2026* | *02/25/2021* | *1454735* | | *1344344* | | *0.14%* |
|  *GSF <br>Series 2021-1, Class AS <br>2.638%, 08/15/2026* | *02/25/2021* | *40794* | | *36241* | | *0.00%* |
|  *HFX Funding Issuer <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035* | *11/19/2020* | *1138250* | | *1024103* | | *0.11%* |
|  *PMT Credit Risk Transfer Trust<br>Series 2020-1R, Class A <br>6.867%, 02/27/2023* | *02/11/2000* | *164547* | | *159038* | | *0.02%* |
|  *Terraform Global Operating LP <br>6.125%, 03/01/2026* | *02/08/2018* | *89000* | | *84659* | | *0.01%* |
|  *Virgolino de Oliveira Finance SA <br>10.50%, 01/28/2018* | *01/24/2014* | *363153* | | *66* | | *0.00%* |

---

*(g)* *Inverse interest only security.* 

*(h)* *Security in which significant unobservable inputs (Level 3) were used in determining fair value.* 

*(i)* *IO - Interest Only.* 

*(j)* *Fair valued by the Adviser.* 

*(k)* *Non-income producing security.* 

*(l)* *Defaulted matured security.* 

*(m)* *Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at January 31, 2023.* 

*(n)* *Affiliated investments.* 

*(o)* *To obtain a copy of the fund's shareholder report, please go to the Securities and Exchange Commission's website at www.sec.gov, or call AB at (800) 227-4618.* 

*(p)* *The rate shown represents the 7-day yield as of period end.* 

------

*(q)* *As of January 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $34,722,176 and gross unrealized depreciation of investments was $(34,926,817), resulting in net unrealized depreciation of $(204,641).* 

*Currency Abbreviations:* 

*EUR – Euro* 

*JPY – Japanese Yen* 

*USD – United States Dollar* 

*Glossary:* 

*ABS – Asset-Backed Securities* 

*CBT – Chicago Board of Trade* 

*CDX-CMBX.NA – North American Commercial Mortgage-Backed Index* 

*CDX-NAHY – North American High Yield Credit Default Swap Index* 

*CLO – Collateralized Loan Obligations* 

*CMBS – Commercial Mortgage-Backed Securities* 

*CPI – Consumer Price Index* 

*LIBOR – London Interbank Offered Rate* 

*OSE – Osaka Securities Exchange* 

*REIT – Real Estate Investment Trust* 

*REMICs – Real Estate Mortgage Investment Conduits* 

*SOFR – Secured Overnight Financing Rate* 

*TBA – To Be Announced* 

*TIPS – Treasury Inflation Protected Security* 

------

**AB Bond Inflation Strategy** 

**January 31, 2023 (unaudited)** 

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund's own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 - quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates,
prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value
of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

------

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

The following table summarizes the valuation of the Fund's investments by the above fair value hierarchy levels as of January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities:** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets:** |  |  |  |  |
| Inflation-Linked Securities | $— | $714765603 | $— | $714765603 |
| Corporates - Investment Grade | 1029000 | 125470469 |  | 126499469 |
| Asset-Backed Securities |  | 52391667 |  | 52391667 |
| Collateralized Mortgage Obligations |  | 48818589 |  | 48818589 |
| Collateralized Loan Obligations |  | 27244017 |  | 27244017 |
| Mortgage Pass-Throughs |  | 26007473 |  | 26007473 |
| Commercial Mortgage-Backed Securities |  | 15274197 | 1918338 | 17192535 |
| Corporates - Non-Investment Grade |  | 15419040 |  | 15419040 |
| Emerging Markets - Corporate Bonds |  | 2962457 | 66 | 2962523 |
| Local Governments - US Municipal Bonds |  | 2705628 |  | 2705628 |
| Quasi-Sovereigns |  | 1823513 |  | 1823513 |
| Emerging Markets - Sovereigns |  | 1031277 |  | 1031277 |
| Common Stocks |  |  | 383252 | 383252 |
| Governments - Sovereign Bonds |  | 187441 |  | 187441 |
| Short-Term Investments | 923572 |  |  | 923572 |
| Total Investments in Securities | 1952572 | 1034101371 | 2301656 | 1038355599 |
| **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |  |
| **Assets:** |  |  |  |  |
| Futures | 830082 |  |  | 830082 |
| Centrally Cleared Inflation (CPI) Swaps |  | 13558737 |  | 13558737 |
| Centrally Cleared Interest Rate Swaps |  | 10682998 |  | 10682998 |
| Inflation (CPI) Swaps |  | 2420979 |  | 2420979 |
| Interest Rate Swaps |  | 55298 |  | 55298 |
| **Liabilities:** |  |  |  |  |
| Futures | (289335) |  |  | (289335) |
| Forward Currency Exchange Contracts |  | (292799) |  | (292799) |
| Centrally Cleared Credit Default Swaps |  | (338668) |  | (338668) |
| Centrally Cleared Inflation (CPI) Swaps |  | (1102831) |  | (1102831) |
| Credit Default Swaps |  | (1004510) |  | (1004510) |
| Reverse Repurchase Agreements | (41554242) |  |  | (41554242) |
| **Total** | $**(39060923)** | $**1058080575** | $**2301656** | $**1021321308** |

---

*<sup>(a)</sup>* *Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value.* 

------

A summary of the Fund's transactions in AB mutual funds for the three months ended January 31, 2023 is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Fund** | **Market Value**<br> **10/31/2022**<br> **(000)** | **Purchases**<br> **at Cost**<br> **(000)** | **Sales**<br> **Proceeds**<br> **(000)** | **Market Value**<br> **01/31/2023**<br> **(000)** | **Dividend**<br> **Income**<br> **(000)** |
| Government Money Market Portfolio | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43764 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197127 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239967 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;924 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AB BOND FUND, INC.

- **b. Investment Company Act file number:** 811-02383

- **c. CIK number of Registrant:** 0000003794

- **d. LEI of Registrant:** 549300RYJMGGIS1UBQ97

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

  - **Street Address 1:** ALLIANCEBERNSTEIN LP

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-969-1000

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

- **a. Name of Series:** AB Bond Inflation Strategy

- **b. EDGAR series identifier (if any):** S000027378

- **c. LEI of Series:** 0QWYN1X8473Z4B5GZO43

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $1042213412.16

**Total Liabilities:** $66866357.68

**Net Assets:** $975347054.48

**Delayed Delivery Securities:** $5804891.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2505.53000000 | **1-Year:** -2514.47000000 | **5-Year:** -8311.71000000 | **10-Year:** -6323.70000000 | **30-Year:** -8181.11000000

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

- **3-Month:** -22486.28000000 | **1-Year:** -23138.03000000 | **5-Year:** -67075.93000000 | **10-Year:** -43829.24000000 | **30-Year:** -44520.05000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000085437 | 1.11%                | 0.09%                | 1.64%                |
| Class ID C000085435 | 1.08%                | 0.08%                | 1.51%                |
| Class ID C000082621 | 1.19%                | 0.04%                | 1.62%                |
| Class ID C000082622 | 1.02%                | 0.03%                | 1.46%                |
| Class ID C000082623 | 1.20%                | 0.08%                | 1.52%                |
| Class ID C000152483 | 1.12%                | 0.10%                | 1.55%                |
| Class ID C000085436 | 1.10%                | 0.13%                | 1.52%                |
| Class ID C000085438 | 1.23%                | 0.10%                | 1.56%                |
| Class ID C000085359 | 1.13%                | 0.08%                | 1.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-82594697.80            | $96656447.52                               |
| Month 2  | $-517341.62              | $-4374407.94                               |
| Month 3  | $-1728296.30             | $20302520.41                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Notes: 1-10 Year

- **Index Identifier:** LTI1TRUU:IND

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF AMERICA CORP                           | Bank of America Corp                                                                                                               | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2480000 | PA      | $2425464.80   | 0.25%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                                                                    | CUSIP: 3140XGCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3751410 | PA      | $3292868.99   | 0.34%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                         | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    368000 | PA      | $299018.40    | 0.03%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R02                                                                                       | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1757616 | PA      | $1740513.63   | 0.18%             | 2042-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                              | Expedia Group Inc                                                                                                                  | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $34589.56     | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    557000 | PA      | $425798.65    | 0.04%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                         | Mizuho Financial Group Inc                                                                                                         | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1151000 | PA      | $1176045.76   | 0.12%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                               | Flatiron CLO 21 Ltd                                                                                                                | CUSIP: 33883PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1039572.80   | 0.11%             | 2034-07-19      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1OA21   CDS USD R F  3.00000 IS1OA21 CMBX / Short: IS1OA21   CDS USD P V 01MEVENT IS1OA32 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     53813 | OU      | $-13125.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1IFA6   CDS USD R F  3.00000 IS1IFA6 CMBX / Short: IS1IFA6   CDS USD P V 01MEVENT IS1IFB7 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      5567 | OU      | $-1357.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LB-UBS Commercial Mortgage Trust               | LB-UBS Commercial Mortgage Trust 2006-C6                                                                                           | CUSIP: 50179MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77787 | PA      | $34069.92     | 0.00%             | 2039-09-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                       | Brex Commercial Charge Card Master Trust                                                                                           | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2894000 | PA      | $2813843.44   | 0.29%             | 2025-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                              | Vornado Realty LP                                                                                                                  | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |    718000 | PA      | $555588.40    | 0.06%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    320000 | PA      | $261017.60    | 0.03%             | 2026-08-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                       | Dext ABS 2021-1 LLC                                                                                                                | CUSIP: 23345CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197000 | PA      | $182343.36    | 0.02%             | 2028-02-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                        | Australia & New Zealand Banking Group Ltd                                                                                          | CUSIP: 05252ADF5<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    992000 | PA      | $993378.88    | 0.10%             | 2025-02-03      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS1FTA5   IRS USD R V 03MLIBOR IS1FTB6 CCPVANILLA / Short: BS1FTA5   IRS USD P F  2.35450 IS1FTA5 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    715000 | OU      | $41812.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                  | Ballyrock CLO 16 Ltd                                                                                                               | CUSIP: 05876KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $600953.10    | 0.06%             | 2034-07-20      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                       | Volcan Cia Minera SAA                                                                                                              | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |    125000 | PA      | $110046.88    | 0.01%             | 2026-02-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                           | Colombia Government International Bond                                                                                             | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    248000 | PA      | $187441.50    | 0.02%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    346000 | PA      | $300947.34    | 0.03%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                  | Discover Bank                                                                                                                      | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    327000 | PA      | $317284.83    | 0.03%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                         | Santander Holdings USA Inc                                                                                                         | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    497000 | PA      | $437847.06    | 0.04%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                    | Balboa Bay Loan Funding 2021-1 Ltd                                                                                                 | CUSIP: 05765XAA9<br>LEI: 549300G0EX8VHFWPJW18 | Long             | ABS-CBDO         | CORP              | KY        |   1111305 | PA      | $1094528.74   | 0.11%             | 2034-07-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    433000 | PA      | $402811.24    | 0.04%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WEIBO CORP                                     | Weibo Corp                                                                                                                         | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |   2114000 | PA      | $1765190.00   | 0.18%             | 2030-07-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LORCA TELECOM BONDCO                           | Lorca Telecom Bondco SA                                                                                                            | CUSIP: 000000000<br>LEI: 9598004HFBAS82YM7X35 | Long             | DBT              | CORP              | ES        |    642000 | PA      | $640418.44    | 0.07%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                         | Standard Chartered PLC                                                                                                             | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1104000 | PA      | $1151063.52   | 0.12%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re 2019-3 Ltd                                                                                                           | CUSIP: 07877GAB5<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |     55383 | PA      | $55365.36     | 0.01%             | 2029-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                  | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |         1 | NC      | $-555.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                               | NMEF Funding 2022-B LLC                                                                                                            | CUSIP: 62890MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968000 | PA      | $971898.33    | 0.10%             | 2029-06-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                            | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2561364 | PA      | $2452627.18   | 0.25%             | 2041-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                    | Vistra Corp                                                                                                                        | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    751000 | PA      | $706961.36    | 0.07%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                               | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                        | GLP Capital LP / GLP Financing II Inc                                                                                              | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              |  | US        |   1373000 | PA      | $1142926.39   | 0.12%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                             | Dominican Republic International Bond                                                                                              | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   1213000 | PA      | $1031277.44   | 0.11%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| University of California                       | UNIV OF CALIFORNIA CA REVENUES                                                                                                     | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1465000 | PA      | $1061545.45   | 0.11%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                               | Altria Group Inc                                                                                                                   | CUSIP: 02209SBJ1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    950000 | PA      | $841158.50    | 0.09%             | 2030-05-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                | Prestige Auto Receivables Trust 2022-1                                                                                             | CUSIP: 74113RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1459000 | PA      | $1460850.16   | 0.15%             | 2025-07-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments Inc                                                                                                                | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    432000 | PA      | $360236.16    | 0.04%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                         | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-244922.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                          | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421000 | PA      | $1344344.16   | 0.14%             | 2026-08-15      | Variable      | 2.44%                 | No            |                  3 | On Loan: No      |
| AREIT CRE Trust                                | AREIT 2022-CRE6 Trust                                                                                                              | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3750972 | PA      | $3618818.85   | 0.37%             | 2037-01-16      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    246000 | PA      | $234942.30    | 0.02%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                        | Goldman Sachs Group Inc/The                                                                                                        | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    775000 | PA      | $691408.50    | 0.07%             | 2026-11-10      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                   | AGL CLO 12 Ltd                                                                                                                     | CUSIP: 00120BAJ9<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    947599 | PA      | $877327.90    | 0.09%             | 2034-07-20      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                      | Nelnet Student Loan Trust 2021-D                                                                                                   | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    793000 | PA      | $667685.38    | 0.07%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                               | Societe Generale SA                                                                                                                | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1764000 | PA      | $1589628.60   | 0.16%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    188000 | PA      | $145944.40    | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank NA - SBCLN                                                                                                          | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672457 | PA      | $650189.81    | 0.07%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    134842 | OU      | $-32890.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                                                                    | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $462776.95    | 0.05%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                          | Time Warner Cable LLC                                                                                                              | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    235000 | PA      | $186449.00    | 0.02%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA7                                                                                            | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3059490 | PA      | $3097978.28   | 0.32%             | 2052-03-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| ENA MASTER TRUST                               | ENA Master Trust                                                                                                                   | CUSIP: 29249BAA3<br>LEI: 549300CBCHB6Q73VG753 | Long             | DBT              | CORP              | PA        |    303000 | PA      | $237381.56    | 0.02%             | 2048-05-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust     | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                                | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17636745 | PA      | $154317.99    | 0.02%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                      | IQVIA Inc                                                                                                                          | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    550000 | PA      | $502580.35    | 0.05%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                     | Cigna Corp                                                                                                                         | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    501000 | PA      | $496821.66    | 0.05%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1IYH6   CDS USD R F  3.00000 IS1IYH6 CMBX / Short: IS1IYH6   CDS USD P V 01MEVENT IS1IYI7 CMBX                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |      9278 | OU      | $-2263.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS0Z9V7   IRS USD R V 03MLIBOR IS0Z9W8 CCPVANILLA / Short: BS0Z9V7   IRS USD P F  2.63100 IS0Z9V7 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1490000 | OU      | $143318.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2019-IMC                                                                                              | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185485 | PA      | $176957.62    | 0.02%             | 2034-04-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                               | Altice France SA/France                                                                                                            | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    307000 | PA      | $261837.59    | 0.03%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                  | AIB Group PLC                                                                                                                      | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2155000 | PA      | $2230338.80   | 0.23%             | 2026-10-14      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman Loan Advisers Clo 42 Ltd                                                                                          | CUSIP: 64133WAG0<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   1294533 | PA      | $1207500.25   | 0.12%             | 2035-07-16      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust 2021-3                                                                                                | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $1019907.88   | 0.10%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    689000 | PA      | $632529.56    | 0.06%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                                            | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2467886 | PA      | $2423338.93   | 0.25%             | 2042-02-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re 2022-1 Ltd                                                                                                           | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1255354 | PA      | $1212825.62   | 0.12%             | 2032-01-26      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS22XY7   IRS USD R V 03MLIBOR IS22XZ8 CCPVANILLA / Short: BS22XY7   IRS USD P F   .55750 IS22XY7 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  20920000 | OU      | $2811455.87   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re Ltd                                                                                                                  | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    727875 | PA      | $716610.62    | 0.07%             | 2031-03-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                 | ACM Auto Trust 2022-1                                                                                                              | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    426636 | PA      | $425765.64    | 0.04%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    260000 | PA      | $242567.00    | 0.02%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136ALP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838518 | PA      | $89318.77     | 0.01%             | 2044-12-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    134223 | OU      | $-32739.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                       | Celanese US Holdings LLC                                                                                                           | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2365000 | PA      | $2378787.95   | 0.24%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                            | Synchrony Financial                                                                                                                | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    414000 | PA      | $406254.06    | 0.04%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust          | Mission Lane Credit Card Master Trust                                                                                              | CUSIP: 60510MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352000 | PA      | $342472.59    | 0.04%             | 2026-09-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136ATV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884916 | PA      | $96612.33     | 0.01%             | 2046-10-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS1ZZM9   IRS USD R V 12MUSCPI IS1ZZN0 CCPINFLATIONZERO / Short: BS1ZZM9   IRS USD P F  1.58900 IS1ZZM9 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  64600000 | OU      | $7643924.20   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust 2021-1                                                                                                  | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740875 | PA      | $718369.58    | 0.07%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    211000 | PA      | $189020.13    | 0.02%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                  | Ballyrock CLO 15 Ltd                                                                                                               | CUSIP: 05875TAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $925699.00    | 0.09%             | 2034-04-15      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112064 | PA      | $116435.06    | 0.01%             | 2024-11-25      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| HP INC                                         | HP Inc                                                                                                                             | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |   1844000 | PA      | $1811342.76   | 0.19%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                          | Neighborly Issuer LLC                                                                                                              | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516360 | PA      | $437218.32    | 0.04%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Alliance Bernstein                             | AB Fixed Income Shares, Inc. - Government Money Market Portfolio                                                                   | CUSIP: 018616748<br>LEI: 5493006YWHO7MNK2U579 | Long             | STIV             | RF                | US        |    923572 | NS      | $923571.90    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA HOLDINGS INC                            | Nomura Holdings Inc                                                                                                                | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    906000 | PA      | $917995.44    | 0.09%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FTV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2834004 | PA      | $291478.14    | 0.03%             | 2050-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit       | Ford Credit Auto Owner Trust 2021-REV1                                                                                             | CUSIP: 345340AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $878782.30    | 0.09%             | 2033-10-17      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377849 | PA      | $398805.28    | 0.04%             | 2028-04-25      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    928000 | PA      | $705363.52    | 0.07%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade RE 2021-3 Ltd                                                                                                           | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699430 | PA      | $1643664.90   | 0.17%             | 2031-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC         | Amur Equipment Finance Receivables XI LLC                                                                                          | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    936000 | PA      | $930688.11    | 0.10%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     15464 | OU      | $-3771.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                               | FHF Trust 2021-2                                                                                                                   | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413609 | PA      | $394789.81    | 0.04%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                       | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                              | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    484364 | PA      | $478435.38    | 0.05%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1P7W3   CDS USD R F  3.00000 IS1P7W3 CMBX / Short: IS1P7W3   CDS USD P V 01MEVENT IS1P7X4 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     26597 | OU      | $-6487.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes Series 2022-A                                                                              | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1939291 | PA      | $1894440.05   | 0.19%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust 2021-N4                                                                                             | CUSIP: 14687HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    916000 | PA      | $843107.74    | 0.09%             | 2028-09-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust 2022-2                                                                                     | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1464026 | PA      | $1458024.13   | 0.15%             | 2025-04-10      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT HOLDCO FIN LTD                       | Odebrecht Holdco Finance Ltd                                                                                                       | CUSIP: 67577TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    270478 | PA      | $432.76       | 0.00%             | 2058-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      5567 | OU      | $-1357.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R03                                                                                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2282827 | PA      | $2314194.41   | 0.24%             | 2042-03-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                       | Embraer Netherlands Finance BV                                                                                                     | CUSIP: 29082HAB8<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    590000 | PA      | $578937.50    | 0.06%             | 2027-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS1TMC0   IRS USD R V 03MLIBOR IS1TMD1 CCPVANILLA / Short: BS1TMC0   IRS USD P F  2.14950 IS1TMC0 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5395000 | OU      | $462685.85    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                  | DISH DBS Corp                                                                                                                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1067000 | PA      | $875121.39    | 0.09%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1I2V6   CDS USD R F  3.00000 IS1I2V6 CMBX / Short: IS1I2V6   CDS USD P V 01MEVENT IS1I2W7 CMBX                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    369887 | OU      | $-90221.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    751000 | PA      | $667654.02    | 0.07%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AGL CLO 16 LTD                                 | AGL CLO 16 Ltd                                                                                                                     | CUSIP: 00120LAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $608548.20    | 0.06%             | 2035-01-20      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation        | Triangle Re 2021-3 Ltd                                                                                                             | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    873524 | PA      | $872040.49    | 0.09%             | 2034-02-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2021-R01                                                                                       | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1447076 | PA      | $1424990.15   | 0.15%             | 2041-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221326 | PA      | $1155737.74   | 0.12%             | 2041-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                | Danske Bank A/S                                                                                                                    | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    746000 | PA      | $718151.82    | 0.07%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HFX FUNDING ISSUER                             | HFX FUNDING ISSUER                                                                                                                 | CUSIP: 40422GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1024102.67   | 0.10%             | 2035-03-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust  | BHG Securitization Trust 2022-A                                                                                                    | CUSIP: 054977AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1138711.23   | 0.12%             | 2035-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS NC                       | Duke Energy Carolinas NC Storm Funding LLC                                                                                         | CUSIP: 26443KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1183000 | PA      | $911264.90    | 0.09%             | 2041-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS19PK9   IRS USD R V 03MLIBOR IS19PL0 CCPVANILLA / Short: BS19PK9   IRS USD P F  1.67150 IS19PK9 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1080000 | OU      | $89793.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5497 | PA      | $713.02       | 0.00%             | 2041-12-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS1VTF8   IRS USD R V 12MUSCPI IS1VTG9 CCPINFLATIONZERO / Short: BS1VTF8   IRS USD P F  1.59900 IS1VTF8 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3000000 | OU      | $348268.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1567564.40   | 0.16%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust 2021-N3                                                                                             | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598878 | PA      | $572181.52    | 0.06%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 10YR ULTRA FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -171 | NC      | $36255.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eagle Re Ltd                                   | Eagle RE 2021-2 Ltd                                                                                                                | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    674583 | PA      | $668004.06    | 0.07%             | 2034-04-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                  | Carnival Corp                                                                                                                      | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1235000 | PA      | $1064607.05   | 0.11%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-HQA4                                                                                            | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1765360 | PA      | $1580101.00   | 0.16%             | 2041-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                       | Octane Receivables Trust 2021-2                                                                                                    | CUSIP: 67578AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1508000 | PA      | $1372428.39   | 0.14%             | 2028-09-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11227734 | PA      | $10190917.89  | 1.04%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                         | Anglo American Capital PLC                                                                                                         | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    373000 | PA      | $347589.38    | 0.04%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     18556 | OU      | $-4526.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                     | Affirm Asset Securitization Trust 2021-Z1                                                                                          | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211237 | PA      | $205670.64    | 0.02%             | 2025-08-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                       | Warnermedia Holdings Inc                                                                                                           | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1418465.40   | 0.15%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                            | Bank of Nova Scotia/The                                                                                                            | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    995000 | PA      | $994462.70    | 0.10%             | 2026-02-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2018-R07                                                                                       | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40716 | PA      | $40767.00     | 0.00%             | 2031-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re Ltd                                                                                                                  | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1424762 | PA      | $1390344.74   | 0.14%             | 2031-06-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                  | UniCredit SpA                                                                                                                      | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1071000 | PA      | $969158.61    | 0.10%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                          | Flowserve Corp                                                                                                                     | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |    545000 | PA      | $435389.60    | 0.04%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                      | ONEOK Inc                                                                                                                          | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    166000 | PA      | $176705.34    | 0.02%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                 | ACM Auto Trust 2023-1                                                                                                              | CUSIP: 00461VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2138000 | PA      | $2138383.34   | 0.22%             | 2030-01-22      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                       | Santander UK Group Holdings PLC                                                                                                    | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1572000 | PA      | $1626296.88   | 0.17%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                                                                           | CUSIP: 38380GHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742468 | PA      | $89516.29     | 0.01%             | 2047-08-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                                                                     | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    593000 | PA      | $538011.11    | 0.06%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1P9K5   CDS USD R F  3.00000 IS1P9K5 CMBX / Short: IS1P9K5   CDS USD P V 01MEVENT IS1P9L6 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     26597 | OU      | $-6487.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    257000 | PA      | $243119.43    | 0.02%             | 2023-12-11      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1GJ86   CDS USD R F  3.00000 IS1GJ86 CMBX / Short: IS1GJ86   CDS USD P V 01MEVENT IS1GJ97 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     56906 | OU      | $-13880.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                   | Voya CLO 2019-1 Ltd                                                                                                                | CUSIP: 92917NAS7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $305486.26    | 0.03%             | 2031-04-15      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    110100 | OU      | $-26855.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                          | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40000 | PA      | $36240.64     | 0.00%             | 2026-08-15      | Variable      | 2.64%                 | No            |                  3 | On Loan: No      |
| Credit Suisse International                    | Long: IS1PCY0   CDS USD R F  3.00000 IS1PCY0 CMBX / Short: IS1PCY0   CDS USD P V 01MEVENT IS1PCZ1 CMBX                             | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | GB        |     85977 | OU      | $-20971.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                             | Advance Auto Parts Inc                                                                                                             | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1388436.25   | 0.14%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                      | Prosus NV                                                                                                                          | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    428000 | PA      | $368882.50    | 0.04%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS18G25   IRS USD R V 03MLIBOR IS18G36 CCPVANILLA / Short: BS18G25   IRS USD P F  1.48700 IS18G25 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5400000 | OU      | $431777.63    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                 | CPS Auto Receivables Trust 2022-A                                                                                                  | CUSIP: 12659WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765000 | PA      | $1664319.63   | 0.17%             | 2029-04-16      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                               | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    203000 | PA      | $177943.71    | 0.02%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup Inc                                                                                                                      | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    103000 | PA      | $103626.24    | 0.01%             | 2023-04-30      | Variable      | 8.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                                | CUSIP: 054966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1755000 | PA      | $1662196.83   | 0.17%             | 2033-11-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                      | ONEOK Inc                                                                                                                          | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    275000 | PA      | $288849.00    | 0.03%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                  | Radnor RE 2019-1 Ltd                                                                                                               | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |    586225 | PA      | $581492.61    | 0.06%             | 2029-02-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    322000 | PA      | $285485.20    | 0.03%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                     | US Bancorp                                                                                                                         | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    427000 | PA      | $402336.48    | 0.04%             | 2027-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                    | Cargill Inc                                                                                                                        | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    632000 | PA      | $658234.32    | 0.07%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                               | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    846000 | PA      | $857361.78    | 0.09%             | 2026-07-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2025-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                        | Marathon Petroleum Corp                                                                                                            | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    282000 | PA      | $308804.10    | 0.03%             | 2041-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2020-DNA5                                                                                            | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    368181 | PA      | $371591.33    | 0.04%             | 2050-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AX4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15395 | PA      | $1849.97      | 0.00%             | 2047-10-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                          | Wells Fargo & Co                                                                                                                   | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    418000 | PA      | $385032.34    | 0.04%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1255000 | PA      | $1028999.60   | 0.11%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                                 | Amazon.com Inc                                                                                                                     | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1562000 | PA      | $1582024.84   | 0.16%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | JPMorgan Chase Bank NA - CHASE                                                                                                     | CUSIP: 46591HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138860 | PA      | $132977.51    | 0.01%             | 2047-04-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     92781 | OU      | $-22630.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                                                                     | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    799000 | PA      | $776612.02    | 0.08%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105732686 | PA      | $112208813.00 | 11.50%            | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                          | Caesars Entertainment Inc                                                                                                          | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    561000 | PA      | $571670.22    | 0.06%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALFA S.A.                                      | Alfa SAB de CV                                                                                                                     | CUSIP: 015398AB6<br>LEI: 549300ZCGJ6T8YDJ4M34 | Long             | DBT              | CORP              | MX        |    600000 | PA      | $595237.50    | 0.06%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                 | S&P Global Inc                                                                                                                     | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     59000 | PA      | $59743.99     | 0.01%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                               | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $522258.32    | 0.05%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R04                                                                                       | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    573097 | PA      | $575230.07    | 0.06%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| NATURA &CO LUX HLD SARL                        | Natura &Co Luxembourg Holdings Sarl                                                                                                | CUSIP: 63884WAA6<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |    592000 | PA      | $518192.40    | 0.05%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    188000 | PA      | $175979.28    | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                       | Tengizchevroil Finance Co International Ltd                                                                                        | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |    306000 | PA      | $230647.50    | 0.02%             | 2030-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                               | Cajun Global LLC                                                                                                                   | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457040 | PA      | $393304.40    | 0.04%             | 2051-11-20      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                 | PMT Credit Risk Transfer Trust 2020-1R                                                                                             | CUSIP: 730151AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164547 | PA      | $159038.26    | 0.02%             | 2023-02-27      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                 | Pikes Peak CLO 8                                                                                                                   | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1430974.55   | 0.15%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     18556 | OU      | $-4526.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS1R8G0   IRS USD R V 12MUSCPI IS1R8H1 CCPINFLATIONZERO / Short: BS1R8G0   IRS USD P F  1.90200 IS1R8G0 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   9000000 | OU      | $889892.82    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust 2016-LC25                                                                                    | CUSIP: 95000JBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $288729.87    | 0.03%             | 2059-12-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                            | Synchrony Financial                                                                                                                | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    791000 | PA      | $615722.31    | 0.06%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                         | PNC Financial Services Group Inc/The                                                                                               | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    276000 | PA      | $278282.52    | 0.03%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments Inc                                                                                                                | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    971000 | PA      | $974505.31    | 0.10%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                               | Altria Group Inc                                                                                                                   | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    226000 | PA      | $223570.50    | 0.02%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94451 | PA      | $98745.38     | 0.01%             | 2025-07-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1BZI3   CDS USD R F  3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3   CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |      9278 | OU      | $-2263.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                | Nissan Motor Co Ltd                                                                                                                | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1378000 | PA      | $1296077.90   | 0.13%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                  | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     83000 | PA      | $80013.66     | 0.01%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                           | Natura Cosmeticos SA                                                                                                               | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    583000 | PA      | $481091.60    | 0.05%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| INVERSIONES CMPC CI                            | Inversiones CMPC SA/Cayman Islands Branch                                                                                          | CUSIP: 000000000<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |         0 | PA      | $0.00         | 0.00%             | 2023-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                             | Advance Auto Parts Inc                                                                                                             | CUSIP: 00751YAG1<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    141000 | PA      | $119996.64    | 0.01%             | 2032-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                       | Comision Federal de Electricidad                                                                                                   | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1016000 | PA      | $932370.50    | 0.10%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                       | Discovery Communications LLC                                                                                                       | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    188000 | PA      | $156771.32    | 0.02%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS29BB1   IRS USD R V 03MLIBOR IS29BC2 CCPVANILLA / Short: BS29BB1   IRS USD P F  1.61650 IS29BB1 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  40300000 | OU      | $5758181.66   | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey        | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                              | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    660000 | PA      | $649993.48    | 0.07%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                              | NatWest Group PLC                                                                                                                  | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    548000 | PA      | $579712.76    | 0.06%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman Loan Advisers Clo 43 Ltd                                                                                          | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1353587 | PA      | $1334650.32   | 0.14%             | 2035-07-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls' Jr Funding LLC | Hardee's Funding LLC                                                                                                               | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327862 | PA      | $290552.24    | 0.03%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                          | Micron Technology Inc                                                                                                              | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1463000 | PA      | $1557582.95   | 0.16%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re 2022-2 Ltd                                                                                                           | CUSIP: 07876GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2594137 | PA      | $2594118.32   | 0.27%             | 2032-09-27      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    426000 | PA      | $417267.00    | 0.04%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                      | REVERSE REPO HSBC                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -19366875 | PA      | $-19366875.00 | -1.99%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R07                                                                                       | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73013 | PA      | $73012.66     | 0.01%             | 2039-10-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS20363   IRS USD R V 12MUSCPI IS20374 CCPINFLATIONZERO / Short: BS20363   IRS USD P F  1.52700 IS20363 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  38550000 | OU      | $4676650.84   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                  | UniCredit SpA                                                                                                                      | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    368000 | PA      | $297211.52    | 0.03%             | 2032-06-03      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER                       | Banco de Credito del Peru S.A.                                                                                                     | CUSIP: 05971U2C0<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    958000 | PA      | $880128.97    | 0.09%             | 2030-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                    | OCP CLO 2020-18 Ltd                                                                                                                | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1424000 | PA      | $1409664.59   | 0.14%             | 2032-07-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I     | Research-Driven Pagaya Motor Asset Trust VII                                                                                       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2180441 | PA      | $2131018.50   | 0.22%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                    | Long: IS17I04   CDS USD R F  3.00000 IS17I04 CMBX-BBB--380158 / Short: IS17I04   CDS USD P V 00MEVENT IS17I15 CMBX-BBB--380158     | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |    104533 | OU      | $-25497.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    261000 | PA      | $242803.08    | 0.02%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                              | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1794000 | PA      | $1893979.62   | 0.19%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                           | Tencent Holdings Ltd                                                                                                               | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    655000 | PA      | $448797.81    | 0.05%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re 2019-1 Ltd                                                                                                           | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |      7815 | PA      | $7813.70      | 0.00%             | 2029-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD                                | MT LOGAN RE LTD                                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       452 | NS      | $383251.68    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     16701 | OU      | $-4073.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust 2021-P4                                                                                             | CUSIP: 14687KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206000 | PA      | $972462.56    | 0.10%             | 2028-09-11      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98477 | PA      | $100466.29    | 0.01%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                       | Brex Commercial Charge Card Master Trust                                                                                           | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    729000 | PA      | $722296.04    | 0.07%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1P8M0   CDS USD R F  3.00000 IS1P8M0 CMBX / Short: IS1P8M0   CDS USD P V 01MEVENT IS1P8N1 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     37112 | OU      | $-9052.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 16 LTD                                 | AGL CLO 16 Ltd                                                                                                                     | CUSIP: 00120LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4408306 | PA      | $4332439.05   | 0.44%             | 2035-01-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 78 CLO Ltd                                                                                                                  | CUSIP: 26253LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $841073.20    | 0.09%             | 2033-04-17      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                         | Westinghouse Air Brake Technologies Corp                                                                                           | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    180000 | PA      | $170188.20    | 0.02%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust 2022-3                                                                                | CUSIP: 02528GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    959939 | PA      | $953499.25    | 0.10%             | 2026-02-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                          | Continental Resources Inc/OK                                                                                                       | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1496000 | PA      | $1169872.00   | 0.12%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                           | Western Digital Corp                                                                                                               | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $959825.00    | 0.10%             | 2032-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                               | CUSIP: 3137G0HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93601 | PA      | $96404.40     | 0.01%             | 2028-05-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                       | Svenska Handelsbanken AB                                                                                                           | CUSIP: 000000000<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |   1400000 | PA      | $1201074.00   | 0.12%             | 2031-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup Inc                                                                                                                      | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2463000 | PA      | $2433641.04   | 0.25%             | 2025-05-24      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                   | KBC Group NV                                                                                                                       | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    461000 | PA      | $467698.33    | 0.05%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                                                                           | CUSIP: 38380GH49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    838285 | PA      | $104647.66    | 0.01%             | 2047-09-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                               | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    605000 | PA      | $593154.10    | 0.06%             | 2027-04-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                               | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1727000 | PA      | $1484373.77   | 0.15%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                         | Standard Chartered PLC                                                                                                             | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $349460.00    | 0.04%             | 2027-01-30      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                            | Altice Financing SA                                                                                                                | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    642000 | PA      | $558004.45    | 0.06%             | 2028-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCI Funding I LLC                              | GCI Funding I LLC                                                                                                                  | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490611 | PA      | $430200.72    | 0.04%             | 2046-06-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137AJ7M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1874562 | PA      | $174817.91    | 0.02%             | 2041-11-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                              | General Motors Co                                                                                                                  | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    194000 | PA      | $198937.30    | 0.02%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman Loan Advisers Clo 42 Ltd                                                                                          | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |    903217 | PA      | $891376.73    | 0.09%             | 2035-07-16      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                       | Long: IS1R5D6   IRS USD R V 12MUSCPI IS1R5E7 INFLATIONZERO / Short: IS1R5D6   IRS USD P F  1.84800 IS1R5D6 INFLATIONZERO           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  23800000 | OU      | $2420978.84   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk             | Freddie Mac Multifamily Structured Credit Risk                                                                                     | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112093 | PA      | $106095.97    | 0.01%             | 2051-01-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| City of New York NY                            | NEW YORK NY                                                                                                                        | CUSIP: 64966QRQ5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    775000 | PA      | $627723.96    | 0.06%             | 2031-08-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                  | Radnor RE 2020-1 Ltd                                                                                                               | CUSIP: 750493AA6<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |     35833 | PA      | $35804.34     | 0.00%             | 2030-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                        | Honeywell International Inc                                                                                                        | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1853000 | PA      | $2068739.74   | 0.21%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                       | Comision Federal de Electricidad                                                                                                   | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1089000 | PA      | $891142.31    | 0.09%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                    | Long: IS1GMC1   CDS USD R F  3.00000 IS1GMC1 CMBX / Short: IS1GMC1   CDS USD P V 01MEVENT IS1GMD2 CMBX                             | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | GB        |     75462 | OU      | $-18406.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                   | Broadcom Inc                                                                                                                       | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    673000 | PA      | $614664.36    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                          | Neighborly Issuer 2023-1                                                                                                           | CUSIP: 64016NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1965000 | PA      | $1925700.00   | 0.20%             | 2053-01-30      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS2G167   IRS USD R V 12MUSCPI IS2G178 CCPINFLATIONZERO / Short: BS2G167   IRS USD P F  3.26250 IS2G167 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  61010000 | OU      | $-961138.12   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| AB Issuer LLC                                  | AB Issuer LLC                                                                                                                      | CUSIP: 00091JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1456990 | PA      | $1204576.68   | 0.12%             | 2051-07-30      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                      | REVERSE REPO HSBC                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -6084000 | PA      | $-6084000.00  | -0.62%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                         | US 5YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       342 | NC      | $247630.88    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1425000 | PA      | $1406146.68   | 0.14%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47748604 | PA      | $45607377.80  | 4.68%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    194000 | PA      | $190411.00    | 0.02%             | 2024-01-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2019-IMC                                                                                              | CUSIP: 05608BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895177 | PA      | $846672.01    | 0.09%             | 2034-04-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                           | Entegris Escrow Corp                                                                                                               | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |   1896000 | PA      | $1778865.12   | 0.18%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NEW MOUNTAIN CLO LTD                           | New Mountain CLO 3 Ltd                                                                                                             | CUSIP: 647550AA0<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $489875.00    | 0.05%             | 2034-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1OF26   CDS USD R F  3.00000 IS1OF26 CMBX / Short: IS1OF26   CDS USD P V 01MEVENT IS1OF37 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     74843 | OU      | $-18255.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCHSNER LSU HEALTH SYST                        | Ochsner LSU Health System of North Louisiana                                                                                       | CUSIP: 67555JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1190000 | PA      | $895820.10    | 0.09%             | 2031-05-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                       | Embraer Netherlands Finance BV                                                                                                     | CUSIP: 29082HAC6<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    384000 | PA      | $392832.00    | 0.04%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                     | Zoetis Inc                                                                                                                         | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    911000 | PA      | $931597.71    | 0.10%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    550000 | PA      | $545523.00    | 0.06%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    614000 | PA      | $518363.36    | 0.05%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                            | Suzano Austria GmbH                                                                                                                | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    222000 | PA      | $189377.10    | 0.02%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                             | Ford Motor Co                                                                                                                      | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   1172000 | PA      | $1150025.00   | 0.12%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2020-R01                                                                                       | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    361998 | PA      | $361998.20    | 0.04%             | 2040-01-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                               | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    296000 | PA      | $267489.28    | 0.03%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                     | Affirm Asset Securitization Trust 2021-Z2                                                                                          | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356775 | PA      | $342210.00    | 0.04%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                         | Standard Chartered PLC                                                                                                             | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    657000 | PA      | $635161.32    | 0.07%             | 2026-03-30      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1E3T9   CDS USD R F  3.00000 IS1E3T9 CMBX-BBB--416265 / Short: IS1E3T9   CDS USD P V 00MEVENT IS1E3U0 CMBX-BBB--416265     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    102678 | OU      | $-25044.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Long: IS1S733   CDS USD R F  3.00000 IS1S733 CMBX / Short: IS1S733   CDS USD P V 01MEVENT IS1S744 CMBX                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |         0 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| College Ave Student Loans                      | College Ave Student Loans 2021-C LLC                                                                                               | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602869 | PA      | $517402.13    | 0.05%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                             | Elmwood CLO IX Ltd                                                                                                                 | CUSIP: 29003UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1065000 | PA      | $1004939.33   | 0.10%             | 2034-07-20      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 132369697 | PA      | $128419288.67 | 13.17%            | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                           | Las Vegas Sands Corp                                                                                                               | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1419000 | PA      | $1269990.81   | 0.13%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                  | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   1329000 | PA      | $1157253.33   | 0.12%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust 2023-1                                                                                     | CUSIP: 90945CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1905207.07   | 0.20%             | 2025-07-10      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1OA09   CDS USD R F  3.00000 IS1OA09 CMBX / Short: IS1OA09   CDS USD P V 01MEVENT IS1OA10 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     37112 | OU      | $-9052.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGOLINO DE OLIVEIRA FI                       | Virgolino de Oliveira Finance SA                                                                                                   | CUSIP: 92824BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    655000 | PA      | $65.50        | 0.00%             | 2018-01-28      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| Credit Suisse International                    | Long: IS17H29   CDS USD R F  3.00000 IS17H29 CMBX-BBB--379858 / Short: IS17H29   CDS USD P V 00MEVENT IS17H30 CMBX-BBB--379858     | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |     80410 | OU      | $-19613.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                | OEC Finance Ltd                                                                                                                    | CUSIP: 67614CAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    257015 | PA      | $6047.56      | 0.00%             | 2033-12-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                          | Takeda Pharmaceutical Co Ltd                                                                                                       | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    384000 | PA      | $382176.00    | 0.04%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 78 CLO Ltd                                                                                                                  | CUSIP: 26253LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $432274.42    | 0.04%             | 2033-04-17      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                         | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104000 | PA      | $88917.92     | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                              | General Motors Co                                                                                                                  | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    272000 | PA      | $289182.24    | 0.03%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                    | Rad CLO 7 Ltd                                                                                                                      | CUSIP: 48661CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $384652.00    | 0.04%             | 2033-04-17      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                         | NXP BV / NXP Funding LLC                                                                                                           | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    711000 | PA      | $732429.54    | 0.08%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PMT Credit Risk Transfer Trust                 | PMT Credit Risk Transfer Trust 2019-3R                                                                                             | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44629 | PA      | $43504.77     | 0.00%             | 2031-11-27      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513BD6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    253000 | PA      | $251894.39    | 0.03%             | 2025-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                      | Infor Inc                                                                                                                          | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    450000 | PA      | $409230.00    | 0.04%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                               | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    119000 | PA      | $108691.03    | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                         | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                              | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    664000 | PA      | $572733.20    | 0.06%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2021-R03                                                                                       | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    863681 | PA      | $830314.15    | 0.09%             | 2041-12-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                       | Lima Metro Line 2 Finance Ltd                                                                                                      | CUSIP: 532522AB5<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |    220251 | PA      | $197124.90    | 0.02%             | 2036-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                              | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    603000 | PA      | $601480.44    | 0.06%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Commercial Mortgage Securities Trust 2013-WBRK                                                                               | CUSIP: 05525BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $331886.78    | 0.03%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1IXF7   CDS USD R F  3.00000 IS1IXF7 CMBX / Short: IS1IXF7   CDS USD P V 01MEVENT IS1IXG8 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     16701 | OU      | $-4073.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Air Lease Corp                                 | Air Lease Corp                                                                                                                     | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     51000 | PA      | $47969.58     | 0.00%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                         | BP Capital Markets America Inc                                                                                                     | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1962000 | PA      | $1402967.34   | 0.14%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| APCOA PARKING HOLDINGS G                       | APCOA Parking Holdings GmbH                                                                                                        | CUSIP: 000000000<br>LEI: 529900H8FIYAOV5FUW68 | Long             | DBT              | CORP              | DE        |    642000 | PA      | $605220.80    | 0.06%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust 2022-1                                                                                                  | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1820509 | PA      | $1796687.29   | 0.18%             | 2027-06-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2011-GC5                                                                                              | CUSIP: 36191YAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18714 | PA      | $7770.53      | 0.00%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1258113.32   | 0.13%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | Long: IS0CYZ7   IRS USD R V 03MLIBOR IS0CZ09 IRS 22410 / Short: IS0CYZ7   IRS USD P F  2.80375 IS0CYZ7 IRS 22410                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    595000 | OU      | $55298.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUX                           | Swiss Re Finance Luxembourg SA                                                                                                     | CUSIP: 000000000<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $969150.00    | 0.10%             | 2049-04-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                             | Regal Rexnord Corp                                                                                                                 | CUSIP: 758750AC7<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   2018000 | PA      | $2048290.18   | 0.21%             | 2026-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS19B23   CDS USD R F  3.00000 IS19B23 CMBX-BBB--394944 / Short: IS19B23   CDS USD P V 00MEVENT IS19B34 CMBX-BBB--394944     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    269684 | OU      | $-65780.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT Capital Corp                               | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    593000 | PA      | $561001.72    | 0.06%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac Stacr Remic Trust 2020-DNA1                                                                                            | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |    172244 | PA      | $171814.15    | 0.02%             | 2050-01-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp                                                                                                         | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    353000 | PA      | $355079.17    | 0.04%             | 2029-02-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                    | Long: IS1IXL3   CDS USD R F  3.00000 IS1IXL3 CMBX / Short: IS1IXL3   CDS USD P V 01MEVENT IS1IXM4 CMBX                             | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | GB        |    139790 | OU      | $-34097.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                      | Nelnet Student Loan Trust 2021-C                                                                                                   | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757855 | PA      | $619573.90    | 0.06%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                             | Banco Santander SA                                                                                                                 | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $570498.00    | 0.06%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority           | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                                                                        | CUSIP: 88880LAV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    396089 | PA      | $366365.22    | 0.04%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CDBL FUNDING 1                                 | CDBL Funding 1                                                                                                                     | CUSIP: 000000000<br>LEI: 254900PLOF8VWTAH3F83 | Long             | DBT              | CORP              | KY        |    940000 | PA      | $881908.00    | 0.09%             | 2027-10-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS0VVL9   IRS USD R V 03MLIBOR IS0VVM0 CCPVANILLA / Short: BS0VVL9   IRS USD P F  2.48750 IS0VVL9 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1160000 | OU      | $51327.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA7                                                                                            | CUSIP: 35564KMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2634588 | PA      | $2537450.74   | 0.26%             | 2041-11-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137BYRV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1133065 | PA      | $132958.53    | 0.01%             | 2047-06-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                          | Neighborly Issuer 2022-1                                                                                                           | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1648350 | PA      | $1373744.78   | 0.14%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                       | Lima Metro Line 2 Finance Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |    279627 | PA      | $272601.63    | 0.03%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                       | Discovery Communications LLC                                                                                                       | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     58000 | PA      | $45307.28     | 0.00%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                  | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    232000 | PA      | $227141.92    | 0.02%             | 2024-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR Trust 2019-DNA4                                                                                                  | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60074 | PA      | $60073.51     | 0.01%             | 2049-10-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CHILE ELEC PEC SPA                             | Chile Electricity PEC SpA                                                                                                          | CUSIP: 168831AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |    661000 | PA      | $488024.56    | 0.05%             | 2028-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                  | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-47320.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse International                    | Long: IS15983   CDS USD R F  3.00000 IS15983 CMBX-BBB--331914 / Short: IS15983   CDS USD P V 00MEVENT IS15994 CMBX-BBB--331914     | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |     85359 | OU      | $-20820.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                           | Kyndryl Holdings Inc                                                                                                               | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   1428000 | PA      | $1231307.28   | 0.13%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    713000 | PA      | $539113.56    | 0.06%             | 2027-02-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                      | Prosus NV                                                                                                                          | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    593000 | PA      | $538147.50    | 0.06%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                               | Bellemeade Re 2019-3 Ltd                                                                                                           | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |    480000 | PA      | $477736.51    | 0.05%             | 2029-07-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                 | Wynn Macau Ltd                                                                                                                     | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    483000 | PA      | $427455.00    | 0.04%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                | Long: BS2J6L6   CDS USD R V 03MEVENT IS2J6M7 CCPCDX / Short: BS2J6L6   CDS USD P F  5.00000 IS2J6L6 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  10100000 | OU      | $-338668.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                              | TSMC Arizona Corp                                                                                                                  | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1009000 | PA      | $985106.88    | 0.10%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CHILE SA                         | Engie Energia Chile SA                                                                                                             | CUSIP: 000000000<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    751000 | PA      | $626991.13    | 0.06%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2014-GC18                                                                                             | CUSIP: 36252RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156972 | PA      | $58864.37     | 0.01%             | 2047-01-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| VZ VENDOR FINANCING                            | VZ Vendor Financing II BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500DRKUUR3GFOSK76 | Long             | DBT              | CORP              | NL        |    561000 | PA      | $479063.54    | 0.05%             | 2029-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                          | Freeport Indonesia PT                                                                                                              | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    415000 | PA      | $402595.65    | 0.04%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                          | Continental Resources Inc/OK                                                                                                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1092554.19   | 0.11%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                                                                     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $982806.39    | 0.10%             | 2027-10-29      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                               | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    405000 | PA      | $392400.45    | 0.04%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1IED2   CDS USD R F  3.00000 IS1IED2 CMBX / Short: IS1IED2   CDS USD P V 01MEVENT IS1IEE3 CMBX                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    319786 | OU      | $-78001.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                         | CNH Industrial Capital LLC                                                                                                         | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1889000 | PA      | $1849803.25   | 0.19%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                 | Air Lease Corp                                                                                                                     | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    111000 | PA      | $104163.51    | 0.01%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 2YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       272 | NC      | $220676.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $205418.00    | 0.02%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     18556 | OU      | $-4526.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                         | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6603.52      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Long: BS19M42   IRS USD R V 03MLIBOR IS19M53 CCPVANILLA / Short: BS19M42   IRS USD P F  1.65700 IS19M42 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1080000 | OU      | $90487.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1C2T6   CDS USD R F  3.00000 IS1C2T6 CMBX-BBB--408891 / Short: IS1C2T6   CDS USD P V 00MEVENT IS1C2U7 CMBX-BBB--408891     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     36494 | OU      | $-8901.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                  | UniCredit SpA                                                                                                                      | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    204000 | PA      | $179124.24    | 0.02%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS1C694   CDS USD R F  3.00000 IS1C694 CMBX-BBB--409423 / Short: IS1C694   CDS USD P V 00MEVENT IS1C6A5 CMBX-BBB--409423     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     80410 | OU      | $-19613.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                              | ONEOK Partners LP                                                                                                                  | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106783.95    | 0.01%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                    | Long: IS1PDS1   CDS USD R F  3.00000 IS1PDS1 CMBX / Short: IS1PDS1   CDS USD P V 01MEVENT IS1PDT2 CMBX                             | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | GB        |      3093 | OU      | $-754.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                   | SK Hynix Inc                                                                                                                       | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    382000 | PA      | $287765.38    | 0.03%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1IDZ7   CDS USD R F  3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7   CDS USD P V 01MEVENT IS1IE09 CMBX                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    229479 | OU      | $-55973.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | REVERSE REPO JPM CHASE                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -5771250 | PA      | $-5771250.00  | -0.59%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                                            | CUSIP: 35564KWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2051355 | PA      | $2088193.44   | 0.21%             | 2042-05-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                    | Hertz Vehicle Financing III LLC                                                                                                    | CUSIP: 42806MAL3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1517729.37   | 0.16%             | 2026-06-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup Inc                                                                                                                      | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    480000 | PA      | $429000.00    | 0.04%             | 2026-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                            | Intesa Sanpaolo SpA                                                                                                                | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    283000 | PA      | $292378.62    | 0.03%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                              | Elevation CLO 2020-11 Ltd                                                                                                          | CUSIP: 28621YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    780000 | PA      | $728335.14    | 0.07%             | 2033-04-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                             | Diamond Issuer                                                                                                                     | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2151875 | PA      | $1860289.48   | 0.19%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Playtech Plc                                   | Playtech Plc                                                                                                                       | CUSIP: 000000000<br>LEI: 21380068TTB6Z9ZEU548 | Long             | DBT              | CORP              | IM        |    550000 | PA      | $574643.20    | 0.06%             | 2026-03-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                     | Intel Corp                                                                                                                         | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1204000 | PA      | $1126510.56   | 0.12%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                 | PMT Credit Risk Transfer Trust 2019-2R                                                                                             | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501110 | PA      | $489247.53    | 0.05%             | 2023-05-27      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                            | Synchrony Financial                                                                                                                | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    429000 | PA      | $396786.39    | 0.04%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                    | Oracle Corp                                                                                                                        | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    376000 | PA      | $367118.88    | 0.04%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                    | Rad CLO 14 Ltd                                                                                                                     | CUSIP: 75009RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    291346 | PA      | $286715.64    | 0.03%             | 2035-01-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                       | International Business Machines Corp                                                                                               | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1186000 | PA      | $1153823.82   | 0.12%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7341000 | PA      | $6425092.06   | 0.66%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                | CVS Health Corp                                                                                                                    | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48188.56     | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                                            | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1068552 | PA      | $1072043.92   | 0.11%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                | MVW 2021-2 LLC                                                                                                                     | CUSIP: 55400KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890678 | PA      | $803879.55    | 0.08%             | 2039-05-20      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup Inc                                                                                                                      | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    592000 | PA      | $565650.08    | 0.06%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                  | Radnor RE 2019-2 Ltd                                                                                                               | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     51779 | PA      | $51751.68     | 0.01%             | 2029-06-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                   | Barclays PLC                                                                                                                       | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1252000 | PA      | $1356279.08   | 0.14%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Long: BS2GTS5   IRS USD R V 12MUSCPI IS2GTT6 CCPINFLATIONZERO / Short: BS2GTS5   IRS USD P F  2.77750 IS2GTS5 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DIR              |  | US        |  29760000 | OU      | $-21293.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                       | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                              | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    614000 | PA      | $596961.50    | 0.06%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD        | Goldentree Loan Management US Clo 7 Ltd                                                                                            | CUSIP: 38138LAL2<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |   1077000 | PA      | $1058667.31   | 0.11%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                               | Hardee's Funding LLC                                                                                                               | CUSIP: 411707AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496224 | PA      | $473174.77    | 0.05%             | 2048-06-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                            | Crown Point CLO 11 Ltd                                                                                                             | CUSIP: 22845JAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $382966.00    | 0.04%             | 2034-01-17      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                 | CPS Auto Receivables Trust 2021-C                                                                                                  | CUSIP: 12598CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $1000930.39   | 0.10%             | 2027-06-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                   | UBS Group AG                                                                                                                       | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    648000 | PA      | $638001.36    | 0.07%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 98 CLO Ltd                                                                                                                  | CUSIP: 26248AAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $441156.00    | 0.05%             | 2035-04-20      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                                                                     | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1224000 | PA      | $1293731.28   | 0.13%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MDC Holdings Inc                               | MDC Holdings Inc                                                                                                                   | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |    731000 | PA      | $648353.14    | 0.07%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                   | AGL CLO 10 Ltd                                                                                                                     | CUSIP: 00119YAA1<br>LEI: 549300AEMLN0HO8ST474 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245694.50    | 0.03%             | 2034-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                      | Prosus NV                                                                                                                          | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    487000 | PA      | $325985.63    | 0.03%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                                                                     | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    845000 | PA      | $867891.05    | 0.09%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1PBC1   CDS USD R F  3.00000 IS1PBC1 CMBX / Short: IS1PBC1   CDS USD P V 01MEVENT IS1PBD2 CMBX                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     16701 | OU      | $-4073.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377REW0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    815667 | PA      | $813543.00    | 0.08%             | 2024-03-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2020-R02                                                                                       | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185839 | PA      | $185185.54    | 0.02%             | 2040-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                           | Parker-Hannifin Corp                                                                                                               | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1421048.20   | 0.15%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup Inc                                                                                                                      | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    504000 | PA      | $470100.96    | 0.05%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                          | Bank of Ireland Group PLC                                                                                                          | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    456000 | PA      | $462320.16    | 0.05%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                       | Ford Motor Credit Co LLC                                                                                                           | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    501000 | PA      | $525408.72    | 0.05%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R03                                                                                       | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8427 | PA      | $8427.29      | 0.00%             | 2031-09-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                 | S&P Global Inc                                                                                                                     | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    295000 | PA      | $290108.90    | 0.03%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                       | EQT Corp                                                                                                                           | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    345000 | PA      | $349267.65    | 0.04%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust 2013-GC11                                                                                      | CUSIP: 17320DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915000 | PA      | $911738.39    | 0.09%             | 2046-04-10      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                          | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573438 | PA      | $537752.61    | 0.06%             | 2026-08-15      | Variable      | 1.43%                 | No            |                  3 | On Loan: No      |
| HSBC HOLDINGS PLC                              | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    373000 | PA      | $343883.62    | 0.04%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                | Danske Bank A/S                                                                                                                    | CUSIP: 23636ABF7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    604000 | PA      | $613029.80    | 0.06%             | 2026-01-09      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                        | INEOS Quattro Finance 2 Plc                                                                                                        | CUSIP: 000000000<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |    506000 | PA      | $490786.49    | 0.05%             | 2026-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-HQA3                                                                                            | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1072404 | PA      | $1034932.50   | 0.11%             | 2041-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                      | Regatta XXIV Funding Ltd                                                                                                           | CUSIP: 75889HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $463393.00    | 0.05%             | 2035-01-20      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FR3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1417965 | PA      | $157455.65    | 0.02%             | 2050-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                    | CLNY Trust 2019-IKPR                                                                                                               | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $932373.60    | 0.10%             | 2038-11-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                | Domino's Pizza Master Issuer LLC                                                                                                   | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    767332 | PA      | $668920.57    | 0.07%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes Series 2022-B                                                                              | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1954509 | PA      | $1947697.79   | 0.20%             | 2032-08-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R06                                                                                       | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3989 | PA      | $3989.25      | 0.00%             | 2039-09-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                            | American Tower Corp                                                                                                                | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    635000 | PA      | $604297.75    | 0.06%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                       | AES Panama Generation Holdings SRL                                                                                                 | CUSIP: 00109AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    358000 | PA      | $318687.13    | 0.03%             | 2030-05-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA6                                                                                            | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1116899 | PA      | $1125160.30   | 0.12%             | 2042-09-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                              | Magnetite XXVI Ltd                                                                                                                 | CUSIP: 55954YAJ4<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |   2347898 | PA      | $2319425.04   | 0.24%             | 2034-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS0WZE3   IRS USD R V 03MLIBOR IS0WZF4 CCPVANILLA / Short: BS0WZE3   IRS USD P F  2.29300 IS0WZE3 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2106000 | OU      | $96640.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AXSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961980 | PA      | $119531.56    | 0.01%             | 2047-08-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                      | REVERSE REPO HSBC                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -10637500 | PA      | $-10637500.00 | -1.09%            |  |  |  | No            |                  1 | On Loan: No      |
| MARRIOTT INTERNATIONAL                         | Marriott International Inc/MD                                                                                                      | CUSIP: 571903BD4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     92000 | PA      | $93546.52     | 0.01%             | 2025-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS 2020-BID Mortgage Trust                                                                                                      | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1383000 | PA      | $1350077.55   | 0.14%             | 2037-10-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Regatta XX Funding Ltd                         | Regatta XX Funding Ltd                                                                                                             | CUSIP: 75884YAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1425363 | PA      | $1340334.40   | 0.14%             | 2034-10-15      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                 | Var Energi ASA                                                                                                                     | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    680000 | PA      | $744729.20    | 0.08%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     22886 | OU      | $-5582.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                         | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2261000 | PA      | $1921307.36   | 0.20%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley International Ltd.              | Long: BS2JF75   IRS USD R V 12MUSCPI IS2JF86 CCP INFLATION ZERO / Short: BS2JF75   IRS USD P F  3.44000 IS2JF75 CCP INFLATION ZERO | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  20700000 | OU      | $-109790.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                            | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    477367 | PA      | $472309.60    | 0.05%             | 2034-01-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                          | Sixth Street CLO XVII Ltd                                                                                                          | CUSIP: 83012FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    381337 | PA      | $378703.87    | 0.04%             | 2034-01-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                         | TK Elevator Midco GmbH                                                                                                             | CUSIP: 000000000<br>LEI: 254900K869UN2ZWVB351 | Long             | DBT              | CORP              | DE        |    401000 | PA      | $394702.31    | 0.04%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                 | Var Energi ASA                                                                                                                     | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    867000 | PA      | $913436.52    | 0.09%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS15961   CDS USD R F  3.00000 IS15961 CMBX-BBB--331911 / Short: IS15961   CDS USD P V 00MEVENT IS15972 CMBX-BBB--331911     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    409474 | OU      | $-99877.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund I LP            | Atalaya Equipment Leasing Trust 21-1                                                                                               | CUSIP: 046497AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482000 | PA      | $455476.41    | 0.05%             | 2027-02-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                            | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1542196 | PA      | $1493663.71   | 0.15%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Long: BS2GTU7   IRS USD R V 12MUSCPI IS2GTV8 CCPINFLATIONZERO / Short: BS2GTU7   IRS USD P F  2.77000 IS2GTU7 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DIR              |  | US        |  29760000 | OU      | $-10608.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                         | Santander Holdings USA Inc                                                                                                         | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-07-13      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                       | Harley-Davidson Financial Services Inc                                                                                             | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   1942000 | PA      | $1776599.86   | 0.18%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust     | JPMBB Commercial Mortgage Securities Trust 2014-C21                                                                                | CUSIP: 46642EBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313608 | PA      | $295680.88    | 0.03%             | 2047-08-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust 2013-GC11                                                                                      | CUSIP: 17320DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191422 | PA      | $186855.92    | 0.02%             | 2046-04-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                           | Oleoducto Central SA                                                                                                               | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |    453000 | PA      | $400706.81    | 0.04%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBO COMMUNICACOES PART                       | Globo Comunicacao e Participacoes SA                                                                                               | CUSIP: 37959DAB0<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |    427000 | PA      | $362763.19    | 0.04%             | 2030-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                     | BFLD Trust                                                                                                                         | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2276000 | PA      | $2190703.03   | 0.22%             | 2038-06-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                         | Standard Chartered PLC                                                                                                             | CUSIP: 853254BT6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1267000 | PA      | $1243142.39   | 0.13%             | 2025-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    118141 | OU      | $-28816.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                       | Public Service Enterprise Group Inc                                                                                                | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $1106710.54   | 0.11%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities         | Natixis Commercial Mortgage Securities Trust 2019-MILE                                                                             | CUSIP: 63875FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461058 | PA      | $443705.53    | 0.05%             | 2036-07-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                 | JPN 10Y BOND(OSE) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |       -36 | NC      | $489664.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                                     | Affirm Asset Securitization Trust 2022-X1                                                                                          | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    959817 | PA      | $938059.91    | 0.10%             | 2027-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136B0CN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382101 | PA      | $170337.61    | 0.02%             | 2047-12-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                        | Royal Caribbean Cruises Ltd                                                                                                        | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   1118000 | PA      | $1168008.14   | 0.12%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Long: IS171J4   CDS USD R F  3.00000 IS171J4 CMBX / Short: IS171J4   CDS USD P V 00MEVENT IS171K5 CMBX                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    441638 | OU      | $-107722.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM 2013-SFS Mortgage Trust                                                                                                       | CUSIP: 12625EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13586 | PA      | $13493.28     | 0.00%             | 2035-04-12      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 265666419 | PA      | $243665918.97 | 24.98%            | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1364000 | PA      | $1149088.16   | 0.12%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                        | Nationwide Building Society                                                                                                        | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    982000 | PA      | $894798.40    | 0.09%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                        | Guardian Life Insurance Co of America/The                                                                                          | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    183000 | PA      | $162677.85    | 0.02%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R02                                                                                       | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13828 | PA      | $13828.05     | 0.00%             | 2031-08-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                           | Western Digital Corp                                                                                                               | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    426000 | PA      | $347351.88    | 0.04%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AJWQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37824 | PA      | $4212.45      | 0.00%             | 2044-04-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | Long: IS1D675   CDS USD R F  3.00000 IS1D675 CMBX-BBB--413180 / Short: IS1D675   CDS USD P V 00MEVENT IS1D686 CMBX-BBB--413180     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    199170 | OU      | $-48580.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS1WGR2   IRS USD R V 03MLIBOR IS1WGS3 CCPVANILLA / Short: BS1WGR2   IRS USD P F  1.59300 IS1WGR2 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3170000 | OU      | $368939.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                         | Federation des Caisses Desjardins du Quebec                                                                                        | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   1174000 | PA      | $1159207.60   | 0.12%             | 2027-08-23      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377RCY8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1760000 | PA      | $1745311.74   | 0.18%             | 2024-09-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US ULTRA BOND CBT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -76 | NC      | $-301484.44   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| IBM CORP                                       | International Business Machines Corp                                                                                               | CUSIP: 459200KW0<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    981000 | PA      | $982000.62    | 0.10%             | 2026-02-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                       | Discovery Communications LLC                                                                                                       | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     83000 | PA      | $70183.14     | 0.01%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                                                                        | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9375077 | PA      | $176309.57    | 0.02%             | 2048-10-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA5                                                                                            | CUSIP: 35564KYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3680636 | PA      | $3907245.77   | 0.40%             | 2042-06-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                         | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1025000 | PA      | $995203.25    | 0.10%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                    | Balboa Bay Loan Funding 2020-1 Ltd                                                                                                 | CUSIP: 05766BAQ1<br>LEI: 549300MALKZHG9DP8554 | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $387091.25    | 0.04%             | 2032-01-20      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R01                                                                                       | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2898843 | PA      | $2825228.91   | 0.29%             | 2041-12-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                       | Terraform Global Operating LP                                                                                                      | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |     89000 | PA      | $84658.58     | 0.01%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                         | Philip Morris International Inc                                                                                                    | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    284000 | PA      | $296620.96    | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                              | Expedia Group Inc                                                                                                                  | CUSIP: 30212PBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    486000 | PA      | $478165.68    | 0.05%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Long: BS1DMX3   IRS USD R V 03MLIBOR IS1DMY4 CCPVANILLA / Short: BS1DMX3   IRS USD P F  2.43600 IS1DMX3 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7030000 | OU      | $336575.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                | Ross Stores Inc                                                                                                                    | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1077606.66   | 0.11%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                  | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    585000 | PA      | $572387.40    | 0.06%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 182834977 | PA      | $174036043.36 | 17.84%            | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                            | Synchrony Financial                                                                                                                | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    244000 | PA      | $237385.16    | 0.02%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      8041 | OU      | $-1961.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya Financial Inc                             | Voya Financial Inc                                                                                                                 | CUSIP: 45685EAG1<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    335000 | PA      | $333586.30    | 0.03%             | 2053-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                                                                    | CUSIP: 3140M2QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6663448 | PA      | $6098593.88   | 0.63%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** AB BOND FUND, INC.

**Signature:** Joseph Mantineo

**Name of Signer:** Joseph Mantineo

**Title:** Treasurer and Chief Financial Officer