# EDGAR Filing Document

**Accession Number:** 0001738077
**File Stem:** 0001410368-25-032167
**Filing Date:** 2025-11
**Character Count:** 1132291
**Document Hash:** 2fb661b9e6920a64d1e3637a0d56b77d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-032167.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001410368-25-032167

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Master Investment Portfolio II
- **CENTRAL INDEX KEY:** 0001738077

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23343
- **FILM NUMBER:** 251525897

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### Advantage CoreAlpha Bond Master Portfolio (Series ID: S000062381)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000202350 | Advantage CoreAlpha Bond Master Portfolio |  |

## Nport-Ex

September 30, 2025

2025 Quarterly Report <br>&nbsp;&nbsp;&nbsp;&nbsp;(Unaudited)<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Advantage CoreAlpha Bond Master Portfolio**<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Not FDIC Insured • May Lose Value • No Bank Guarantee**<br>

------

Schedule of Investments (unaudited)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; ACHV ABS Trust, Series 2024-1PL, Class B, 6.34%, <br> 04/25/31<sup>(a)</sup><br>| 355 | &nbsp;&nbsp; $360876 |
| Affirm Asset Securitization Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-X1, Class C, 8.25%, 11/15/28 | 860 | &nbsp;&nbsp; 861932 |
| &nbsp;&nbsp;&nbsp; Series 2023-X1, Class D, 9.55%, 11/15/28 | 450 | &nbsp;&nbsp; 452996 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.93%, 02/15/29 | 1250 | &nbsp;&nbsp; 1255150 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class C, 5.06%, 09/15/29 | 3500 | &nbsp;&nbsp; 3504349 |
| &nbsp;&nbsp;&nbsp; Series 2024-X1, Class D, 7.29%, 05/15/29 | 1750 | &nbsp;&nbsp; 1774661 |
| &nbsp;&nbsp;&nbsp; Series 2024-X2, Class C, 5.62%, 12/17/29 | 1050 | &nbsp;&nbsp; 1054190 |
| &nbsp;&nbsp;&nbsp; Series 2024-X2, Class D, 6.08%, 12/17/29 | 525 | &nbsp;&nbsp; 530214 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class B, 5.19%, 04/15/30 | 2000 | &nbsp;&nbsp; 2007565 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class D, 6.11%, 04/15/30 | 2000 | &nbsp;&nbsp; 2010204 |
| Affirm Master Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class B, 4.75%, 10/16/34 | 1460 | &nbsp;&nbsp; 1458099 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 4.89%, 10/16/34 | 2600 | &nbsp;&nbsp; 2596826 |
| &nbsp;&nbsp;&nbsp; Blue Bridge Funding LLC, Series 2023-1A, Class A, <br> 7.37%, 11/15/30<sup>(a)</sup><br>| 218 | &nbsp;&nbsp; 219956 |
| Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-N2, Class B, 0.75%, 03/10/28 | 147 | &nbsp;&nbsp; 143462 |
| &nbsp;&nbsp;&nbsp; Series 2021-N2, Class C, 1.07%, 03/10/28 | 413 | &nbsp;&nbsp; 402834 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust, Series 2004-2, Class 2A2, (1-mo. <br> Term SOFR + 0.61%), 4.77%, 02/26/35<sup>(b)</sup><br>| 51 | &nbsp;&nbsp; 49946 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Series, <br> Series 2004-1, Class M1, (1-mo. Term SOFR + <br> 0.86%), 5.02%, 03/25/34<sup>(b)</sup><br>| 4 | &nbsp;&nbsp; 4366 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust, Series 2024-2, Class C, <br> 4.67%, 05/17/32<br>| 790 | &nbsp;&nbsp; 793199 |
| &nbsp;&nbsp;&nbsp; Louisiana Local Government Environmental Facilities & <br> Community Development Authority, Series 2022-ELL, <br> Class A3, 4.28%, 02/01/36<br>| 85 | &nbsp;&nbsp; 83590 |
| &nbsp;&nbsp;&nbsp; NetCredit Combined Receivables A LLC, Series 2025-A, <br> Class A, 7.29%, 10/20/31<sup>(a)</sup><br>| 887 | &nbsp;&nbsp; 904298 |
| NetCredit Combined Receivables LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 7.43%, 10/21/30 | 236 | &nbsp;&nbsp; 236339 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 8.31%, 10/21/30 | 1000 | &nbsp;&nbsp; 1021673 |
| &nbsp;&nbsp;&nbsp; OnDeck Asset Securitization Trust IV LLC, Series 2023-<br> 1A, Class A, 7.00%, 08/19/30<sup>(a)</sup><br>| 1460 | &nbsp;&nbsp; 1485113 |
| &nbsp;&nbsp;&nbsp; OneMain Financial Issuance Trust, Series 2019-2A, <br> Class A, 3.14%, 10/14/36<sup>(a)</sup><br>| 5690 | &nbsp;&nbsp; 5581727 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust, Series 2024-1, <br> Class C, 5.45%, 03/15/30<br>| 510 | &nbsp;&nbsp; 516869 |
| Sunbit Asset Securitization Trust5.36%, 07/15/30<sup>(a)</sup> | 1670 | &nbsp;&nbsp; 1676965 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust, Series 2025-3, Class B, <br> 5.02%, 09/20/35<sup>(a)</sup><br>| 900 | &nbsp;&nbsp; 899163 |
| Westlake Automobile Receivables Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.79%, 11/15/28 | 2880 | &nbsp;&nbsp; 2957309 |
| &nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/28 | 1080 | &nbsp;&nbsp; 1105070 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 6.02%, 10/15/29 | 1360 | &nbsp;&nbsp; 1390238 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.91%, 04/15/30 | 2030 | &nbsp;&nbsp; 2078866 |
| **Total Asset-Backed Securities — 5.4%** <br>**(Cost: $39,312,924)** | **Total Asset-Backed Securities — 5.4%** <br>**(Cost: $39,312,924)** | &nbsp;&nbsp; 39418045 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | <br>*Shares*<br>| *Value* |
| **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Financial Services — 0.0%** | **Financial Services — 0.0%** |  |
| Edcon Ltd.<sup>(c)(d)</sup> | 1807150 | &nbsp;&nbsp; $1 |
| **Total Common Stocks — 0.0%** <br>**(Cost: $—)** | **Total Common Stocks — 0.0%** <br>**(Cost: $—)** | &nbsp;&nbsp; 1 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | *Par* <br>*(000)*<br>|  |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** |
| Interpublic Group of Cos., Inc., 3.38%, 03/01/41 | $78 | &nbsp;&nbsp; 58458 |
| **Aerospace & Defense — 0.3%** | **Aerospace & Defense — 0.3%** | **Aerospace & Defense — 0.3%** |
| Bombardier, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 07/01/31 | 106 | &nbsp;&nbsp; 112363 |
| &nbsp;&nbsp;&nbsp; 6.75%, 06/15/33 | 50 | &nbsp;&nbsp; 52178 |
| &nbsp;&nbsp;&nbsp; GE Capital International Funding Co. Unlimited Co., <br> 4.42%, 11/15/35<br>| 250 | &nbsp;&nbsp; 244759 |
| General Dynamics Corp., 2.25%, 06/01/31<sup>(e)</sup> | 550 | &nbsp;&nbsp; 496817 |
| General Electric Co., 4.90%, 01/29/36<sup>(e)</sup> | 245 | &nbsp;&nbsp; 248414 |
| TransDigm, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 12/01/31 | 187 | &nbsp;&nbsp; 195058 |
| &nbsp;&nbsp;&nbsp; 6.63%, 03/01/32 | 187 | &nbsp;&nbsp; 192525 |
| &nbsp;&nbsp;&nbsp; 6.38%, 05/31/33 | 350 | &nbsp;&nbsp; 353935 |
| &nbsp;&nbsp;&nbsp; 6.25%, 01/31/34<sup>(e)</sup> | 15 | &nbsp;&nbsp; 15426 |
| &nbsp;&nbsp;&nbsp; 6.75%, 01/31/34 | 40 | &nbsp;&nbsp; 41358 |
|  |  | &nbsp;&nbsp; 1952833 |
| **Automobile Components**<sup>(a)</sup> **— 0.1%** | **Automobile Components**<sup>(a)</sup> **— 0.1%** | **Automobile Components**<sup>(a)</sup> **— 0.1%** |
| &nbsp;&nbsp;&nbsp; Garrett Motion Holdings, Inc./Garrett LX I SARL, 7.75%, <br> 05/31/32<br>| 259 | &nbsp;&nbsp; 271692 |
| Phinia, Inc., 6.63%, 10/15/32 | 69 | &nbsp;&nbsp; 71113 |
|  |  | &nbsp;&nbsp; 342805 |
| **Automobiles — 0.2%** | **Automobiles — 0.2%** | **Automobiles — 0.2%** |
| American Honda Finance Corp., 4.90%, 03/13/29 | 450 | &nbsp;&nbsp; 459433 |
| Aston Martin Capital Holdings Ltd., 10.00%, 03/31/29<sup>(a)</sup> | 211 | &nbsp;&nbsp; 206581 |
| Carvana Co., (9.00% PIK), 9.00%, 06/01/30<sup>(a)(f)</sup> | 216 | &nbsp;&nbsp; 225659 |
| New Flyer Holdings, Inc., 9.25%, 07/01/30<sup>(a)</sup> | 266 | &nbsp;&nbsp; 284718 |
| Nissan Motor Acceptance Co. LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.95%, 09/15/26<sup>(e)</sup> | 61 | &nbsp;&nbsp; 61791 |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/29/28 | 55 | &nbsp;&nbsp; 55035 |
| &nbsp;&nbsp;&nbsp; 6.13%, 09/30/30 | 170 | &nbsp;&nbsp; 170058 |
| Nissan Motor Co. Ltd.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.75%, 07/17/32<sup>(e)</sup> | 215 | &nbsp;&nbsp; 227526 |
| &nbsp;&nbsp;&nbsp; 8.13%, 07/17/35 | 100 | &nbsp;&nbsp; 107349 |
|  |  | &nbsp;&nbsp; 1798150 |
| **Banks — 2.1%** | **Banks — 2.1%** | **Banks — 2.1%** |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 03/08/27 | 435 | &nbsp;&nbsp; 426924 |
| &nbsp;&nbsp;&nbsp; 5.72%, 09/25/28 | 20 | &nbsp;&nbsp; 20892 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.88%), 4.57%, 09/10/27<sup>(b)</sup> | 215 | &nbsp;&nbsp; 215739 |
| Canadian Imperial Bank of Commerce, 5.26%, 04/08/29 | 300 | &nbsp;&nbsp; 310534 |
| &nbsp;&nbsp;&nbsp; Fifth Third Bancorp, (1-day SOFR + 2.34%), 6.34%, <br> 07/27/29<sup>(b)</sup><br>| 140 | &nbsp;&nbsp; 147513 |
| Freedom Mortgage Corp., 12.25%, 10/01/30<sup>(a)</sup> | 81 | &nbsp;&nbsp; 90359 |
| ING Groep NV<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 6.08%, 09/11/27<sup>(e)</sup> | 855 | &nbsp;&nbsp; 869604 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.09%), 6.11%, 09/11/34 | 545 | &nbsp;&nbsp; 589492 |
| Inter-American Development Bank, 4.50%, 05/15/26 | 1730 | &nbsp;&nbsp; 1735869 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., (1-day SOFR + 1.64%), 5.58%, <br> 07/23/36<sup>(b)</sup><br>| 320 | &nbsp;&nbsp; $331738 |
| &nbsp;&nbsp;&nbsp; M&T Bank Corp., (1-day SOFR + 2.80%), 7.41%, <br> 10/30/29<sup>(b)(e)</sup><br>| 1410 | &nbsp;&nbsp; 1531705 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Private Bank NA, (1-day SOFR + <br> 1.08%), 4.73%, 07/18/31<sup>(b)</sup><br>| 1825 | &nbsp;&nbsp; 1852253 |
| Royal Bank of Canada |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/04/27 | 630 | &nbsp;&nbsp; 627309 |
| &nbsp;&nbsp;&nbsp; 5.20%, 08/01/28 | 40 | &nbsp;&nbsp; 41249 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/33 | 10 | &nbsp;&nbsp; 10328 |
| &nbsp;&nbsp;&nbsp; Santander U.K. Group Holdings PLC, (3-mo. SOFR US <br> + 1.66%), 3.82%, 11/03/28<sup>(b)</sup><br>| 240 | &nbsp;&nbsp; 237573 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., (1-day SOFR + 0.86%), 1.89%, <br> 06/07/29<sup>(b)</sup><br>| 10 | &nbsp;&nbsp; 9424 |
| U.S. Bancorp<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.41%), 5.42%, 02/12/36<sup>(e)</sup> | 965 | &nbsp;&nbsp; 999203 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.86%), 5.68%, 01/23/35 | 155 | &nbsp;&nbsp; 163198 |
| Wells Fargo & Co.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.38%), 5.21%, 12/03/35 | 775 | &nbsp;&nbsp; 791850 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.50%), 3.35%, 03/02/33 | 433 | &nbsp;&nbsp; 403069 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.78%), 5.50%, 01/23/35 | 105 | &nbsp;&nbsp; 109525 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.79%), 6.30%, 10/23/29 | 308 | &nbsp;&nbsp; 326222 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.98%), 4.81%, 07/25/28 | 840 | &nbsp;&nbsp; 849915 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.06%), 6.49%, 10/23/34 | 180 | &nbsp;&nbsp; 199997 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.10%), 4.90%, 07/25/33 | 409 | &nbsp;&nbsp; 415515 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.53%), 3.07%, 04/30/41 | 70 | &nbsp;&nbsp; 54340 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.26%), 2.57%, 02/11/31 | 1374 | &nbsp;&nbsp; 1276899 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.43%), 2.88%, 10/30/30 | 80 | &nbsp;&nbsp; 75744 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 4.03%), 4.48%, 04/04/31 | 535 | &nbsp;&nbsp; 537928 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 4.50%), 5.01%, 04/04/51 | 360 | &nbsp;&nbsp; 336188 |
| Westpac Banking Corp., 2.96%, 11/16/40 | 120 | &nbsp;&nbsp; 91853 |
|  |  | &nbsp;&nbsp; 15679951 |
| **Beverages — 0.3%** | **Beverages — 0.3%** | **Beverages — 0.3%** |
| Coca-Cola Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/05/51 | 90 | &nbsp;&nbsp; 61486 |
| &nbsp;&nbsp;&nbsp; 5.30%, 05/13/54 | 610 | &nbsp;&nbsp; 607245 |
| &nbsp;&nbsp;&nbsp; 5.40%, 05/13/64 | 400 | &nbsp;&nbsp; 398132 |
| Diageo Capital PLC |  |  |
| &nbsp;&nbsp;&nbsp; 2.13%, 04/29/32 | 380 | &nbsp;&nbsp; 328723 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/24/33 | 725 | &nbsp;&nbsp; 763834 |
| PepsiCo, Inc., 4.65%, 02/15/53 | 365 | &nbsp;&nbsp; 327533 |
|  |  | &nbsp;&nbsp; 2486953 |
| **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** |
| Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 08/19/26 | 800 | &nbsp;&nbsp; 789746 |
| &nbsp;&nbsp;&nbsp; 5.65%, 03/02/53 | 165 | &nbsp;&nbsp; 164578 |
| Regeneron Pharmaceuticals, Inc., 1.75%, 09/15/30 | 2440 | &nbsp;&nbsp; 2152061 |
| Royalty Pharma PLC, 5.40%, 09/02/34 | 500 | &nbsp;&nbsp; 510610 |
|  |  | &nbsp;&nbsp; 3616995 |
| **Building Materials — 0.4%** | **Building Materials — 0.4%** | **Building Materials — 0.4%** |
| Carlisle Cos., Inc., 5.55%, 09/15/40 | 310 | &nbsp;&nbsp; 313800 |
| CRH America Finance, Inc., 5.50%, 01/09/35 | 1235 | &nbsp;&nbsp; 1288934 |
| Eagle Materials, Inc., 2.50%, 07/01/31 | 555 | &nbsp;&nbsp; 500228 |
| Martin Marietta Materials, Inc., 5.15%, 12/01/34<sup>(e)</sup> | 620 | &nbsp;&nbsp; 632741 |
| Masco Corp., 2.00%, 10/01/30<sup>(e)</sup> | 160 | &nbsp;&nbsp; 143042 |
| Trane Technologies Financing Ltd., 4.50%, 03/21/49 | 95 | &nbsp;&nbsp; 82270 |
|  |  | &nbsp;&nbsp; 2961015 |
| **Building Products — 0.2%** | **Building Products — 0.2%** | **Building Products — 0.2%** |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 09/15/40 | 200 | &nbsp;&nbsp; 206246 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Building Products (continued)** | **Building Products (continued)** | **Building Products (continued)** |
| Home Depot, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 3.13%, 12/15/49 | 110 | &nbsp;&nbsp; $76263 |
| &nbsp;&nbsp;&nbsp; 5.40%, 06/25/64 | 30 | &nbsp;&nbsp; 29637 |
| Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.35%, 04/01/27<sup>(e)</sup> | 280 | &nbsp;&nbsp; 277263 |
| &nbsp;&nbsp;&nbsp; 5.80%, 09/15/62 | 55 | &nbsp;&nbsp; 55148 |
| Patrick Industries, Inc., 6.38%, 11/01/32<sup>(a)</sup> | 200 | &nbsp;&nbsp; 202922 |
| QXO Building Products, Inc., 6.75%, 04/30/32<sup>(a)</sup> | 280 | &nbsp;&nbsp; 289911 |
|  |  | &nbsp;&nbsp; 1137390 |
| **Capital Markets — 1.3%** | **Capital Markets — 1.3%** | **Capital Markets — 1.3%** |
| Ameriprise Financial, Inc., 5.70%, 12/15/28 | 720 | &nbsp;&nbsp; 753720 |
| ARES Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.15%, 07/15/26 | 352 | &nbsp;&nbsp; 345811 |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/15/28 | 425 | &nbsp;&nbsp; 405765 |
| &nbsp;&nbsp;&nbsp; 5.10%, 01/15/31 | 200 | &nbsp;&nbsp; 198557 |
| ARES Management Corp., 5.60%, 10/11/54 | 463 | &nbsp;&nbsp; 447751 |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., (1-day SOFR + 1.51%), <br> 4.71%, 02/01/34<sup>(b)</sup><br>| 270 | &nbsp;&nbsp; 271339 |
| Blue Owl Finance LLC, 6.25%, 04/18/34 | 970 | &nbsp;&nbsp; 1017262 |
| Brookfield Capital Finance LLC, 6.09%, 06/14/33 | 145 | &nbsp;&nbsp; 156136 |
| Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.68%, 01/15/35 | 500 | &nbsp;&nbsp; 518619 |
| &nbsp;&nbsp;&nbsp; 5.33%, 01/15/36 | 275 | &nbsp;&nbsp; 276452 |
| Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 08/24/26<sup>(e)</sup> | 415 | &nbsp;&nbsp; 421114 |
| &nbsp;&nbsp;&nbsp; 2.45%, 03/03/27<sup>(e)</sup> | 45 | &nbsp;&nbsp; 44027 |
| &nbsp;&nbsp;&nbsp; 3.20%, 01/25/28 | 4 | &nbsp;&nbsp; 3930 |
| &nbsp;&nbsp;&nbsp; 1.65%, 03/11/31 | 3 | &nbsp;&nbsp; 2608 |
| &nbsp;&nbsp;&nbsp; 2.30%, 05/13/31 | 13 | &nbsp;&nbsp; 11708 |
| &nbsp;&nbsp;&nbsp; 1.95%, 12/01/31 | 105 | &nbsp;&nbsp; 91104 |
| &nbsp;&nbsp;&nbsp; 2.90%, 03/03/32 | 4 | &nbsp;&nbsp; 3646 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.88%), 6.20%, 11/17/29<sup>(b)</sup> | 358 | &nbsp;&nbsp; 379938 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.21%), 5.64%, 05/19/29<sup>(b)</sup> | 92 | &nbsp;&nbsp; 95541 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.50%), 5.85%, 05/19/34<sup>(b)</sup> | 31 | &nbsp;&nbsp; 33177 |
| FS KKR Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.63%, 01/15/27 | 800 | &nbsp;&nbsp; 777303 |
| &nbsp;&nbsp;&nbsp; 6.88%, 08/15/29 | 730 | &nbsp;&nbsp; 747734 |
| &nbsp;&nbsp;&nbsp; 6.13%, 01/15/30<sup>(e)</sup> | 179 | &nbsp;&nbsp; 178201 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 9.75%, 01/15/29<sup>(e)</sup> | 108 | &nbsp;&nbsp; 108999 |
| &nbsp;&nbsp;&nbsp; 10.00%, 11/15/29<sup>(a)</sup> | 106 | &nbsp;&nbsp; 106468 |
| &nbsp;&nbsp;&nbsp; 9.00%, 06/15/30<sup>(e)</sup> | 142 | &nbsp;&nbsp; 136919 |
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance, Inc., 6.75%, <br> 05/01/33<sup>(a)(e)</sup><br>| 150 | &nbsp;&nbsp; 155795 |
| LPL Holdings, Inc., 5.65%, 03/15/35 | 945 | &nbsp;&nbsp; 962824 |
| Osaic Holdings, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.75%, 08/01/32 | 25 | &nbsp;&nbsp; 25821 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/33 | 15 | &nbsp;&nbsp; 15546 |
| Stonex Escrow Issuer LLC, 6.88%, 07/15/32<sup>(a)</sup> | 90 | &nbsp;&nbsp; 92639 |
| StoneX Group, Inc., 7.88%, 03/01/31<sup>(a)</sup> | 322 | &nbsp;&nbsp; 338618 |
| &nbsp;&nbsp;&nbsp; VFH Parent LLC/Valor Co-Issuer, Inc., 7.50%, <br> 06/15/31<sup>(a)</sup><br>| 100 | &nbsp;&nbsp; 103428 |
|  |  | &nbsp;&nbsp; 9228500 |
| **Chemicals — 0.4%** | **Chemicals — 0.4%** | **Chemicals — 0.4%** |
| Air Products and Chemicals, Inc., 2.70%, 05/15/40 | 87 | &nbsp;&nbsp; 64900 |
| &nbsp;&nbsp;&nbsp; CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, <br> 06/15/28<sup>(a)</sup><br>| 193 | &nbsp;&nbsp; 192687 |
| LYB International Finance III LLC, 4.20%, 05/01/50 | 160 | &nbsp;&nbsp; 118514 |
| Rain Carbon, Inc., 12.25%, 09/01/29<sup>(a)</sup> | 154 | &nbsp;&nbsp; 164914 |
| RPM International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.75%, 03/15/27 | 105 | &nbsp;&nbsp; 104213 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** |
| RPM International, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 01/15/32 | 800 | &nbsp;&nbsp; $722004 |
| Sherwin-Williams Co., 5.15%, 08/15/35<sup>(e)</sup> | 1400 | &nbsp;&nbsp; 1424505 |
| SK Invictus Intermediate II SARL, 5.00%, 10/30/29<sup>(a)</sup> | 234 | &nbsp;&nbsp; 229029 |
|  |  | &nbsp;&nbsp; 3020766 |
| **Commercial Services & Supplies — 0.6%** | **Commercial Services & Supplies — 0.6%** | **Commercial Services & Supplies — 0.6%** |
| ADT Security Corp., 10/15/33<sup>(a)(g)</sup> | 150 | &nbsp;&nbsp; 150000 |
| Alta Equipment Group, Inc., 9.00%, 06/01/29<sup>(a)(e)</sup> | 60 | &nbsp;&nbsp; 56001 |
| Belron U.K. Finance PLC, 5.75%, 10/15/29<sup>(a)</sup> | 136 | &nbsp;&nbsp; 137773 |
| Ford Foundation<sup>(e)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2020, 2.42%, 06/01/50 | 5 | &nbsp;&nbsp; 2997 |
| &nbsp;&nbsp;&nbsp; Series 2020, 2.82%, 06/01/70 | 30 | &nbsp;&nbsp; 17323 |
| FTAI Aviation Investors LLC, 7.00%, 06/15/32<sup>(a)</sup> | 176 | &nbsp;&nbsp; 184188 |
| Georgetown University, Series 20A, 2.94%, 04/01/50<sup>(e)</sup> | 27 | &nbsp;&nbsp; 17668 |
| Hertz Corp., 12.63%, 07/15/29<sup>(a)</sup> | 63 | &nbsp;&nbsp; 66789 |
| Massachusetts Institute of Technology, 3.07%, 04/01/52 | 264 | &nbsp;&nbsp; 181163 |
| &nbsp;&nbsp;&nbsp; Northwestern University, Series 2020, 2.64%, <br> 12/01/50<sup>(e)</sup><br>| 266 | &nbsp;&nbsp; 167574 |
| &nbsp;&nbsp;&nbsp; President and Fellows of Harvard College, 2.52%, <br> 10/15/50<sup>(e)</sup><br>| 54 | &nbsp;&nbsp; 33272 |
| Rockefeller Foundation, Series 2020, 2.49%, 10/01/50 | 72 | &nbsp;&nbsp; 44274 |
| TR Finance LLC, 3.35%, 05/15/26 | 800 | &nbsp;&nbsp; 794331 |
| University of Chicago |  |  |
| &nbsp;&nbsp;&nbsp; Series 20B, 2.76%, 04/01/45 | 148 | &nbsp;&nbsp; 116690 |
| &nbsp;&nbsp;&nbsp; Series C, 2.55%, 04/01/50 | 157 | &nbsp;&nbsp; 102189 |
| University of Southern California<sup>(e)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.98%, 10/01/53 | 10 | &nbsp;&nbsp; 9443 |
| &nbsp;&nbsp;&nbsp; Series 21A, 2.95%, 10/01/51 | 190 | &nbsp;&nbsp; 125800 |
| Verisk Analytics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.13%, 03/15/29 | 1056 | &nbsp;&nbsp; 1053504 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/05/34 | 1170 | &nbsp;&nbsp; 1206227 |
| Yale University, Series 2020, 2.40%, 04/15/50<sup>(e)</sup> | 272 | &nbsp;&nbsp; 165307 |
|  |  | &nbsp;&nbsp; 4632513 |
| **Communications Equipment — 0.4%** | **Communications Equipment — 0.4%** | **Communications Equipment — 0.4%** |
| CommScope LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 03/01/27 | 220 | &nbsp;&nbsp; 222404 |
| &nbsp;&nbsp;&nbsp; 9.50%, 12/15/31<sup>(e)</sup> | 170 | &nbsp;&nbsp; 175967 |
| Motorola Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/23/29 | 260 | &nbsp;&nbsp; 262796 |
| &nbsp;&nbsp;&nbsp; 5.40%, 04/15/34 | 625 | &nbsp;&nbsp; 647842 |
| &nbsp;&nbsp;&nbsp; 5.55%, 08/15/35 | 230 | &nbsp;&nbsp; 239607 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/44 | 927 | &nbsp;&nbsp; 925365 |
| Viasat, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 | 216 | &nbsp;&nbsp; 211117 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/30/31<sup>(e)</sup> | 329 | &nbsp;&nbsp; 308734 |
|  |  | &nbsp;&nbsp; 2993832 |
| **Construction & Engineering**<sup>(a)</sup> **— 0.1%** | **Construction & Engineering**<sup>(a)</sup> **— 0.1%** | **Construction & Engineering**<sup>(a)</sup> **— 0.1%** |
| AECOM, 6.00%, 08/01/33 | 180 | &nbsp;&nbsp; 184030 |
| HTA Group Ltd., 7.50%, 06/04/29 | 204 | &nbsp;&nbsp; 212223 |
| Tutor Perini Corp., 11.88%, 04/30/29<sup>(e)</sup> | 184 | &nbsp;&nbsp; 206075 |
|  |  | &nbsp;&nbsp; 602328 |
| **Consumer Discretionary — 0.3%** | **Consumer Discretionary — 0.3%** | **Consumer Discretionary — 0.3%** |
| Automatic Data Processing, Inc., 4.75%, 05/08/32 | 680 | &nbsp;&nbsp; 696288 |
| Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 10/01/30 | 890 | &nbsp;&nbsp; 830855 |
| &nbsp;&nbsp;&nbsp; 5.10%, 08/09/35 | 360 | &nbsp;&nbsp; 360925 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Consumer Discretionary (continued)** | **Consumer Discretionary (continued)** | **Consumer Discretionary (continued)** |
| Quanta Services, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 3.05%, 10/01/41 | 605 | &nbsp;&nbsp; $449786 |
| RELX Capital, Inc., 5.25%, 03/27/35 | 120 | &nbsp;&nbsp; 123845 |
|  |  | &nbsp;&nbsp; 2461699 |
| **Consumer Finance — 1.2%** | **Consumer Finance — 1.2%** | **Consumer Finance — 1.2%** |
| American Express Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 05/03/29 | 186 | &nbsp;&nbsp; 186347 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.00%), 5.10%, 02/16/28<sup>(b)</sup> | 720 | &nbsp;&nbsp; 729662 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.93%), 5.63%, 07/28/34<sup>(b)</sup> | 255 | &nbsp;&nbsp; 266321 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR Index + 1.32%), 5.44%, 01/30/36<sup>(b)</sup> | 1155 | &nbsp;&nbsp; 1201287 |
| Atlanticus Holdings Corp., 9.75%, 09/01/30<sup>(a)</sup> | 290 | &nbsp;&nbsp; 288152 |
| Capital One Financial Corp.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 5.46%, 07/26/30 | 960 | &nbsp;&nbsp; 993841 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.04%), 6.18%, 01/30/36 | 380 | &nbsp;&nbsp; 394195 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.37%), 5.27%, 05/10/33 | 105 | &nbsp;&nbsp; 107376 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.64%), 6.31%, 06/08/29 | 93 | &nbsp;&nbsp; 97558 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR Index + 3.37%), 7.96%, 11/02/34 | 710 | &nbsp;&nbsp; 839455 |
| Enova International, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 11.25%, 12/15/28 | 132 | &nbsp;&nbsp; 140381 |
| &nbsp;&nbsp;&nbsp; 9.13%, 08/01/29 | 196 | &nbsp;&nbsp; 205833 |
| EZCORP, Inc., 7.38%, 04/01/32<sup>(a)</sup> | 55 | &nbsp;&nbsp; 58602 |
| goeasy Ltd.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 12/01/28<sup>(e)</sup> | 223 | &nbsp;&nbsp; 232758 |
| &nbsp;&nbsp;&nbsp; 7.63%, 07/01/29<sup>(e)</sup> | 125 | &nbsp;&nbsp; 126675 |
| &nbsp;&nbsp;&nbsp; 7.38%, 10/01/30 | 105 | &nbsp;&nbsp; 105526 |
| Mastercard, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.55%, 01/15/35 | 385 | &nbsp;&nbsp; 384160 |
| &nbsp;&nbsp;&nbsp; 2.95%, 03/15/51 | 1580 | &nbsp;&nbsp; 1057119 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.63%, 05/15/29 | 115 | &nbsp;&nbsp; 118205 |
| &nbsp;&nbsp;&nbsp; 7.88%, 03/15/30 | 195 | &nbsp;&nbsp; 206340 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/15/31 | 201 | &nbsp;&nbsp; 210118 |
| S&P Global, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 09/15/33 | 95 | &nbsp;&nbsp; 99473 |
| &nbsp;&nbsp;&nbsp; 2.30%, 08/15/60 | 463 | &nbsp;&nbsp; 241574 |
| SLM Corp., 6.50%, 01/31/30 | 115 | &nbsp;&nbsp; 119838 |
| Synchrony Financial, 7.25%, 02/02/33 | 163 | &nbsp;&nbsp; 173936 |
| Visa, Inc., 3.65%, 09/15/47 | 385 | &nbsp;&nbsp; 303716 |
|  |  | &nbsp;&nbsp; 8888448 |
| **Consumer Staples Distribution & Retail — 0.4%** | **Consumer Staples Distribution & Retail — 0.4%** | **Consumer Staples Distribution & Retail — 0.4%** |
| Costco Wholesale Corp., 1.75%, 04/20/32 | 160 | &nbsp;&nbsp; 138490 |
| Kroger Co., 5.00%, 09/15/34 | 240 | &nbsp;&nbsp; 242038 |
| QVC, Inc., 6.88%, 04/15/29<sup>(a)</sup> | 252 | &nbsp;&nbsp; 136201 |
| U.S. Foods, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 01/15/32 | 199 | &nbsp;&nbsp; 208341 |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/15/33 | 152 | &nbsp;&nbsp; 152796 |
| United Natural Foods, Inc., 6.75%, 10/15/28<sup>(a)(e)</sup> | 218 | &nbsp;&nbsp; 217983 |
| Walmart, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.90%, 04/28/35 | 1595 | &nbsp;&nbsp; 1640715 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/09/52<sup>(e)</sup> | 200 | &nbsp;&nbsp; 179311 |
|  |  | &nbsp;&nbsp; 2915875 |
| **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** |
| &nbsp;&nbsp;&nbsp; Ardagh Metal Packaging Finance USA LLC/Ardagh <br> Metal Packaging Finance PLC, 4.00%, 09/01/29<sup>(a)(e)</sup><br>| 313 | &nbsp;&nbsp; 289687 |
| Packaging Corp. of America |  |  |
| &nbsp;&nbsp;&nbsp; 5.70%, 12/01/33 | 420 | &nbsp;&nbsp; 444725 |
| &nbsp;&nbsp;&nbsp; 4.05%, 12/15/49 | 900 | &nbsp;&nbsp; 714718 |
|  |  | &nbsp;&nbsp; 1449130 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Distributors — 0.1%** | **Distributors — 0.1%** | **Distributors — 0.1%** |
| WW Grainger, Inc., 4.45%, 09/15/34 | $880 | &nbsp;&nbsp; $869624 |
| **Diversified REITs — 0.5%** | **Diversified REITs — 0.5%** | **Diversified REITs — 0.5%** |
| American Tower Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.80%, 11/15/28 | 280 | &nbsp;&nbsp; 292383 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 | 60 | &nbsp;&nbsp; 61401 |
| &nbsp;&nbsp;&nbsp; 5.40%, 01/31/35 | 70 | &nbsp;&nbsp; 72331 |
| Crown Castle, Inc., 2.10%, 04/01/31 | 505 | &nbsp;&nbsp; 442137 |
| ERP Operating LP, 4.65%, 09/15/34 | 330 | &nbsp;&nbsp; 326097 |
| GLP Capital LP/GLP Financing II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/15/34 | 500 | &nbsp;&nbsp; 506062 |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/01/37 | 200 | &nbsp;&nbsp; 198611 |
| Iron Mountain, Inc., 7.00%, 02/15/29<sup>(a)</sup> | 90 | &nbsp;&nbsp; 92748 |
| Millrose Properties, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 08/01/30 | 55 | &nbsp;&nbsp; 55934 |
| &nbsp;&nbsp;&nbsp; 6.25%, 09/15/32 | 221 | &nbsp;&nbsp; 221578 |
| Prologis LP, 5.25%, 06/15/53 | 145 | &nbsp;&nbsp; 140189 |
| Rithm Capital Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/01/29 | 273 | &nbsp;&nbsp; 279432 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/15/30<sup>(e)</sup> | 90 | &nbsp;&nbsp; 92138 |
| &nbsp;&nbsp;&nbsp; Uniti Group LP/Uniti Group Finance 2019, Inc./CSL <br> Capital LLC, 10.50%, 02/15/28<sup>(a)</sup><br>| 202 | &nbsp;&nbsp; 212746 |
| VICI Properties LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 04/01/35 | 610 | &nbsp;&nbsp; 624585 |
| &nbsp;&nbsp;&nbsp; 5.63%, 05/15/52 | 77 | &nbsp;&nbsp; 73416 |
|  |  | &nbsp;&nbsp; 3691788 |
| **Diversified Telecommunication Services — 1.3%** | **Diversified Telecommunication Services — 1.3%** | **Diversified Telecommunication Services — 1.3%** |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.70%, 03/25/26 | 924 | &nbsp;&nbsp; 913129 |
| &nbsp;&nbsp;&nbsp; 4.55%, 11/01/32 | 2200 | &nbsp;&nbsp; 2190240 |
| &nbsp;&nbsp;&nbsp; 4.85%, 03/01/39 | 385 | &nbsp;&nbsp; 369348 |
| Cisco Systems, Inc., 4.95%, 02/24/32 | 1000 | &nbsp;&nbsp; 1033940 |
| &nbsp;&nbsp;&nbsp; Connect Finco SARL/Connect U.S. Finco LLC, 9.00%, <br> 09/15/29<sup>(a)(e)</sup><br>| 280 | &nbsp;&nbsp; 294393 |
| EchoStar Corp. |  |  |
| &nbsp;&nbsp;&nbsp; (6.75% PIK), 6.75%, 11/30/30<sup>(f)</sup> | 360 | &nbsp;&nbsp; 371142 |
| &nbsp;&nbsp;&nbsp; 10.75%, 11/30/29 | 325 | &nbsp;&nbsp; 357555 |
| &nbsp;&nbsp;&nbsp; Frontier Communications Holdings LLC, 6.75%, <br> 05/01/29<sup>(a)</sup><br>| 351 | &nbsp;&nbsp; 354501 |
| GCI LLC, 4.75%, 10/15/28<sup>(a)</sup> | 116 | &nbsp;&nbsp; 112729 |
| Level 3 Financing, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.25%, 07/01/28<sup>(e)</sup> | 156 | &nbsp;&nbsp; 145857 |
| &nbsp;&nbsp;&nbsp; 6.88%, 06/30/33 | 310 | &nbsp;&nbsp; 315946 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/31/34 | 135 | &nbsp;&nbsp; 137337 |
| Lumen Technologies, Inc., 10.00%, 10/15/32<sup>(a)</sup> | 54 | &nbsp;&nbsp; 54629 |
| Sprint Capital Corp., 8.75%, 03/15/32 | 740 | &nbsp;&nbsp; 901530 |
| Telecom Italia Capital SA |  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/30/34<sup>(e)</sup> | 70 | &nbsp;&nbsp; 71058 |
| &nbsp;&nbsp;&nbsp; 7.20%, 07/18/36 | 91 | &nbsp;&nbsp; 98214 |
| &nbsp;&nbsp;&nbsp; 7.72%, 06/04/38 | 92 | &nbsp;&nbsp; 101917 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/02/35 | 910 | &nbsp;&nbsp; 925391 |
| &nbsp;&nbsp;&nbsp; 5.40%, 07/02/37<sup>(a)</sup> | 812 | &nbsp;&nbsp; 824960 |
|  |  | &nbsp;&nbsp; 9573816 |
| **Electric Utilities — 2.4%** | **Electric Utilities — 2.4%** | **Electric Utilities — 2.4%** |
| AEP Texas, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 05/15/52 | 140 | &nbsp;&nbsp; 129076 |
| &nbsp;&nbsp;&nbsp; Series I, 2.10%, 07/01/30 | 260 | &nbsp;&nbsp; 234466 |
| AEP Transmission Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.15%, 09/15/49 | 30 | &nbsp;&nbsp; 20572 |
| &nbsp;&nbsp;&nbsp; Series O, 4.50%, 06/15/52 | 130 | &nbsp;&nbsp; 112112 |
| Alabama Power Co., 3.45%, 10/01/49 | 370 | &nbsp;&nbsp; 271115 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Ameren Illinois Co., 5.55%, 07/01/54 | $75 | &nbsp;&nbsp; $75737 |
| Appalachian Power Co., Series X, 3.30%, 06/01/27 | 90 | &nbsp;&nbsp; 88713 |
| Arizona Public Service Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 09/15/27<sup>(e)</sup> | 300 | &nbsp;&nbsp; 294049 |
| &nbsp;&nbsp;&nbsp; 5.70%, 08/15/34 | 50 | &nbsp;&nbsp; 52387 |
| Atlantic City Electric Co., 2.30%, 03/15/31 | 370 | &nbsp;&nbsp; 332011 |
| Baltimore Gas and Electric Co., 2.90%, 06/15/50 | 170 | &nbsp;&nbsp; 110647 |
| Berkshire Hathaway Energy Co., 4.45%, 01/15/49 | 200 | &nbsp;&nbsp; 170538 |
| Black Hills Corp., 6.00%, 01/15/35 | 150 | &nbsp;&nbsp; 159673 |
| CenterPoint Energy Houston Electric LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 10/01/28 | 30 | &nbsp;&nbsp; 30951 |
| &nbsp;&nbsp;&nbsp; Series AH, 3.60%, 03/01/52 | 55 | &nbsp;&nbsp; 40831 |
| &nbsp;&nbsp;&nbsp; Series AJ, 4.85%, 10/01/52 | 75 | &nbsp;&nbsp; 68195 |
| &nbsp;&nbsp;&nbsp; Series AQ, 4.95%, 08/15/35 | 125 | &nbsp;&nbsp; 124547 |
| Commonwealth Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.20%, 03/01/30 | 190 | &nbsp;&nbsp; 174962 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | 90 | &nbsp;&nbsp; 71807 |
| &nbsp;&nbsp;&nbsp; Series 130, 3.13%, 03/15/51 | 70 | &nbsp;&nbsp; 47170 |
| Connecticut Light and Power Co., 4.95%, 01/15/30 | 80 | &nbsp;&nbsp; 82288 |
| Consolidated Edison Co. of New York, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.70%, 05/15/54 | 130 | &nbsp;&nbsp; 133241 |
| &nbsp;&nbsp;&nbsp; Series 2006-A, 5.85%, 03/15/36 | 500 | &nbsp;&nbsp; 533868 |
| Constellation Energy Generation LLC, 5.80%, 03/01/33 | 175 | &nbsp;&nbsp; 186950 |
| Consumers Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/30/29 | 50 | &nbsp;&nbsp; 50761 |
| &nbsp;&nbsp;&nbsp; 4.63%, 05/15/33<sup>(e)</sup> | 110 | &nbsp;&nbsp; 110098 |
| &nbsp;&nbsp;&nbsp; 2.65%, 08/15/52 | 72 | &nbsp;&nbsp; 44818 |
| &nbsp;&nbsp;&nbsp; 4.20%, 09/01/52 | 60 | &nbsp;&nbsp; 49310 |
| Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.90%, 10/01/25 | 148 | &nbsp;&nbsp; 148000 |
| &nbsp;&nbsp;&nbsp; 5.38%, 11/15/32 | 140 | &nbsp;&nbsp; 145472 |
| &nbsp;&nbsp;&nbsp; Series C, 3.38%, 04/01/30 | 58 | &nbsp;&nbsp; 55710 |
| DTE Electric Co., Series B, 3.65%, 03/01/52 | 217 | &nbsp;&nbsp; 162273 |
| Duke Energy Carolinas LLC, 5.35%, 01/15/53 | 100 | &nbsp;&nbsp; 98080 |
| Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 09/01/26 | 300 | &nbsp;&nbsp; 296360 |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/05/29 | 180 | &nbsp;&nbsp; 183412 |
| &nbsp;&nbsp;&nbsp; 4.20%, 06/15/49 | 530 | &nbsp;&nbsp; 424904 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/52 | 60 | &nbsp;&nbsp; 54015 |
| Duke Energy Florida LLC, 5.88%, 11/15/33 | 85 | &nbsp;&nbsp; 91709 |
| Duke Energy Indiana LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 03/01/34 | 60 | &nbsp;&nbsp; 61905 |
| &nbsp;&nbsp;&nbsp; 5.40%, 04/01/53 | 20 | &nbsp;&nbsp; 19571 |
| Duke Energy Ohio, Inc., 4.30%, 02/01/49 | 100 | &nbsp;&nbsp; 83600 |
| Duke Energy Progress LLC, 5.10%, 03/15/34 | 50 | &nbsp;&nbsp; 51448 |
| Entergy Arkansas LLC, 5.75%, 06/01/54 | 30 | &nbsp;&nbsp; 30713 |
| Entergy Mississippi LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | 180 | &nbsp;&nbsp; 183216 |
| &nbsp;&nbsp;&nbsp; 5.85%, 06/01/54 | 40 | &nbsp;&nbsp; 40949 |
| Entergy Texas, Inc., 3.55%, 09/30/49<sup>(e)</sup> | 220 | &nbsp;&nbsp; 159737 |
| Evergy Kansas Central, Inc., 3.45%, 04/15/50 | 130 | &nbsp;&nbsp; 92935 |
| Evergy Metro, Inc., 5.40%, 04/01/34<sup>(e)</sup> | 35 | &nbsp;&nbsp; 36400 |
| Evergy, Inc., 2.90%, 09/15/29 | 50 | &nbsp;&nbsp; 47422 |
| Eversource Energy, Series M, 3.30%, 01/15/28 | 200 | &nbsp;&nbsp; 195782 |
| Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/29 | 45 | &nbsp;&nbsp; 46287 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/15/53<sup>(e)</sup> | 70 | &nbsp;&nbsp; 68431 |
| FirstEnergy Transmission LLC, 5.00%, 01/15/35 | 25 | &nbsp;&nbsp; 25015 |
| Florida Power & Light Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 05/15/33 | 55 | &nbsp;&nbsp; 55947 |
| &nbsp;&nbsp;&nbsp; 4.05%, 10/01/44 | 300 | &nbsp;&nbsp; 253002 |
| &nbsp;&nbsp;&nbsp; 3.15%, 10/01/49 | 40 | &nbsp;&nbsp; 27924 |
| &nbsp;&nbsp;&nbsp; 2.88%, 12/04/51 | 90 | &nbsp;&nbsp; 58154 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Georgia Power Co., 4.85%, 03/15/31 | $300 | &nbsp;&nbsp; $308036 |
| Idaho Power Co., 5.80%, 04/01/54 | 70 | &nbsp;&nbsp; 71853 |
| Indiana Michigan Power Co., 5.63%, 04/01/53 | 50 | &nbsp;&nbsp; 50164 |
| Interstate Power and Light Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.30%, 06/01/30 | 20 | &nbsp;&nbsp; 18271 |
| &nbsp;&nbsp;&nbsp; 5.60%, 06/29/35 | 20 | &nbsp;&nbsp; 20779 |
| Kentucky Utilities Co., 3.30%, 06/01/50 | 60 | &nbsp;&nbsp; 41810 |
| MidAmerican Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 05/01/27 | 100 | &nbsp;&nbsp; 98788 |
| &nbsp;&nbsp;&nbsp; 3.15%, 04/15/50 | 60 | &nbsp;&nbsp; 41254 |
| &nbsp;&nbsp;&nbsp; 2.70%, 08/01/52 | 105 | &nbsp;&nbsp; 66008 |
| National Grid PLC, 5.42%, 01/11/34 | 90 | &nbsp;&nbsp; 93345 |
| National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/15/29 | 330 | &nbsp;&nbsp; 325315 |
| &nbsp;&nbsp;&nbsp; 5.15%, 06/15/29 | 80 | &nbsp;&nbsp; 82863 |
| Nevada Power Co., 6.00%, 03/15/54 | 90 | &nbsp;&nbsp; 93624 |
| NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 05/01/27 | 245 | &nbsp;&nbsp; 242939 |
| &nbsp;&nbsp;&nbsp; 2.25%, 06/01/30 | 200 | &nbsp;&nbsp; 182604 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/32 | 50 | &nbsp;&nbsp; 51123 |
| &nbsp;&nbsp;&nbsp; 5.55%, 03/15/54<sup>(e)</sup> | 80 | &nbsp;&nbsp; 78299 |
| Northern States Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 03/15/54 | 85 | &nbsp;&nbsp; 84269 |
| &nbsp;&nbsp;&nbsp; 5.65%, 06/15/54 | 70 | &nbsp;&nbsp; 72211 |
| NSTAR Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 06/01/51<sup>(e)</sup> | 110 | &nbsp;&nbsp; 75416 |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/52 | 90 | &nbsp;&nbsp; 82621 |
| Oglethorpe Power Corp., 6.20%, 12/01/53 | 65 | &nbsp;&nbsp; 68416 |
| Ohio Power Co., 5.65%, 06/01/34 | 150 | &nbsp;&nbsp; 156835 |
| Oklahoma Gas and Electric Co., 5.60%, 04/01/53 | 65 | &nbsp;&nbsp; 64908 |
| Oncor Electric Delivery Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.80%, 06/01/49 | 120 | &nbsp;&nbsp; 92251 |
| &nbsp;&nbsp;&nbsp; 4.60%, 06/01/52 | 40 | &nbsp;&nbsp; 34159 |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/52 | 70 | &nbsp;&nbsp; 63769 |
| Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/28 | 100 | &nbsp;&nbsp; 96405 |
| &nbsp;&nbsp;&nbsp; 4.55%, 07/01/30 | 65 | &nbsp;&nbsp; 64548 |
| &nbsp;&nbsp;&nbsp; 6.95%, 03/15/34 | 10 | &nbsp;&nbsp; 11092 |
| &nbsp;&nbsp;&nbsp; 3.30%, 08/01/40 | 90 | &nbsp;&nbsp; 68189 |
| &nbsp;&nbsp;&nbsp; 4.95%, 07/01/50 | 270 | &nbsp;&nbsp; 231737 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/50 | 190 | &nbsp;&nbsp; 129619 |
| &nbsp;&nbsp;&nbsp; 6.75%, 01/15/53 | 70 | &nbsp;&nbsp; 75421 |
| &nbsp;&nbsp;&nbsp; 5.90%, 10/01/54 | 95 | &nbsp;&nbsp; 92540 |
| PacifiCorp, 4.13%, 01/15/49 | 280 | &nbsp;&nbsp; 217830 |
| PECO Energy Co., 3.05%, 03/15/51 | 70 | &nbsp;&nbsp; 46178 |
| PPL Electric Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 02/15/34 | 145 | &nbsp;&nbsp; 146657 |
| &nbsp;&nbsp;&nbsp; 5.25%, 05/15/53 | 130 | &nbsp;&nbsp; 126730 |
| Public Service Co. of Colorado |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 09/15/49 | 20 | &nbsp;&nbsp; 15785 |
| &nbsp;&nbsp;&nbsp; 5.75%, 05/15/54 | 130 | &nbsp;&nbsp; 132495 |
| Public Service Co. of Oklahoma, 5.20%, 01/15/35 | 150 | &nbsp;&nbsp; 151852 |
| Public Service Electric and Gas Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 03/15/32 | 85 | &nbsp;&nbsp; 78641 |
| &nbsp;&nbsp;&nbsp; 5.20%, 03/01/34<sup>(e)</sup> | 295 | &nbsp;&nbsp; 305385 |
| &nbsp;&nbsp;&nbsp; 2.05%, 08/01/50 | 105 | &nbsp;&nbsp; 56940 |
| Puget Sound Energy, Inc., 5.45%, 06/01/53 | 100 | &nbsp;&nbsp; 97848 |
| San Diego Gas & Electric Co., 5.35%, 04/01/53 | 95 | &nbsp;&nbsp; 91315 |
| Sempra |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 04/01/29 | 140 | &nbsp;&nbsp; 137186 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33<sup>(e)</sup> | 100 | &nbsp;&nbsp; 104229 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 06/01/31 | 240 | &nbsp;&nbsp; $247004 |
| &nbsp;&nbsp;&nbsp; 3.65%, 02/01/50 | 100 | &nbsp;&nbsp; 69889 |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/15/54 | 20 | &nbsp;&nbsp; 18880 |
| &nbsp;&nbsp;&nbsp; Series C, 4.13%, 03/01/48 | 370 | &nbsp;&nbsp; 282701 |
| Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 07/01/26 | 350 | &nbsp;&nbsp; 347776 |
| &nbsp;&nbsp;&nbsp; 5.70%, 03/15/34 | 185 | &nbsp;&nbsp; 195388 |
| System Energy Resources, Inc., 5.30%, 12/15/34 | 820 | &nbsp;&nbsp; 825368 |
| Tampa Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/01/35<sup>(e)</sup> | 755 | &nbsp;&nbsp; 765428 |
| &nbsp;&nbsp;&nbsp; 3.45%, 03/15/51 | 35 | &nbsp;&nbsp; 25058 |
| Tucson Electric Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/30 | 90 | &nbsp;&nbsp; 78658 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/53 | 30 | &nbsp;&nbsp; 29310 |
| Union Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | 230 | &nbsp;&nbsp; 184784 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/15/53 | 10 | &nbsp;&nbsp; 9796 |
| Virginia Electric and Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.30%, 12/01/49 | 190 | &nbsp;&nbsp; 131301 |
| &nbsp;&nbsp;&nbsp; 5.35%, 01/15/54 | 195 | &nbsp;&nbsp; 187389 |
| &nbsp;&nbsp;&nbsp; 5.65%, 03/15/55 | 40 | &nbsp;&nbsp; 40233 |
| &nbsp;&nbsp;&nbsp; Series A, 3.80%, 04/01/28 | 750 | &nbsp;&nbsp; 746982 |
| &nbsp;&nbsp;&nbsp; Series D, 5.60%, 09/15/55 | 65 | &nbsp;&nbsp; 64744 |
| Vistra Operations Co. LLC, 7.75%, 10/15/31<sup>(a)</sup> | 104 | &nbsp;&nbsp; 110052 |
| Wisconsin Electric Power Co., 4.75%, 09/30/32<sup>(e)</sup> | 20 | &nbsp;&nbsp; 20497 |
| Wisconsin Power and Light Co., 5.38%, 03/30/34 | 90 | &nbsp;&nbsp; 93456 |
| Wisconsin Public Service Corp., 3.30%, 09/01/49 | 85 | &nbsp;&nbsp; 59705 |
| Xcel Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/28 | 900 | &nbsp;&nbsp; 898546 |
| &nbsp;&nbsp;&nbsp; 5.45%, 08/15/33 | 100 | &nbsp;&nbsp; 103455 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/49 | 50 | &nbsp;&nbsp; 35864 |
|  |  | &nbsp;&nbsp; 17712082 |
| **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** |
| Allegion PLC, 3.50%, 10/01/29 | 90 | &nbsp;&nbsp; 87055 |
| Arrow Electronics, Inc., 5.88%, 04/10/34 | 880 | &nbsp;&nbsp; 922288 |
| CDW LLC/CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 02/15/29 | 880 | &nbsp;&nbsp; 842847 |
| &nbsp;&nbsp;&nbsp; 3.57%, 12/01/31 | 610 | &nbsp;&nbsp; 569486 |
| Honeywell International, Inc., 4.50%, 01/15/34 | 750 | &nbsp;&nbsp; 743004 |
| Jabil, Inc., 1.70%, 04/15/26<sup>(e)</sup> | 1055 | &nbsp;&nbsp; 1040849 |
| Keysight Technologies, Inc., 4.95%, 10/15/34 | 325 | &nbsp;&nbsp; 327056 |
|  |  | &nbsp;&nbsp; 4532585 |
| **Energy Equipment & Services**<sup>(a)</sup> **— 0.1%** | **Energy Equipment & Services**<sup>(a)</sup> **— 0.1%** | **Energy Equipment & Services**<sup>(a)</sup> **— 0.1%** |
| Tidewater, Inc., 9.13%, 07/15/30 | 269 | &nbsp;&nbsp; 288489 |
| &nbsp;&nbsp;&nbsp; USA Compression Partners LP/USA Compression <br> Finance Corp.<sup>(e)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 03/15/29 | 177 | &nbsp;&nbsp; 182544 |
| &nbsp;&nbsp;&nbsp; 6.25%, 10/01/33 | 70 | &nbsp;&nbsp; 70268 |
| Viridien, 10.00%, 10/15/30 | 150 | &nbsp;&nbsp; 154198 |
| Weatherford International Ltd., 10/15/33<sup>(g)</sup> | 170 | &nbsp;&nbsp; 170118 |
|  |  | &nbsp;&nbsp; 865617 |
| **Environmental, Maintenance & Security Service — 0.4%** | **Environmental, Maintenance & Security Service — 0.4%** | **Environmental, Maintenance & Security Service — 0.4%** |
| Republic Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 07/15/30 | 115 | &nbsp;&nbsp; 117801 |
| &nbsp;&nbsp;&nbsp; 5.20%, 11/15/34 | 570 | &nbsp;&nbsp; 591014 |
| Waste Connections, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 02/01/30 | 305 | &nbsp;&nbsp; 286255 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** |
| Waste Connections, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 09/01/35<sup>(e)</sup> | 1070 | &nbsp;&nbsp; $1102498 |
| Waste Management, Inc., 4.95%, 07/03/31 | 915 | &nbsp;&nbsp; 946007 |
|  |  | &nbsp;&nbsp; 3043575 |
| **Financial Services — 4.5%** | **Financial Services — 4.5%** | **Financial Services — 4.5%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation <br> Trust, 4.95%, 09/10/34<br>| 1300 | &nbsp;&nbsp; 1294030 |
| &nbsp;&nbsp;&nbsp; Ally Financial, Inc., (5-year CMT + 2.45%), 6.65%, <br> 01/17/40<sup>(b)</sup><br>| 200 | &nbsp;&nbsp; 199931 |
| Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp; 5.59%, 08/08/28 | 1800 | &nbsp;&nbsp; 1869850 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.90%), 1.72%, 09/14/27<sup>(b)</sup> | 400 | &nbsp;&nbsp; 390328 |
| Bank of America Corp.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.96%), 1.73%, 07/22/27 | 830 | &nbsp;&nbsp; 813424 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.05%), 2.55%, 02/04/28 | 225 | &nbsp;&nbsp; 220361 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.31%), 5.51%, 01/24/36 | 1370 | &nbsp;&nbsp; 1432078 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.65%), 5.47%, 01/23/35 | 325 | &nbsp;&nbsp; 339375 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.70%), 5.74%, 02/12/36 | 780 | &nbsp;&nbsp; 810396 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.99%), 6.20%, 11/10/28 | 735 | &nbsp;&nbsp; 765943 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.04%), 4.95%, 07/22/28 | 775 | &nbsp;&nbsp; 786157 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 3.41%), 4.08%, 03/20/51 | 91 | &nbsp;&nbsp; 74053 |
| Bank of Nova Scotia, 1.05%, 03/02/26 | 550 | &nbsp;&nbsp; 542850 |
| Burford Capital Global Finance LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.88%, 04/15/30 | 50 | &nbsp;&nbsp; 50263 |
| &nbsp;&nbsp;&nbsp; 9.25%, 07/01/31 | 220 | &nbsp;&nbsp; 233765 |
| Citigroup, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.14%), 4.64%, 05/07/28 | 270 | &nbsp;&nbsp; 271867 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.83%), 6.02%, 01/24/36 | 283 | &nbsp;&nbsp; 296467 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.11%), 2.57%, 06/03/31 | 2285 | &nbsp;&nbsp; 2102403 |
| Coinbase Global, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 10/01/28 | 312 | &nbsp;&nbsp; 296120 |
| &nbsp;&nbsp;&nbsp; 3.63%, 10/01/31 | 81 | &nbsp;&nbsp; 72282 |
| Credit Acceptance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 12/15/28 | 192 | &nbsp;&nbsp; 201721 |
| &nbsp;&nbsp;&nbsp; 6.63%, 03/15/30 | 105 | &nbsp;&nbsp; 105174 |
| Freedom Mortgage Holdings LLC, 8.38%, 04/01/32<sup>(a)</sup> | 40 | &nbsp;&nbsp; 41926 |
| Goldman Sachs Group, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.80%), 1.43%, 03/09/27 | 370 | &nbsp;&nbsp; 365237 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.09%), 1.99%, 01/27/32 | 1073 | &nbsp;&nbsp; 946848 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.25%), 2.38%, 07/21/32<sup>(e)</sup> | 1295 | &nbsp;&nbsp; 1155786 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.28%), 2.62%, 04/22/32 | 1377 | &nbsp;&nbsp; 1249241 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.42%), 5.02%, 10/23/35 | 1530 | &nbsp;&nbsp; 1540173 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.69%), 4.41%, 04/23/39 | 370 | &nbsp;&nbsp; 342193 |
| HSBC Holdings PLC<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.29%), 5.29%, 11/19/30 | 735 | &nbsp;&nbsp; 758155 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 5.45%, 03/03/36 | 570 | &nbsp;&nbsp; 588217 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.90%), 5.87%, 11/18/35<sup>(e)</sup> | 570 | &nbsp;&nbsp; 589030 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.87%), 3.97%, 05/22/30 | 1740 | &nbsp;&nbsp; 1713658 |
| Intercontinental Exchange, Inc., 3.00%, 09/15/60 | 180 | &nbsp;&nbsp; 111117 |
| JPMorgan Chase & Co.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.80%), 4.92%, 01/24/29 | 1720 | &nbsp;&nbsp; 1751010 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.26%), 2.96%, 01/25/33 | 415 | &nbsp;&nbsp; 379660 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.34%), 4.95%, 10/22/35 | 805 | &nbsp;&nbsp; 811838 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.99%), 4.85%, 07/25/28 | 665 | &nbsp;&nbsp; 673792 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.08%), 4.91%, 07/25/33 | 470 | &nbsp;&nbsp; 479262 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.11%), 1.76%, 11/19/31 | 580 | &nbsp;&nbsp; 512071 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.25%), 2.58%, 04/22/32 | 1063 | &nbsp;&nbsp; 966069 |
| Mitsubishi UFJ Financial Group, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.95%), 2.31%, 07/20/32 | 425 | &nbsp;&nbsp; 376409 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.97%), 2.49%, 10/13/32 | 315 | &nbsp;&nbsp; 280715 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc., (1-year CMT + 1.90%), <br> 5.75%, 07/06/34<sup>(b)</sup><br>| 590 | &nbsp;&nbsp; $626886 |
| Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 01/27/26<sup>(e)</sup> | 200 | &nbsp;&nbsp; 199662 |
| &nbsp;&nbsp;&nbsp; 4.30%, 01/27/45 | 233 | &nbsp;&nbsp; 204380 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.03%), 1.79%, 02/13/32<sup>(b)</sup> | 415 | &nbsp;&nbsp; 361954 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.14%), 2.70%, 01/22/31<sup>(b)</sup> | 65 | &nbsp;&nbsp; 60738 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.20%), 2.51%, 10/20/32<sup>(b)</sup> | 210 | &nbsp;&nbsp; 187353 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.42%), 5.59%, 01/18/36<sup>(b)</sup> | 525 | &nbsp;&nbsp; 549678 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.45%), 5.17%, 01/16/30<sup>(b)</sup> | 140 | &nbsp;&nbsp; 143888 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.58%), 5.83%, 04/19/35<sup>(b)</sup> | 205 | &nbsp;&nbsp; 218539 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.73%), 5.47%, 01/18/35<sup>(b)</sup> | 55 | &nbsp;&nbsp; 57285 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.43%), 5.95%, 01/19/38<sup>(b)</sup> | 265 | &nbsp;&nbsp; 277847 |
| Nasdaq, Inc., 3.85%, 06/30/26<sup>(e)</sup> | 32 | &nbsp;&nbsp; 31957 |
| Nationstar Mortgage Holdings, Inc., 6.50%, 08/01/29<sup>(a)</sup> | 130 | &nbsp;&nbsp; 133365 |
| PennyMac Financial Services, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 11/15/30 | 120 | &nbsp;&nbsp; 124951 |
| &nbsp;&nbsp;&nbsp; 6.88%, 05/15/32 | 207 | &nbsp;&nbsp; 214493 |
| &nbsp;&nbsp;&nbsp; 6.88%, 02/15/33 | 140 | &nbsp;&nbsp; 144635 |
| &nbsp;&nbsp;&nbsp; 6.75%, 02/15/34 | 35 | &nbsp;&nbsp; 35703 |
| Rocket Cos., Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.13%, 08/01/30 | 105 | &nbsp;&nbsp; 107764 |
| &nbsp;&nbsp;&nbsp; 6.38%, 08/01/33 | 42 | &nbsp;&nbsp; 43349 |
| &nbsp;&nbsp;&nbsp; UBS Group AG, (1-day SOFR + 1.73%), 3.09%, <br> 05/14/32<sup>(a)(b)</sup><br>| 240 | &nbsp;&nbsp; 222088 |
| UWM Holdings LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.63%, 02/01/30 | 287 | &nbsp;&nbsp; 291960 |
| &nbsp;&nbsp;&nbsp; 6.25%, 03/15/31 | 125 | &nbsp;&nbsp; 124405 |
|  |  | &nbsp;&nbsp; 33164125 |
| **Food Products — 0.2%** | **Food Products — 0.2%** | **Food Products — 0.2%** |
| Pilgrim's Pride Corp., 3.50%, 03/01/32 | 1100 | &nbsp;&nbsp; 1006872 |
| Post Holdings, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 03/01/33 | 156 | &nbsp;&nbsp; 157452 |
| &nbsp;&nbsp;&nbsp; 6.25%, 10/15/34<sup>(e)</sup> | 105 | &nbsp;&nbsp; 105874 |
|  |  | &nbsp;&nbsp; 1270198 |
| **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** |
| Burlington Northern Santa Fe LLC, 3.05%, 02/15/51 | 383 | &nbsp;&nbsp; 259261 |
| CSX Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 11/01/26 | 800 | &nbsp;&nbsp; 787610 |
| &nbsp;&nbsp;&nbsp; 4.90%, 03/15/55<sup>(e)</sup> | 55 | &nbsp;&nbsp; 50460 |
|  |  | &nbsp;&nbsp; 1097331 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| Abbott Laboratories, 4.90%, 11/30/46 | 265 | &nbsp;&nbsp; 254334 |
| Bausch & Lomb Corp., 8.38%, 10/01/28<sup>(a)</sup> | 270 | &nbsp;&nbsp; 281391 |
| Insulet Corp., 6.50%, 04/01/33<sup>(a)</sup> | 207 | &nbsp;&nbsp; 215204 |
| Zimmer Biomet Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.70%, 02/19/27 | 50 | &nbsp;&nbsp; 50357 |
| &nbsp;&nbsp;&nbsp; 5.35%, 12/01/28 | 160 | &nbsp;&nbsp; 165708 |
|  |  | &nbsp;&nbsp; 966994 |
| **Health Care Providers & Services — 1.2%** | **Health Care Providers & Services — 1.2%** | **Health Care Providers & Services — 1.2%** |
| Allina Health System, Series 2021, 2.90%, 11/15/51<sup>(e)</sup> | 230 | &nbsp;&nbsp; 146004 |
| Banner Health, Series 2020, 3.18%, 01/01/50<sup>(e)</sup> | 119 | &nbsp;&nbsp; 81072 |
| &nbsp;&nbsp;&nbsp; Baylor Scott & White Holdings, Series 2021, 2.84%, <br> 11/15/50<br>| 92 | &nbsp;&nbsp; 59306 |
| &nbsp;&nbsp;&nbsp; Beth Israel Lahey Health, Inc., Series L, 3.08%, <br> 07/01/51<sup>(e)</sup><br>| 169 | &nbsp;&nbsp; 110661 |
| CommonSpirit Health, 3.91%, 10/01/50 | 339 | &nbsp;&nbsp; 254153 |
| DaVita, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.88%, 09/01/32 | 201 | &nbsp;&nbsp; 207640 |
| &nbsp;&nbsp;&nbsp; 6.75%, 07/15/33 | 90 | &nbsp;&nbsp; 92808 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
| &nbsp;&nbsp;&nbsp; Fred Hutchinson Cancer Center, Series 2022, 4.97%, <br> 01/01/52<br>| 130 | &nbsp;&nbsp; $119250 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc., Series 2020, 2.88%, <br> 09/01/50<br>| 58 | &nbsp;&nbsp; 37469 |
| HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 04/01/31 | 535 | &nbsp;&nbsp; 556121 |
| &nbsp;&nbsp;&nbsp; 3.63%, 03/15/32 | 720 | &nbsp;&nbsp; 675469 |
| &nbsp;&nbsp;&nbsp; 5.60%, 04/01/34 | 425 | &nbsp;&nbsp; 441186 |
| &nbsp;&nbsp;&nbsp; 5.13%, 06/15/39 | 485 | &nbsp;&nbsp; 467328 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/51<sup>(e)</sup> | 175 | &nbsp;&nbsp; 119720 |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/15/52 | 745 | &nbsp;&nbsp; 615183 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/54 | 180 | &nbsp;&nbsp; 180353 |
| &nbsp;&nbsp;&nbsp; 5.95%, 09/15/54 | 170 | &nbsp;&nbsp; 169627 |
| &nbsp;&nbsp;&nbsp; Hoag Memorial Hospital Presbyterian, 3.80%, <br> 07/15/52<sup>(e)</sup><br>| 73 | &nbsp;&nbsp; 55887 |
| Inova Health System Foundation, 4.07%, 05/15/52<sup>(e)</sup> | 18 | &nbsp;&nbsp; 14512 |
| Kaiser Foundation Hospitals |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021, 2.81%, 06/01/41 | 57 | &nbsp;&nbsp; 42159 |
| &nbsp;&nbsp;&nbsp; Series 2021, 3.00%, 06/01/51<sup>(e)</sup> | 161 | &nbsp;&nbsp; 106801 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center, Series 2020, <br> 2.96%, 01/01/50<sup>(e)</sup><br>| 46 | &nbsp;&nbsp; 30537 |
| Methodist Hospital, Series 20A, 2.71%, 12/01/50 | 87 | &nbsp;&nbsp; 54244 |
| MPH Acquisition Holdings LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 12/31/30 | 185 | &nbsp;&nbsp; 161893 |
| &nbsp;&nbsp;&nbsp; (6.00% Cash & 0.75% PIK), 6.75%, 03/31/31<sup>(f)</sup> | 154 | &nbsp;&nbsp; 124779 |
| &nbsp;&nbsp;&nbsp; Providence St. Joseph Health Obligated Group, <br> Series 21A, 2.70%, 10/01/51<br>| 136 | &nbsp;&nbsp; 81018 |
| Quest Diagnostics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 12/15/27 | 1125 | &nbsp;&nbsp; 1138992 |
| &nbsp;&nbsp;&nbsp; 4.63%, 12/15/29 | 1380 | &nbsp;&nbsp; 1401083 |
| Sutter Health, Series 20A, 3.36%, 08/15/50<sup>(e)</sup> | 54 | &nbsp;&nbsp; 38355 |
| &nbsp;&nbsp;&nbsp; UMass Memorial Health Care Obligated Group, 5.36%, <br> 07/01/52<sup>(e)</sup><br>| 42 | &nbsp;&nbsp; 39567 |
| UnitedHealth Group, Inc., 6.05%, 02/15/63 | 195 | &nbsp;&nbsp; 203685 |
| Universal Health Services, Inc., 5.05%, 10/15/34 | 645 | &nbsp;&nbsp; 629527 |
| WakeMed, Series A, 3.29%, 10/01/52<sup>(e)</sup> | 81 | &nbsp;&nbsp; 55710 |
|  |  | &nbsp;&nbsp; 8512099 |
| **Health Care REITs — 0.5%** | **Health Care REITs — 0.5%** | **Health Care REITs — 0.5%** |
| Diversified Healthcare Trust |  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 10/15/30<sup>(a)</sup> | 25 | &nbsp;&nbsp; 25408 |
| &nbsp;&nbsp;&nbsp; 4.38%, 03/01/31 | 179 | &nbsp;&nbsp; 158127 |
| &nbsp;&nbsp;&nbsp; MPT Operating Partnership LP/MPT Finance Corp., <br> 5.00%, 10/15/27<br>| 161 | &nbsp;&nbsp; 155965 |
| Omega Healthcare Investors, Inc., 5.20%, 07/01/30 | 1000 | &nbsp;&nbsp; 1015219 |
| Ventas Realty LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.10%, 07/15/32 | 280 | &nbsp;&nbsp; 286533 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 | 670 | &nbsp;&nbsp; 670310 |
| Welltower OP LLC, 4.50%, 07/01/30<sup>(e)</sup> | 1140 | &nbsp;&nbsp; 1150636 |
|  |  | &nbsp;&nbsp; 3462198 |
| **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** |
| Host Hotels & Resorts LP, 5.70%, 07/01/34<sup>(e)</sup> | 806 | &nbsp;&nbsp; 825538 |
| **Hotels, Restaurants & Leisure — 1.0%** | **Hotels, Restaurants & Leisure — 1.0%** | **Hotels, Restaurants & Leisure — 1.0%** |
| Amer Sports Co., 6.75%, 02/16/31<sup>(a)</sup> | 269 | &nbsp;&nbsp; 280145 |
| Darden Restaurants, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.35%, 10/15/27 | 355 | &nbsp;&nbsp; 356360 |
| &nbsp;&nbsp;&nbsp; 4.55%, 10/15/29 | 355 | &nbsp;&nbsp; 356865 |
| &nbsp;&nbsp;&nbsp; 6.30%, 10/10/33 | 240 | &nbsp;&nbsp; 259893 |
| &nbsp;&nbsp;&nbsp; Genting New York LLC/GENNY Capital, Inc., 7.25%, <br> 10/01/29<sup>(a)</sup><br>| 275 | &nbsp;&nbsp; 284064 |
| Hilton Domestic Operating Co., Inc., 6.13%, 04/01/32<sup>(a)</sup> | 114 | &nbsp;&nbsp; 117196 |
| Hyatt Hotels Corp., 5.38%, 12/15/31 | 1625 | &nbsp;&nbsp; 1661590 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |
| Las Vegas Sands Corp., 6.20%, 08/15/34 | 85 | &nbsp;&nbsp; $88950 |
| Light & Wonder International, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 11/15/29 | 135 | &nbsp;&nbsp; 138560 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/31 | 198 | &nbsp;&nbsp; 205912 |
| &nbsp;&nbsp;&nbsp; 6.25%, 10/01/33 | 65 | &nbsp;&nbsp; 65110 |
| Lindblad Expeditions LLC, 7.00%, 09/15/30<sup>(a)</sup> | 40 | &nbsp;&nbsp; 40772 |
| Marriott International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 | 170 | &nbsp;&nbsp; 172958 |
| &nbsp;&nbsp;&nbsp; 5.55%, 10/15/28 | 310 | &nbsp;&nbsp; 321920 |
| &nbsp;&nbsp;&nbsp; 5.35%, 03/15/35 | 800 | &nbsp;&nbsp; 818179 |
| &nbsp;&nbsp;&nbsp; Series AA, 4.65%, 12/01/28 | 46 | &nbsp;&nbsp; 46558 |
| &nbsp;&nbsp;&nbsp; Series FF, 4.63%, 06/15/30 | 41 | &nbsp;&nbsp; 41409 |
| &nbsp;&nbsp;&nbsp; Series HH, 2.85%, 04/15/31 | 670 | &nbsp;&nbsp; 616557 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/01/49 | 180 | &nbsp;&nbsp; 134839 |
| &nbsp;&nbsp;&nbsp; 5.15%, 09/09/52<sup>(e)</sup> | 350 | &nbsp;&nbsp; 331126 |
| &nbsp;&nbsp;&nbsp; Resorts World Las Vegas LLC/RWLV Capital, Inc., <br> 8.45%, 07/27/30<sup>(a)</sup><br>| 72 | &nbsp;&nbsp; 73188 |
| Royal Caribbean Cruises Ltd., 01/15/36<sup>(g)</sup> | 250 | &nbsp;&nbsp; 251458 |
| Sabre GLBL, Inc., 11.25%, 12/15/27<sup>(a)(e)</sup> | 97 | &nbsp;&nbsp; 101153 |
| Viking Cruises Ltd., 10/15/33<sup>(a)(g)</sup> | 185 | &nbsp;&nbsp; 185130 |
| Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 03/15/29 | 75 | &nbsp;&nbsp; 72375 |
| &nbsp;&nbsp;&nbsp; 4.28%, 03/15/32 | 85 | &nbsp;&nbsp; 77881 |
| &nbsp;&nbsp;&nbsp; 5.05%, 03/15/42 | 210 | &nbsp;&nbsp; 167647 |
| Wynn Macau Ltd., 6.75%, 02/15/34<sup>(a)</sup> | 200 | &nbsp;&nbsp; 202740 |
|  |  | &nbsp;&nbsp; 7470535 |
| **Household Durables — 0.2%** | **Household Durables — 0.2%** | **Household Durables — 0.2%** |
| Century Communities, Inc., 6.63%, 09/15/33<sup>(a)</sup> | 65 | &nbsp;&nbsp; 65570 |
| Lennar Corp., 4.75%, 11/29/27 | 90 | &nbsp;&nbsp; 90852 |
| MDC Holdings, Inc., 3.97%, 08/06/61<sup>(e)</sup> | 30 | &nbsp;&nbsp; 19982 |
| NVR, Inc., 3.00%, 05/15/30 | 1375 | &nbsp;&nbsp; 1299597 |
| Whirlpool Corp., 6.13%, 06/15/30 | 70 | &nbsp;&nbsp; 70548 |
|  |  | &nbsp;&nbsp; 1546549 |
| **Household Products — 0.0%** | **Household Products — 0.0%** | **Household Products — 0.0%** |
| Kimberly-Clark Corp., 2.88%, 02/07/50 | 160 | &nbsp;&nbsp; 106119 |
| **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** | **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** | **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** |
| NRG Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 11/01/34 | 80 | &nbsp;&nbsp; 82007 |
| &nbsp;&nbsp;&nbsp; 01/15/36<sup>(g)</sup> | 100 | &nbsp;&nbsp; 100015 |
|  |  | &nbsp;&nbsp; 182022 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |
| Axon Enterprise, Inc., 6.25%, 03/15/33<sup>(a)</sup> | 148 | &nbsp;&nbsp; 152336 |
| Eaton Corp., 4.70%, 08/23/52 | 90 | &nbsp;&nbsp; 82333 |
| Enpro, Inc., 6.13%, 06/01/33<sup>(a)</sup> | 152 | &nbsp;&nbsp; 155350 |
|  |  | &nbsp;&nbsp; 390019 |
| **Insurance — 1.4%** | **Insurance — 1.4%** | **Insurance — 1.4%** |
| Acrisure LLC/Acrisure Finance, Inc., 6.75%, 07/01/32<sup>(a)</sup> | 50 | &nbsp;&nbsp; 51484 |
| Aflac, Inc., 4.75%, 01/15/49 | 45 | &nbsp;&nbsp; 40372 |
| Allstate Corp., 5.05%, 06/24/29<sup>(e)</sup> | 470 | &nbsp;&nbsp; 483276 |
| American International Group, Inc., 4.85%, 05/07/30<sup>(e)</sup> | 470 | &nbsp;&nbsp; 480767 |
| Arthur J Gallagher & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/51 | 440 | &nbsp;&nbsp; 311950 |
| &nbsp;&nbsp;&nbsp; 6.75%, 02/15/54<sup>(e)</sup> | 235 | &nbsp;&nbsp; 264851 |
| Assurant, Inc., 5.55%, 02/15/36 | 305 | &nbsp;&nbsp; 309102 |
| Assured Guaranty U.S. Holdings, Inc., 6.13%, 09/15/28 | 335 | &nbsp;&nbsp; 352199 |
| Athene Holding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 05/25/51 | 30 | &nbsp;&nbsp; 21880 |
| &nbsp;&nbsp;&nbsp; 3.45%, 05/15/52 | 55 | &nbsp;&nbsp; 36116 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
| &nbsp;&nbsp;&nbsp; Baldwin Insurance Group Holdings LLC/Baldwin <br> Insurance Group Holdings Finance, 7.13%, <br> 05/15/31<sup>(a)</sup><br>| 224 | &nbsp;&nbsp; $232523 |
| Berkshire Hathaway Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 08/15/48 | 125 | &nbsp;&nbsp; 106759 |
| &nbsp;&nbsp;&nbsp; 2.85%, 10/15/50 | 95 | &nbsp;&nbsp; 62317 |
| &nbsp;&nbsp;&nbsp; 3.85%, 03/15/52 | 175 | &nbsp;&nbsp; 137285 |
| Brighthouse Financial, Inc., 3.85%, 12/22/51 | 120 | &nbsp;&nbsp; 79093 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/17/32 | 120 | &nbsp;&nbsp; 115783 |
| &nbsp;&nbsp;&nbsp; 5.65%, 06/11/34 | 230 | &nbsp;&nbsp; 238587 |
| &nbsp;&nbsp;&nbsp; 4.95%, 03/17/52 | 340 | &nbsp;&nbsp; 299456 |
| CNA Financial Corp., 5.20%, 08/15/35 | 400 | &nbsp;&nbsp; 400765 |
| Everest Reinsurance Holdings, Inc., 3.50%, 10/15/50<sup>(e)</sup> | 800 | &nbsp;&nbsp; 564387 |
| Fairfax Financial Holdings Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 03/03/31 | 360 | &nbsp;&nbsp; 339580 |
| &nbsp;&nbsp;&nbsp; 6.35%, 03/22/54 | 330 | &nbsp;&nbsp; 348765 |
| &nbsp;&nbsp;&nbsp; 6.10%, 03/15/55 | 254 | &nbsp;&nbsp; 260418 |
| Fidelity National Financial, Inc., 3.40%, 06/15/30 | 1000 | &nbsp;&nbsp; 949743 |
| Markel Group, Inc., 6.00%, 05/16/54 | 485 | &nbsp;&nbsp; 494875 |
| Marsh & McLennan Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 03/15/39 | 111 | &nbsp;&nbsp; 106920 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/01/48 | 515 | &nbsp;&nbsp; 430979 |
| MGIC Investment Corp., 5.25%, 08/15/28 | 63 | &nbsp;&nbsp; 62878 |
| Principal Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 03/15/33 | 233 | &nbsp;&nbsp; 242082 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/53 | 90 | &nbsp;&nbsp; 89723 |
| Progressive Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.13%, 04/15/47 | 135 | &nbsp;&nbsp; 113661 |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/15/52 | 35 | &nbsp;&nbsp; 26982 |
| RenaissanceRe Holdings Ltd., 5.75%, 06/05/33<sup>(e)</sup> | 1000 | &nbsp;&nbsp; 1049589 |
| Travelers Cos., Inc., 5.45%, 05/25/53<sup>(e)</sup> | 140 | &nbsp;&nbsp; 140057 |
| Unum Group, 4.13%, 06/15/51 | 410 | &nbsp;&nbsp; 312148 |
| Willis North America, Inc., 5.90%, 03/05/54 | 940 | &nbsp;&nbsp; 957589 |
|  |  | &nbsp;&nbsp; 10514941 |
| **Interactive Media & Services — 0.4%** | **Interactive Media & Services — 0.4%** | **Interactive Media & Services — 0.4%** |
| Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/35 | 1975 | &nbsp;&nbsp; 1976694 |
| &nbsp;&nbsp;&nbsp; 2.25%, 08/15/60<sup>(e)</sup> | 335 | &nbsp;&nbsp; 180924 |
| &nbsp;&nbsp;&nbsp; Cogent Communications Group LLC/Cogent Finance, <br> Inc., 7.00%, 06/15/27<sup>(a)</sup><br>| 231 | &nbsp;&nbsp; 230386 |
| Meta Platforms, Inc., 5.60%, 05/15/53 | 170 | &nbsp;&nbsp; 172439 |
| Netflix, Inc., 5.40%, 08/15/54 | 100 | &nbsp;&nbsp; 100707 |
| Snap, Inc., 6.88%, 03/01/33<sup>(a)</sup> | 285 | &nbsp;&nbsp; 291298 |
|  |  | &nbsp;&nbsp; 2952448 |
| **Internet Software & Services — 0.5%** | **Internet Software & Services — 0.5%** | **Internet Software & Services — 0.5%** |
| Getty Images, Inc., 11.25%, 02/21/30<sup>(a)</sup> | 3 | &nbsp;&nbsp; 2761 |
| &nbsp;&nbsp;&nbsp; GrubHub Holdings, Inc., (6.00% Cash and 7.00% PIK), <br> 13.00%, 07/31/30<sup>(a)(f)</sup><br>| 178 | &nbsp;&nbsp; 177927 |
| Match Group Holdings II LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 02/15/29<sup>(e)</sup> | 116 | &nbsp;&nbsp; 115677 |
| &nbsp;&nbsp;&nbsp; 6.13%, 09/15/33 | 190 | &nbsp;&nbsp; 191669 |
| Rakuten Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 11.25%, 02/15/27 | 225 | &nbsp;&nbsp; 243865 |
| &nbsp;&nbsp;&nbsp; 9.75%, 04/15/29 | 200 | &nbsp;&nbsp; 224893 |
| Uber Technologies, Inc., 5.35%, 09/15/54<sup>(e)</sup> | 115 | &nbsp;&nbsp; 111576 |
| VeriSign, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.70%, 06/15/31 | 2332 | &nbsp;&nbsp; 2101877 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Internet Software & Services (continued)** | **Internet Software & Services (continued)** | **Internet Software & Services (continued)** |
| VeriSign, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/01/32 | 225 | &nbsp;&nbsp; $231126 |
| Wayfair LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 10/31/29 | 100 | &nbsp;&nbsp; 103104 |
| &nbsp;&nbsp;&nbsp; 7.75%, 09/15/30<sup>(e)</sup> | 335 | &nbsp;&nbsp; 351330 |
|  |  | &nbsp;&nbsp; 3855805 |
| **IT Services — 0.6%** | **IT Services — 0.6%** | **IT Services — 0.6%** |
| Accenture Capital, Inc., 4.50%, 10/04/34 | 95 | &nbsp;&nbsp; 93691 |
| CACI International, Inc., 6.38%, 06/15/33<sup>(a)</sup> | 204 | &nbsp;&nbsp; 210436 |
| Fiserv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/02/28 | 790 | &nbsp;&nbsp; 812186 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/02/33<sup>(e)</sup> | 865 | &nbsp;&nbsp; 906338 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/15/34 | 90 | &nbsp;&nbsp; 93008 |
| &nbsp;&nbsp;&nbsp; 4.40%, 07/01/49 | 780 | &nbsp;&nbsp; 643110 |
| IBM International Capital Pte. Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 02/05/44 | 300 | &nbsp;&nbsp; 295201 |
| &nbsp;&nbsp;&nbsp; 5.30%, 02/05/54 | 200 | &nbsp;&nbsp; 191403 |
| International Business Machines Corp., 4.25%, 05/15/49 | 746 | &nbsp;&nbsp; 616412 |
| Kyndryl Holdings, Inc., 4.10%, 10/15/41 | 30 | &nbsp;&nbsp; 24340 |
| Oracle Corp., 5.95%, 09/26/55 | 125 | &nbsp;&nbsp; 124615 |
|  |  | &nbsp;&nbsp; 4010740 |
| **Machinery — 0.3%** | **Machinery — 0.3%** | **Machinery — 0.3%** |
| IDEX Corp., 2.63%, 06/15/31 | 2189 | &nbsp;&nbsp; 1981671 |
| Otis Worldwide Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.11%, 02/15/40 | 70 | &nbsp;&nbsp; 54495 |
| &nbsp;&nbsp;&nbsp; 3.36%, 02/15/50 | 70 | &nbsp;&nbsp; 50118 |
| &nbsp;&nbsp;&nbsp; Westinghouse Air Brake Technologies Corp., 5.61%, <br> 03/11/34<br>| 310 | &nbsp;&nbsp; 325694 |
|  |  | &nbsp;&nbsp; 2411978 |
| **Media — 0.9%** | **Media — 0.9%** | **Media — 0.9%** |
| AMC Networks, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 10.25%, 01/15/29<sup>(a)</sup> | 275 | &nbsp;&nbsp; 289781 |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/15/29 | 173 | &nbsp;&nbsp; 150510 |
| &nbsp;&nbsp;&nbsp; 10.50%, 07/15/32<sup>(a)</sup> | 206 | &nbsp;&nbsp; 217832 |
| CCO Holdings LLC/CCO Holdings Capital Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 09/01/29 | 31 | &nbsp;&nbsp; 31426 |
| &nbsp;&nbsp;&nbsp; 7.38%, 03/01/31 | 355 | &nbsp;&nbsp; 366284 |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter <br> Communications Operating Capital, 3.95%, 06/30/62<br>| 385 | &nbsp;&nbsp; 243578 |
| Comcast Corp., 2.35%, 01/15/27 | 200 | &nbsp;&nbsp; 196011 |
| CSC Holdings LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 | 150 | &nbsp;&nbsp; 142369 |
| &nbsp;&nbsp;&nbsp; 11.25%, 05/15/28<sup>(e)</sup> | 351 | &nbsp;&nbsp; 324941 |
| Directv Financing LLC, 8.88%, 02/01/30<sup>(a)</sup> | 115 | &nbsp;&nbsp; 113588 |
| &nbsp;&nbsp;&nbsp; Directv Financing LLC/Directv Financing Co-Obligor, <br> Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 08/15/27 | 57 | &nbsp;&nbsp; 56936 |
| &nbsp;&nbsp;&nbsp; 10.00%, 02/15/31 | 353 | &nbsp;&nbsp; 352482 |
| Discovery Communications LLC, 5.00%, 09/20/37 | 100 | &nbsp;&nbsp; 85804 |
| DISH DBS Corp.<sup>(e)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.38%, 07/01/28 | 156 | &nbsp;&nbsp; 143744 |
| &nbsp;&nbsp;&nbsp; 5.75%, 12/01/28<sup>(a)</sup> | 151 | &nbsp;&nbsp; 144755 |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 03/01/27 | 1575 | &nbsp;&nbsp; 1546182 |
| &nbsp;&nbsp;&nbsp; 3.45%, 03/01/32 | 483 | &nbsp;&nbsp; 446232 |
| Fox Corp., 5.48%, 01/25/39 | 500 | &nbsp;&nbsp; 501903 |
| Gray Media, Inc., 9.63%, 07/15/32<sup>(a)(e)</sup> | 20 | &nbsp;&nbsp; 20433 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Media (continued)** | **Media (continued)** | **Media (continued)** |
| iHeartCommunications, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.13%, 05/01/29 | 322 | &nbsp;&nbsp; $289602 |
| &nbsp;&nbsp;&nbsp; 10.88%, 05/01/30 | 253 | &nbsp;&nbsp; 171915 |
| Nexstar Media, Inc., 4.75%, 11/01/28<sup>(a)(e)</sup> | 146 | &nbsp;&nbsp; 142502 |
| Paramount Global, 4.20%, 05/19/32 | 190 | &nbsp;&nbsp; 176999 |
| Sinclair Television Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/30<sup>(e)</sup> | 192 | &nbsp;&nbsp; 163200 |
| &nbsp;&nbsp;&nbsp; 4.38%, 12/31/32 | 140 | &nbsp;&nbsp; 99400 |
| &nbsp;&nbsp;&nbsp; 8.13%, 02/15/33 | 90 | &nbsp;&nbsp; 92364 |
| Sirius XM Radio LLC, 4.13%, 07/01/30<sup>(a)</sup> | 80 | &nbsp;&nbsp; 75033 |
| Time Warner Cable LLC, 4.50%, 09/15/42 | 250 | &nbsp;&nbsp; 200869 |
|  |  | &nbsp;&nbsp; 6786675 |
| **Metals & Mining — 1.0%** | **Metals & Mining — 1.0%** | **Metals & Mining — 1.0%** |
| Algoma Steel, Inc., 9.13%, 04/15/29<sup>(a)</sup> | 113 | &nbsp;&nbsp; 96285 |
| BHP Billiton Finance USA Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/28/28 | 1575 | &nbsp;&nbsp; 1600153 |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/28/33 | 565 | &nbsp;&nbsp; 577409 |
| Century Aluminum Co., 6.88%, 08/01/32<sup>(a)</sup> | 141 | &nbsp;&nbsp; 146132 |
| Champion Iron Canada, Inc., 7.88%, 07/15/32<sup>(a)</sup> | 100 | &nbsp;&nbsp; 104553 |
| Cleveland-Cliffs, Inc., 7.63%, 01/15/34<sup>(a)</sup> | 150 | &nbsp;&nbsp; 154561 |
| Eldorado Gold Corp., 6.25%, 09/01/29<sup>(a)</sup> | 138 | &nbsp;&nbsp; 138520 |
| First Quantum Minerals Ltd.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.38%, 03/01/29 | 140 | &nbsp;&nbsp; 148092 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/01/33 | 200 | &nbsp;&nbsp; 211079 |
| Fortescue Treasury Pty. Ltd., 6.13%, 04/15/32<sup>(a)</sup> | 168 | &nbsp;&nbsp; 173603 |
| Ivanhoe Mines Ltd., 7.88%, 01/23/30<sup>(a)</sup> | 200 | &nbsp;&nbsp; 206650 |
| Mineral Resources Ltd., 04/01/31<sup>(a)(g)</sup> | 170 | &nbsp;&nbsp; 172199 |
| New Gold, Inc., 6.88%, 04/01/32<sup>(a)</sup> | 201 | &nbsp;&nbsp; 210532 |
| Novelis Corp., 6.88%, 01/30/30<sup>(a)(e)</sup> | 95 | &nbsp;&nbsp; 98513 |
| Reliance, Inc., 2.15%, 08/15/30 | 1575 | &nbsp;&nbsp; 1413634 |
| Rio Tinto Finance USA Ltd., 2.75%, 11/02/51 | 10 | &nbsp;&nbsp; 6269 |
| Rio Tinto Finance USA PLC, 5.25%, 03/14/35 | 785 | &nbsp;&nbsp; 808927 |
| Southern Copper Corp., 7.50%, 07/27/35 | 900 | &nbsp;&nbsp; 1064997 |
| Taseko Mines Ltd., 8.25%, 05/01/30<sup>(a)(e)</sup> | 169 | &nbsp;&nbsp; 178995 |
| Vallourec SACA, 7.50%, 04/15/32<sup>(a)</sup> | 100 | &nbsp;&nbsp; 106547 |
|  |  | &nbsp;&nbsp; 7617650 |
| **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.1%** | **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.1%** | **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.1%** |
| Blackstone Mortgage Trust, Inc., 7.75%, 12/01/29 | 169 | &nbsp;&nbsp; 178308 |
| &nbsp;&nbsp;&nbsp; EF Holdco/EF Cayman Holdings/Ellington Fin REIT <br> Cayman/TRS/EF Cayman Non-MTM, 09/30/30<sup>(g)</sup><br>| 85 | &nbsp;&nbsp; 85000 |
| Starwood Property Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 07/15/26 | 152 | &nbsp;&nbsp; 150258 |
| &nbsp;&nbsp;&nbsp; 7.25%, 04/01/29 | 87 | &nbsp;&nbsp; 91354 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/30 | 85 | &nbsp;&nbsp; 87802 |
|  |  | &nbsp;&nbsp; 592722 |
| **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, <br> 06/01/28<sup>(a)</sup><br>| 283 | &nbsp;&nbsp; 290740 |
| Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/15/31 | 30 | &nbsp;&nbsp; 26046 |
| &nbsp;&nbsp;&nbsp; 5.75%, 10/15/52 | 105 | &nbsp;&nbsp; 107463 |
| &nbsp;&nbsp;&nbsp; 01/15/56<sup>(g)</sup> | 40 | &nbsp;&nbsp; 39535 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Resources Corp., 5.25%, <br> 03/01/28<sup>(e)</sup><br>| 85 | &nbsp;&nbsp; 87190 |
| National Fuel Gas Co., 5.95%, 03/15/35 | 450 | &nbsp;&nbsp; 469288 |
| NiSource, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.60%, 05/01/30 | 60 | &nbsp;&nbsp; 58101 |
| &nbsp;&nbsp;&nbsp; 5.35%, 04/01/34 | 80 | &nbsp;&nbsp; 82366 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/30/48 | 130 | &nbsp;&nbsp; 103349 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/52 | 20 | &nbsp;&nbsp; 18034 |
| Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29 | 80 | &nbsp;&nbsp; 78036 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Multi-Utilities (continued)** | **Multi-Utilities (continued)** | **Multi-Utilities (continued)** |
| Southern California Gas Co., 5.75%, 06/01/53 | 100 | &nbsp;&nbsp; $100827 |
| Southern Co. Gas Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 09/15/33 | 140 | &nbsp;&nbsp; 148372 |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/34 | 10 | &nbsp;&nbsp; 10029 |
| Southwest Gas Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 04/01/28 | 80 | &nbsp;&nbsp; 78975 |
| &nbsp;&nbsp;&nbsp; 2.20%, 06/15/30 | 85 | &nbsp;&nbsp; 77230 |
| Washington Gas Light Co., 3.65%, 09/15/49 | 30 | &nbsp;&nbsp; 21891 |
|  |  | &nbsp;&nbsp; 1797472 |
| **Oil, Gas & Consumable Fuels — 3.0%** | **Oil, Gas & Consumable Fuels — 3.0%** | **Oil, Gas & Consumable Fuels — 3.0%** |
| &nbsp;&nbsp;&nbsp; Antero Midstream Partners LP/Antero Midstream <br> Finance Corp., 5.75%, 10/15/33<sup>(a)</sup><br>| 115 | &nbsp;&nbsp; 114490 |
| BKV Upstream Midstream LLC, 7.50%, 10/15/30<sup>(a)</sup> | 220 | &nbsp;&nbsp; 219894 |
| California Resources Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 06/15/29<sup>(e)</sup> | 333 | &nbsp;&nbsp; 347267 |
| &nbsp;&nbsp;&nbsp; 01/15/34<sup>(g)</sup> | 220 | &nbsp;&nbsp; 218486 |
| &nbsp;&nbsp;&nbsp; Calumet Specialty Products Partners LP/Calumet <br> Finance Corp., 9.75%, 07/15/28<sup>(a)</sup><br>| 181 | &nbsp;&nbsp; 179927 |
| Canadian Natural Resources Ltd., 4.95%, 06/01/47 | 100 | &nbsp;&nbsp; 88886 |
| Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | 160 | &nbsp;&nbsp; 161746 |
| Cheniere Energy, Inc., 5.65%, 04/15/34 | 600 | &nbsp;&nbsp; 618504 |
| Chevron Corp., 3.08%, 05/11/50 | 60 | &nbsp;&nbsp; 41627 |
| Chevron USA, Inc., 4.98%, 04/15/35 | 2160 | &nbsp;&nbsp; 2215049 |
| Chord Energy Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/30 | 80 | &nbsp;&nbsp; 79443 |
| &nbsp;&nbsp;&nbsp; 6.75%, 03/15/33<sup>(e)</sup> | 125 | &nbsp;&nbsp; 126649 |
| CNX Resources Corp., 7.25%, 03/01/32<sup>(a)</sup> | 136 | &nbsp;&nbsp; 141090 |
| ConocoPhillips Co., 3.80%, 03/15/52 | 85 | &nbsp;&nbsp; 63865 |
| Continental Resources, Inc., 4.38%, 01/15/28 | 100 | &nbsp;&nbsp; 99367 |
| Coterra Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 03/15/29 | 660 | &nbsp;&nbsp; 658631 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/15/34 | 260 | &nbsp;&nbsp; 267273 |
| &nbsp;&nbsp;&nbsp; 5.40%, 02/15/35 | 205 | &nbsp;&nbsp; 206636 |
| CVR Energy, Inc., 8.50%, 01/15/29<sup>(a)</sup> | 142 | &nbsp;&nbsp; 145132 |
| DCP Midstream Operating LP, 3.25%, 02/15/32 | 17 | &nbsp;&nbsp; 15493 |
| &nbsp;&nbsp;&nbsp; Delek Logistics Partners LP/Delek Logistics Finance <br> Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.63%, 03/15/29 | 370 | &nbsp;&nbsp; 385836 |
| &nbsp;&nbsp;&nbsp; 7.38%, 06/30/33 | 60 | &nbsp;&nbsp; 61014 |
| Devon Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 09/15/34 | 200 | &nbsp;&nbsp; 199135 |
| &nbsp;&nbsp;&nbsp; 5.75%, 09/15/54<sup>(e)</sup> | 300 | &nbsp;&nbsp; 278273 |
| &nbsp;&nbsp;&nbsp; Diamond Foreign Asset Co./Diamond Finance LLC, <br> 8.50%, 10/01/30<sup>(a)</sup><br>| 88 | &nbsp;&nbsp; 93252 |
| Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 | 125 | &nbsp;&nbsp; 134676 |
| &nbsp;&nbsp;&nbsp; 5.90%, 04/18/64 | 170 | &nbsp;&nbsp; 163656 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 04/01/30<sup>(e)</sup> | 190 | &nbsp;&nbsp; 195903 |
| &nbsp;&nbsp;&nbsp; 5.60%, 09/01/34 | 550 | &nbsp;&nbsp; 564471 |
| &nbsp;&nbsp;&nbsp; 5.40%, 10/01/47 | 610 | &nbsp;&nbsp; 558364 |
| EOG Resources, Inc., 5.65%, 12/01/54<sup>(e)</sup> | 125 | &nbsp;&nbsp; 125139 |
| Equinor ASA, 3.25%, 11/18/49 | 500 | &nbsp;&nbsp; 358093 |
| Expand Energy Corp., 5.70%, 01/15/35 | 297 | &nbsp;&nbsp; 305260 |
| Exxon Mobil Corp., 3.45%, 04/15/51 | 5 | &nbsp;&nbsp; 3663 |
| Genesis Energy LP/Genesis Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 01/15/29 | 128 | &nbsp;&nbsp; 133493 |
| &nbsp;&nbsp;&nbsp; 8.88%, 04/15/30 | 129 | &nbsp;&nbsp; 136569 |
| &nbsp;&nbsp;&nbsp; 7.88%, 05/15/32<sup>(e)</sup> | 134 | &nbsp;&nbsp; 139756 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/15/33 | 75 | &nbsp;&nbsp; 78446 |
| &nbsp;&nbsp;&nbsp; Global Partners LP/GLP Finance Corp., 8.25%, <br> 01/15/32<sup>(a)(e)</sup><br>| 268 | &nbsp;&nbsp; 282650 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
| Greenfire Resources Ltd., 12.00%, 10/01/28<sup>(a)(e)</sup> | 164 | &nbsp;&nbsp; $174324 |
| Gulfport Energy Operating Corp., 6.75%, 09/01/29<sup>(a)(e)</sup> | 211 | &nbsp;&nbsp; 216527 |
| Ithaca Energy North Sea PLC, 8.13%, 10/15/29<sup>(a)</sup> | 350 | &nbsp;&nbsp; 365668 |
| Kinder Morgan Energy Partners LP, 6.95%, 01/15/38 | 300 | &nbsp;&nbsp; 337341 |
| Kinder Morgan, Inc., 5.95%, 08/01/54<sup>(e)</sup> | 470 | &nbsp;&nbsp; 473339 |
| &nbsp;&nbsp;&nbsp; Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas <br> Finance Corp., 6.88%, 12/01/32<sup>(a)</sup><br>| 296 | &nbsp;&nbsp; 303760 |
| MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 02/15/31 | 875 | &nbsp;&nbsp; 880281 |
| &nbsp;&nbsp;&nbsp; 5.20%, 03/01/47 | 47 | &nbsp;&nbsp; 42237 |
| &nbsp;&nbsp;&nbsp; 4.70%, 04/15/48 | 355 | &nbsp;&nbsp; 297242 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/49 | 535 | &nbsp;&nbsp; 498061 |
| &nbsp;&nbsp;&nbsp; 4.90%, 04/15/58 | 340 | &nbsp;&nbsp; 282192 |
| &nbsp;&nbsp;&nbsp; NGL Energy Operating LLC/NGL Energy Finance <br> Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.13%, 02/15/29 | 142 | &nbsp;&nbsp; 145595 |
| &nbsp;&nbsp;&nbsp; 8.38%, 02/15/32 | 158 | &nbsp;&nbsp; 161894 |
| Noble Finance II LLC, 8.00%, 04/15/30<sup>(a)</sup> | 261 | &nbsp;&nbsp; 270150 |
| ONEOK Partners LP, 6.13%, 02/01/41 | 75 | &nbsp;&nbsp; 76869 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.35%, 01/15/31 | 1140 | &nbsp;&nbsp; 1224148 |
| &nbsp;&nbsp;&nbsp; 6.10%, 11/15/32 | 590 | &nbsp;&nbsp; 632222 |
| &nbsp;&nbsp;&nbsp; 7.15%, 01/15/51 | 80 | &nbsp;&nbsp; 89634 |
| Phillips 66 Co., 5.65%, 06/15/54 | 120 | &nbsp;&nbsp; 114964 |
| Plains All American Pipeline LP, 5.95%, 06/15/35 | 775 | &nbsp;&nbsp; 808814 |
| Plains All American Pipeline LP/PAA Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 12/15/29 | 150 | &nbsp;&nbsp; 144828 |
| &nbsp;&nbsp;&nbsp; 5.70%, 09/15/34 | 70 | &nbsp;&nbsp; 72151 |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/15/45 | 170 | &nbsp;&nbsp; 148269 |
| Seadrill Finance Ltd., 8.38%, 08/01/30<sup>(a)</sup> | 150 | &nbsp;&nbsp; 155740 |
| Shell International Finance BV |  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 12/15/38 | 67 | &nbsp;&nbsp; 75807 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/26/51 | 178 | &nbsp;&nbsp; 118346 |
| Talos Production, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.00%, 02/01/29 | 202 | &nbsp;&nbsp; 208874 |
| &nbsp;&nbsp;&nbsp; 9.38%, 02/01/31 | 202 | &nbsp;&nbsp; 210388 |
| Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/35 | 1345 | &nbsp;&nbsp; 1368600 |
| &nbsp;&nbsp;&nbsp; 5.55%, 08/15/35<sup>(e)</sup> | 975 | &nbsp;&nbsp; 994422 |
| TotalEnergies Capital SA, 5.49%, 04/05/54<sup>(e)</sup> | 440 | &nbsp;&nbsp; 435192 |
| Valaris Ltd., 8.38%, 04/30/30<sup>(a)(e)</sup> | 262 | &nbsp;&nbsp; 271915 |
| Venture Global LNG, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.13%, 06/01/28 | 85 | &nbsp;&nbsp; 87981 |
| &nbsp;&nbsp;&nbsp; 8.38%, 06/01/31 | 80 | &nbsp;&nbsp; 83998 |
| &nbsp;&nbsp;&nbsp; 9.88%, 02/01/32<sup>(e)</sup> | 83 | &nbsp;&nbsp; 90364 |
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, 6.75%, <br> 01/15/36<sup>(a)(e)</sup><br>| 110 | &nbsp;&nbsp; 116839 |
| Western Midstream Operating LP, 6.35%, 01/15/29 | 65 | &nbsp;&nbsp; 68382 |
|  |  | &nbsp;&nbsp; 22254462 |
| **Passenger Airlines**<sup>(a)(e)</sup> **— 0.1%** | **Passenger Airlines**<sup>(a)(e)</sup> **— 0.1%** | **Passenger Airlines**<sup>(a)(e)</sup> **— 0.1%** |
| American Airlines, Inc., 8.50%, 05/15/29 | 132 | &nbsp;&nbsp; 137696 |
| &nbsp;&nbsp;&nbsp; JetBlue Airways Corp./JetBlue Loyalty LP, 9.88%, <br> 09/20/31<br>| 221 | &nbsp;&nbsp; 224154 |
|  |  | &nbsp;&nbsp; 361850 |
| **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** |
| Colgate-Palmolive Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 08/15/32 | 90 | &nbsp;&nbsp; 84409 |
| &nbsp;&nbsp;&nbsp; 3.70%, 08/01/47 | 30 | &nbsp;&nbsp; 24084 |
|  |  | &nbsp;&nbsp; 108493 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Pharmaceuticals — 1.2%** | **Pharmaceuticals — 1.2%** | **Pharmaceuticals — 1.2%** |
| 1261229 B.C. Ltd., 10.00%, 04/15/32<sup>(a)</sup> | $250 | &nbsp;&nbsp; $256263 |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 11/21/39<sup>(e)</sup> | 50 | &nbsp;&nbsp; 44747 |
| &nbsp;&nbsp;&nbsp; 4.40%, 11/06/42 | 135 | &nbsp;&nbsp; 121751 |
| &nbsp;&nbsp;&nbsp; 4.70%, 05/14/45 | 145 | &nbsp;&nbsp; 133010 |
| &nbsp;&nbsp;&nbsp; 5.40%, 03/15/54 | 260 | &nbsp;&nbsp; 258527 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/64 | 165 | &nbsp;&nbsp; 164913 |
| Amneal Pharmaceuticals LLC, 6.88%, 08/01/32<sup>(a)</sup> | 189 | &nbsp;&nbsp; 195466 |
| AstraZeneca PLC, 4.38%, 11/16/45 | 200 | &nbsp;&nbsp; 178344 |
| Bausch Health Cos., Inc., 11.00%, 09/30/28<sup>(a)</sup> | 332 | &nbsp;&nbsp; 345286 |
| Cardinal Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 02/15/34 | 158 | &nbsp;&nbsp; 164008 |
| &nbsp;&nbsp;&nbsp; 5.35%, 11/15/34 | 750 | &nbsp;&nbsp; 770926 |
| Cencora, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.45%, 12/15/27 | 1427 | &nbsp;&nbsp; 1406923 |
| &nbsp;&nbsp;&nbsp; 4.85%, 12/15/29 | 420 | &nbsp;&nbsp; 428543 |
| &nbsp;&nbsp;&nbsp; 2.70%, 03/15/31 | 117 | &nbsp;&nbsp; 107294 |
| &nbsp;&nbsp;&nbsp; 5.15%, 02/15/35 | 155 | &nbsp;&nbsp; 158291 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/32<sup>(e)</sup> | 400 | &nbsp;&nbsp; 404895 |
| &nbsp;&nbsp;&nbsp; 5.45%, 09/15/35 | 700 | &nbsp;&nbsp; 712322 |
| Eli Lilly & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/12/32 | 530 | &nbsp;&nbsp; 547505 |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/27/53<sup>(e)</sup> | 115 | &nbsp;&nbsp; 107251 |
| &nbsp;&nbsp;&nbsp; 5.55%, 10/15/55 | 60 | &nbsp;&nbsp; 61725 |
| &nbsp;&nbsp;&nbsp; 4.95%, 02/27/63 | 160 | &nbsp;&nbsp; 147676 |
| &nbsp;&nbsp;&nbsp; 5.65%, 10/15/65 | 105 | &nbsp;&nbsp; 108417 |
| &nbsp;&nbsp;&nbsp; HLF Financing SARL LLC/Herbalife International, Inc., <br> 12.25%, 04/15/29<sup>(a)</sup><br>| 163 | &nbsp;&nbsp; 176822 |
| Johnson & Johnson |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 03/03/37 | 195 | &nbsp;&nbsp; 177111 |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/01/46 | 279 | &nbsp;&nbsp; 229523 |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/07/49 | 330 | &nbsp;&nbsp; 268002 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/17/53 | 710 | &nbsp;&nbsp; 667161 |
| Novartis Capital Corp., 2.75%, 08/14/50 | 271 | &nbsp;&nbsp; 177701 |
| Pfizer Investment Enterprises Pte. Ltd., 5.34%, 05/19/63 | 80 | &nbsp;&nbsp; 75932 |
| Pfizer, Inc., 7.20%, 03/15/39 | 80 | &nbsp;&nbsp; 96075 |
| Zoetis, Inc., 3.00%, 05/15/50<sup>(e)</sup> | 100 | &nbsp;&nbsp; 66820 |
|  |  | &nbsp;&nbsp; 8759230 |
| **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** |
| &nbsp;&nbsp;&nbsp; Anywhere Real Estate Group LLC/Realogy Co-Issuer <br> Corp., 5.75%, 01/15/29<sup>(a)</sup><br>| 108 | &nbsp;&nbsp; 103799 |
| CBRE Services, Inc., 5.95%, 08/15/34 | 500 | &nbsp;&nbsp; 533318 |
| Five Point Operating Co. LP, 8.00%, 10/01/30<sup>(a)</sup> | 30 | &nbsp;&nbsp; 30443 |
|  |  | &nbsp;&nbsp; 667560 |
| **Residential REITs — 0.1%** | **Residential REITs — 0.1%** | **Residential REITs — 0.1%** |
| Realty Income Corp., 4.75%, 02/15/29<sup>(e)</sup> | 630 | &nbsp;&nbsp; 641954 |
| **Retail REITs — 0.2%** | **Retail REITs — 0.2%** | **Retail REITs — 0.2%** |
| Simon Property Group LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 03/15/42 | 700 | &nbsp;&nbsp; 644898 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/30/46 | 700 | &nbsp;&nbsp; 593200 |
| &nbsp;&nbsp;&nbsp; 3.25%, 09/13/49<sup>(e)</sup> | 330 | &nbsp;&nbsp; 231448 |
|  |  | &nbsp;&nbsp; 1469546 |
| **Semiconductors & Semiconductor Equipment — 0.2%** | **Semiconductors & Semiconductor Equipment — 0.2%** | **Semiconductors & Semiconductor Equipment — 0.2%** |
| Amkor Technology, Inc., 5.88%, 10/01/33<sup>(a)</sup> | 160 | &nbsp;&nbsp; 161629 |
| ams-OSRAM AG, 12.25%, 03/30/29<sup>(a)</sup> | 195 | &nbsp;&nbsp; 209056 |
| Analog Devices, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.70%, 10/01/28 | 385 | &nbsp;&nbsp; 360556 |
| &nbsp;&nbsp;&nbsp; 2.80%, 10/01/41 | 240 | &nbsp;&nbsp; 177650 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |
| Analog Devices, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 10/01/51<sup>(e)</sup> | 30 | &nbsp;&nbsp; $19817 |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.15%, 11/15/25 | 198 | &nbsp;&nbsp; 197696 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/29<sup>(a)</sup> | 80 | &nbsp;&nbsp; 79628 |
| Marvell Technology, Inc., 5.95%, 09/15/33<sup>(e)</sup> | 90 | &nbsp;&nbsp; 96562 |
| Texas Instruments, Inc., 2.70%, 09/15/51<sup>(e)</sup> | 570 | &nbsp;&nbsp; 356858 |
|  |  | &nbsp;&nbsp; 1659452 |
| **Software — 1.3%** | **Software — 1.3%** | **Software — 1.3%** |
| AppLovin Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.13%, 12/01/29 | 350 | &nbsp;&nbsp; 358052 |
| &nbsp;&nbsp;&nbsp; 5.38%, 12/01/31 | 815 | &nbsp;&nbsp; 843098 |
| Cloud Software Group, Inc., 9.00%, 09/30/29<sup>(a)</sup> | 116 | &nbsp;&nbsp; 120316 |
| CoreWeave, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 06/01/30 | 507 | &nbsp;&nbsp; 523627 |
| &nbsp;&nbsp;&nbsp; 9.00%, 02/01/31<sup>(e)</sup> | 216 | &nbsp;&nbsp; 221374 |
| Electronic Arts, Inc., 2.95%, 02/15/51 | 150 | &nbsp;&nbsp; 130085 |
| Intuit, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.65%, 07/15/30 | 71 | &nbsp;&nbsp; 63395 |
| &nbsp;&nbsp;&nbsp; 5.20%, 09/15/33<sup>(e)</sup> | 460 | &nbsp;&nbsp; 480903 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/53<sup>(e)</sup> | 150 | &nbsp;&nbsp; 151093 |
| Microsoft Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.53%, 06/01/50<sup>(e)</sup> | 325 | &nbsp;&nbsp; 205748 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/15/50 | 125 | &nbsp;&nbsp; 78352 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 04/01/30 | 385 | &nbsp;&nbsp; 362760 |
| &nbsp;&nbsp;&nbsp; 4.65%, 05/06/30<sup>(e)</sup> | 235 | &nbsp;&nbsp; 238296 |
| &nbsp;&nbsp;&nbsp; 2.88%, 03/25/31 | 615 | &nbsp;&nbsp; 564715 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/03/35 | 1610 | &nbsp;&nbsp; 1656217 |
| &nbsp;&nbsp;&nbsp; 3.65%, 03/25/41 | 845 | &nbsp;&nbsp; 676755 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/08/44 | 90 | &nbsp;&nbsp; 76849 |
| &nbsp;&nbsp;&nbsp; 3.60%, 04/01/50<sup>(e)</sup> | 70 | &nbsp;&nbsp; 49277 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/25/51<sup>(e)</sup> | 111 | &nbsp;&nbsp; 82529 |
| &nbsp;&nbsp;&nbsp; 5.55%, 02/06/53<sup>(e)</sup> | 427 | &nbsp;&nbsp; 404038 |
| &nbsp;&nbsp;&nbsp; 5.38%, 09/27/54 | 720 | &nbsp;&nbsp; 661407 |
| &nbsp;&nbsp;&nbsp; 3.85%, 04/01/60 | 683 | &nbsp;&nbsp; 469678 |
| Pagaya U.S. Holdings Co. LLC, 8.88%, 08/01/30<sup>(a)</sup> | 287 | &nbsp;&nbsp; 267237 |
| Roper Technologies, Inc., 4.50%, 10/15/29 | 665 | &nbsp;&nbsp; 671332 |
| ServiceNow, Inc., 1.40%, 09/01/30 | 72 | &nbsp;&nbsp; 63050 |
|  |  | &nbsp;&nbsp; 9420183 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| Advance Auto Parts, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/30 | 80 | &nbsp;&nbsp; 82308 |
| &nbsp;&nbsp;&nbsp; 7.38%, 08/01/33 | 90 | &nbsp;&nbsp; 92812 |
| AutoZone, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/15/26 | 920 | &nbsp;&nbsp; 926898 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/28 | 180 | &nbsp;&nbsp; 181586 |
| &nbsp;&nbsp;&nbsp; 5.40%, 07/15/34<sup>(e)</sup> | 65 | &nbsp;&nbsp; 67413 |
| Dick's Sporting Goods, Inc., 4.00%, 10/01/29<sup>(a)</sup> | 80 | &nbsp;&nbsp; 78430 |
| FirstCash, Inc., 6.88%, 03/01/32<sup>(a)</sup> | 229 | &nbsp;&nbsp; 236696 |
| Kohl's Corp., 10.00%, 06/01/30<sup>(a)</sup> | 160 | &nbsp;&nbsp; 173974 |
| Macy's Retail Holdings LLC, 7.38%, 08/01/33<sup>(a)(e)</sup> | 85 | &nbsp;&nbsp; 88632 |
| Nordstrom, Inc., 4.38%, 04/01/30 | 85 | &nbsp;&nbsp; 79980 |
|  |  | &nbsp;&nbsp; 2008729 |
| **Technology Hardware, Storage & Peripherals — 0.2%** | **Technology Hardware, Storage & Peripherals — 0.2%** | **Technology Hardware, Storage & Peripherals — 0.2%** |
| Diebold Nixdorf, Inc., 7.75%, 03/31/30<sup>(a)</sup> | 25 | &nbsp;&nbsp; 26372 |
| NCR Atleos Corp., 9.50%, 04/01/29<sup>(a)</sup> | 312 | &nbsp;&nbsp; 337747 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Technology Hardware, Storage & Peripherals (continued)** | **Technology Hardware, Storage & Peripherals (continued)** | **Technology Hardware, Storage & Peripherals (continued)** |
| NetApp, Inc., 5.70%, 03/17/35 | 713 | &nbsp;&nbsp; $745321 |
| &nbsp;&nbsp;&nbsp; Seagate Data Storage Technology Pte Ltd., 5.88%, <br> 07/15/30<sup>(a)</sup><br>| 70 | &nbsp;&nbsp; 71219 |
|  |  | &nbsp;&nbsp; 1180659 |
| **Textiles, Apparel & Luxury Goods — 0.2%** | **Textiles, Apparel & Luxury Goods — 0.2%** | **Textiles, Apparel & Luxury Goods — 0.2%** |
| Ralph Lauren Corp., 5.00%, 06/15/32 | 1200 | &nbsp;&nbsp; 1229420 |
| Wolverine World Wide, Inc., 4.00%, 08/15/29<sup>(a)(e)</sup> | 156 | &nbsp;&nbsp; 142721 |
|  |  | &nbsp;&nbsp; 1372141 |
| **Tobacco — 1.2%** | **Tobacco — 1.2%** | **Tobacco — 1.2%** |
| Altria Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.45%, 02/04/32 | 1550 | &nbsp;&nbsp; 1364419 |
| &nbsp;&nbsp;&nbsp; 5.63%, 02/06/35 | 135 | &nbsp;&nbsp; 140149 |
| &nbsp;&nbsp;&nbsp; 5.80%, 02/14/39 | 727 | &nbsp;&nbsp; 753968 |
| &nbsp;&nbsp;&nbsp; 5.95%, 02/14/49<sup>(e)</sup> | 600 | &nbsp;&nbsp; 613186 |
| &nbsp;&nbsp;&nbsp; 4.45%, 05/06/50 | 215 | &nbsp;&nbsp; 174303 |
| &nbsp;&nbsp;&nbsp; 3.70%, 02/04/51 | 430 | &nbsp;&nbsp; 309853 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/04/61<sup>(e)</sup> | 965 | &nbsp;&nbsp; 712220 |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.83%, 02/20/31 | 190 | &nbsp;&nbsp; 200955 |
| &nbsp;&nbsp;&nbsp; 7.75%, 10/19/32 | 25 | &nbsp;&nbsp; 29215 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/34 | 1200 | &nbsp;&nbsp; 1281871 |
| &nbsp;&nbsp;&nbsp; 4.39%, 08/15/37 | 420 | &nbsp;&nbsp; 385146 |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/43 | 145 | &nbsp;&nbsp; 164094 |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/53 | 170 | &nbsp;&nbsp; 194854 |
| Philip Morris International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/17/32 | 710 | &nbsp;&nbsp; 756465 |
| &nbsp;&nbsp;&nbsp; 5.38%, 02/15/33 | 290 | &nbsp;&nbsp; 302852 |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/07/33<sup>(e)</sup> | 650 | &nbsp;&nbsp; 689379 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/10/44 | 510 | &nbsp;&nbsp; 439303 |
| Turning Point Brands, Inc., 7.63%, 03/15/32<sup>(a)</sup> | 150 | &nbsp;&nbsp; 158730 |
|  |  | &nbsp;&nbsp; 8670962 |
| **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** |
| United Parcel Service, Inc., 5.30%, 04/01/50<sup>(e)</sup> | 280 | &nbsp;&nbsp; 271286 |
| **Water Utilities — 0.1%** | **Water Utilities — 0.1%** | **Water Utilities — 0.1%** |
| American Water Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.80%, 05/01/30<sup>(e)</sup> | 270 | &nbsp;&nbsp; 254322 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/01/54 | 65 | &nbsp;&nbsp; 64185 |
| Essential Utilities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.70%, 04/15/30 | 180 | &nbsp;&nbsp; 167568 |
| &nbsp;&nbsp;&nbsp; 5.38%, 01/15/34<sup>(e)</sup> | 75 | &nbsp;&nbsp; 76776 |
|  |  | &nbsp;&nbsp; 562851 |
| **Wireless Telecommunication Services — 0.5%** | **Wireless Telecommunication Services — 0.5%** | **Wireless Telecommunication Services — 0.5%** |
| Millicom International Cellular SA<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 03/25/29 | 67 | &nbsp;&nbsp; 68243 |
| &nbsp;&nbsp;&nbsp; 7.38%, 04/02/32<sup>(e)</sup> | 253 | &nbsp;&nbsp; 263816 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 04/15/34 | 75 | &nbsp;&nbsp; 76723 |
| &nbsp;&nbsp;&nbsp; 5.30%, 05/15/35<sup>(e)</sup> | 1120 | &nbsp;&nbsp; 1147084 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/55 | 165 | &nbsp;&nbsp; 159535 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/15/55 | 550 | &nbsp;&nbsp; 511987 |
| &nbsp;&nbsp;&nbsp; 3.60%, 11/15/60<sup>(e)</sup> | 420 | &nbsp;&nbsp; 285308 |
| &nbsp;&nbsp;&nbsp; 5.80%, 09/15/62<sup>(e)</sup> | 685 | &nbsp;&nbsp; 689011 |
| Zegona Finance PLC, 8.63%, 07/15/29<sup>(a)(e)</sup> | 200 | &nbsp;&nbsp; 212900 |
|  |  | &nbsp;&nbsp; 3414607 |
| **Total Corporate Bonds — 36.6%** <br>**(Cost: $271,117,402)** | **Total Corporate Bonds — 36.6%** <br>**(Cost: $271,117,402)** | &nbsp;&nbsp; 268874851 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** |
| **Canada — 0.1%** | **Canada — 0.1%** |  |
| Province of Quebec Canada, 4.50%, 09/08/33 | $600 | &nbsp;&nbsp; $607530 |
| **Chile — 0.1%** | **Chile — 0.1%** |  |
| Chile Government International Bonds, 3.10%, 01/22/61 | 650 | &nbsp;&nbsp; 403117 |
| **Indonesia — 0.1%** | **Indonesia — 0.1%** |  |
| Indonesia Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 07/18/47<sup>(a)</sup> | 300 | &nbsp;&nbsp; 279225 |
| &nbsp;&nbsp;&nbsp; 3.35%, 03/12/71 | 200 | &nbsp;&nbsp; 130900 |
|  |  | &nbsp;&nbsp; 410125 |
| **Mexico — 0.2%** | **Mexico — 0.2%** |  |
| Mexico Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 6.05%, 01/11/40 | 100 | &nbsp;&nbsp; 100813 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/31/50<sup>(e)</sup> | 340 | &nbsp;&nbsp; 262565 |
| &nbsp;&nbsp;&nbsp; 7.38%, 05/13/55 | 630 | &nbsp;&nbsp; 693315 |
| &nbsp;&nbsp;&nbsp; 3.77%, 05/24/61 | 535 | &nbsp;&nbsp; 338655 |
|  |  | &nbsp;&nbsp; 1395348 |
| **Panama — 0.0%** | **Panama — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Panama Government International Bonds, 3.87%, <br> 07/23/60<br>| 220 | &nbsp;&nbsp; 142560 |
| **Peru — 0.0%** | **Peru — 0.0%** |  |
| Peruvian Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 03/10/51 | 455 | &nbsp;&nbsp; 324984 |
| &nbsp;&nbsp;&nbsp; 6.20%, 06/30/55 | 60 | &nbsp;&nbsp; 62551 |
|  |  | &nbsp;&nbsp; 387535 |
| **Philippines — 0.1%** | **Philippines — 0.1%** |  |
| Philippines Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 12/10/45 | 200 | &nbsp;&nbsp; 134575 |
| &nbsp;&nbsp;&nbsp; 3.20%, 07/06/46 | 200 | &nbsp;&nbsp; 146400 |
| &nbsp;&nbsp;&nbsp; 5.90%, 02/04/50 | 240 | &nbsp;&nbsp; 255966 |
|  |  | &nbsp;&nbsp; 536941 |
| **Poland — 0.0%** | **Poland — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Republic of Poland Government International Bonds, <br> 5.50%, 03/18/54<br>| 250 | &nbsp;&nbsp; 241575 |
| **South Korea — 0.0%** | **South Korea — 0.0%** |  |
| Export-Import Bank of Korea, 5.13%, 09/18/33 | 220 | &nbsp;&nbsp; 230890 |
| **Total Foreign Agency Obligations — 0.6%** <br>**(Cost: $4,921,373)** | **Total Foreign Agency Obligations — 0.6%** <br>**(Cost: $4,921,373)** | &nbsp;&nbsp; 4355621 |
| **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** |
| **California — 0.1%** | **California — 0.1%** |  |
| Bay Area Toll Authority, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp; Series F-2, 6.26%, 04/01/49 | 100 | &nbsp;&nbsp; 105754 |
| &nbsp;&nbsp;&nbsp; Series S-1, 6.92%, 04/01/40 | 25 | &nbsp;&nbsp; 28256 |
| &nbsp;&nbsp;&nbsp; Bay Area Toll Authority, Refunding RB, Series F-3, <br> 3.13%, 04/01/55<sup>(e)</sup><br>| 140 | &nbsp;&nbsp; 93300 |
| &nbsp;&nbsp;&nbsp; California State University, Refunding RB, Series B, <br> 2.98%, 11/01/51<br>| 145 | &nbsp;&nbsp; 99618 |
| &nbsp;&nbsp;&nbsp; Regents of the University of California Medical Center <br> Pooled Revenue, RB<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series N, 3.01%, 05/15/50 | 120 | &nbsp;&nbsp; 79780 |
| &nbsp;&nbsp;&nbsp; Series N, 3.71%, 05/15/2120 | 85 | &nbsp;&nbsp; 54387 |
| State of California, GO, BAB, 7.60%, 11/01/40 | 150 | &nbsp;&nbsp; 183707 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **California (continued)** | **California (continued)** |  |
| State of California, Refunding GO, 3.50%, 04/01/28<sup>(e)</sup> | 200 | &nbsp;&nbsp; $198247 |
| &nbsp;&nbsp;&nbsp; University of California, RB, Series AD, 4.86%, <br> 05/15/2112<br>| 115 | &nbsp;&nbsp; 98119 |
|  |  | &nbsp;&nbsp; 941168 |
| **Florida — 0.0%** | **Florida — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; State Board of Administration Finance Corp., RB, <br> Series A, 2.15%, 07/01/30<br>| 119 | &nbsp;&nbsp; 108496 |
| **Illinois — 0.1%** | **Illinois — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Chicago O'Hare International Airport, ARB, Series C, <br> Senior Lien, 4.47%, 01/01/49<sup>(e)</sup><br>| 110 | &nbsp;&nbsp; 96499 |
| &nbsp;&nbsp;&nbsp; Sales Tax Securitization Corp., Refunding RB, Series B, <br> 2nd Lien, 3.24%, 01/01/42<br>| 140 | &nbsp;&nbsp; 114640 |
| State of Illinois, GO, 5.10%, 06/01/33<sup>(e)</sup> | 223 | &nbsp;&nbsp; 225202 |
|  |  | &nbsp;&nbsp; 436341 |
| **Louisiana — 0.0%** | **Louisiana — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Louisiana Local Government Environmental Facilities & <br> Community Development Authority, RB, Series A-4, <br> 4.48%, 08/01/39<br>| 65 | &nbsp;&nbsp; 62801 |
| **Maryland — 0.0%** | **Maryland — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Maryland Health & Higher Educational Facilities <br> Authority, Refunding RB<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series D, 3.05%, 07/01/40 | 115 | &nbsp;&nbsp; 89390 |
| &nbsp;&nbsp;&nbsp; Series D, 3.20%, 07/01/50<sup>(e)</sup> | 80 | &nbsp;&nbsp; 54440 |
|  |  | &nbsp;&nbsp; 143830 |
| **Massachusetts — 0.0%** | **Massachusetts — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Commonwealth of Massachusetts, GOL, Series H, <br> 2.90%, 09/01/49<sup>(e)</sup><br>| 100 | &nbsp;&nbsp; 68073 |
| **Michigan — 0.1%** | **Michigan — 0.1%** |  |
| University of Michigan, RB |  |  |
| &nbsp;&nbsp;&nbsp; Series A, 3.50%, 04/01/52 | 38 | &nbsp;&nbsp; 28602 |
| &nbsp;&nbsp;&nbsp; Series B, Sustainability Bonds, 3.50%, 04/01/52 | 67 | &nbsp;&nbsp; 50273 |
| &nbsp;&nbsp;&nbsp; University of Michigan, Refunding RB, Series C, 3.60%, <br> 04/01/47<br>| 238 | &nbsp;&nbsp; 202019 |
|  |  | &nbsp;&nbsp; 280894 |
| **New Jersey — 0.0%** | **New Jersey — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; New Jersey Turnpike Authority, RB, BAB, Series A, <br> 7.10%, 01/01/41<br>| 150 | &nbsp;&nbsp; 173733 |
| **New York — 0.1%** | **New York — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; City of New York, GO, Series B-1, Sustainability Bonds, <br> 5.83%, 10/01/53<sup>(e)</sup><br>| 130 | &nbsp;&nbsp; 136383 |
| &nbsp;&nbsp;&nbsp; Metropolitan Transportation Authority, RB, BAB, 6.81%, <br> 11/15/40<br>| 65 | &nbsp;&nbsp; 71388 |
| &nbsp;&nbsp;&nbsp; New York City Municipal Water Finance Authority, <br> Refunding RB, 5.88%, 06/15/44<br>| 250 | &nbsp;&nbsp; 257185 |
| Port Authority of New York & New Jersey, ARB |  |  |
| &nbsp;&nbsp;&nbsp; Series 192, 4.81%, 10/15/65 | 50 | &nbsp;&nbsp; 44768 |
| &nbsp;&nbsp;&nbsp; Series 210, 4.03%, 09/01/48 | 200 | &nbsp;&nbsp; 165651 |
| &nbsp;&nbsp;&nbsp; Port Authority of New York & New Jersey, RB, <br> Series 191, 4.82%, 06/01/45<br>| 200 | &nbsp;&nbsp; 185187 |
|  |  | &nbsp;&nbsp; 860562 |
| **Oklahoma — 0.0%** | **Oklahoma — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, RB, <br> Series A-2, 4.62%, 06/01/44<sup>(e)</sup><br>| 110 | &nbsp;&nbsp; 106812 |
| **Pennsylvania — 0.0%** | **Pennsylvania — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Pennsylvania State University, Refunding RB, Series D, <br> 2.84%, 09/01/50<br>| 80 | &nbsp;&nbsp; 53622 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Texas — 0.1%** | **Texas — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Board of Regents of the University of Texas System, <br> Refunding RB, Series B, 2.44%, 08/15/49<br>| $105 | &nbsp;&nbsp; $65558 |
| &nbsp;&nbsp;&nbsp; Dallas Area Rapid Transit, Refunding RB, Series A, <br> Senior Lien, 2.61%, 12/01/48<br>| 100 | &nbsp;&nbsp; 68525 |
| &nbsp;&nbsp;&nbsp; Dallas Fort Worth International Airport, Refunding RB, <br> 2.84%, 11/01/46<br>| 100 | &nbsp;&nbsp; 72815 |
| &nbsp;&nbsp;&nbsp; Grand Parkway Transportation Corp., Refunding RB, <br> Subordinate, 3.24%, 10/01/52<br>| 100 | &nbsp;&nbsp; 69911 |
|  |  | &nbsp;&nbsp; 276809 |
| **Virginia — 0.0%** | **Virginia — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; University of Virginia, Refunding RB, Series U, 2.58%, <br> 11/01/51<br>| 60 | &nbsp;&nbsp; 37502 |
| **Total Municipal Bonds — 0.5%** <br>**(Cost: $4,426,600)** | **Total Municipal Bonds — 0.5%** <br>**(Cost: $4,426,600)** | &nbsp;&nbsp; 3550643 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 11.9%** | **Collateralized Mortgage Obligations — 11.9%** | **Collateralized Mortgage Obligations — 11.9%** |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Series 2013-AA, Class A, <br> 3.00%, 05/25/42<sup>(a)(b)</sup><br>| 3 | &nbsp;&nbsp; 3213 |
| Connecticut Avenue Securities Trust<sup>(a)(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 1M2, (30-day Avg SOFR + <br> 3.76%), 8.12%, 02/25/40<br>| 3500 | &nbsp;&nbsp; 3627744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1B1, (30-day Avg SOFR + <br> 3.10%), 7.46%, 10/25/41<br>| 3250 | &nbsp;&nbsp; 3311320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2B1, (30-day Avg SOFR + <br> 3.30%), 7.66%, 11/25/41<br>| 1900 | &nbsp;&nbsp; 1937411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1B1, (30-day Avg SOFR + <br> 2.75%), 7.11%, 12/25/41<br>| 4625 | &nbsp;&nbsp; 4704099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1B1, (30-day Avg SOFR + <br> 3.15%), 7.51%, 12/25/41<br>| 4042 | &nbsp;&nbsp; 4139250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2, (30-day Avg SOFR + <br> 3.00%), 7.36%, 01/25/42<br>| 3540 | &nbsp;&nbsp; 3611897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1B1, (30-day Avg SOFR + <br> 6.25%), 10.61%, 03/25/42<br>| 2860 | &nbsp;&nbsp; 3054852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1B1, (30-day Avg SOFR + <br> 5.25%), 9.61%, 03/25/42<br>| 3400 | &nbsp;&nbsp; 3595193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, (30-day Avg SOFR + <br> 3.10%), 7.46%, 03/25/42<br>| 3500 | &nbsp;&nbsp; 3595690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2B1, (30-day Avg SOFR + <br> 4.50%), 8.86%, 04/25/42<br>| 1500 | &nbsp;&nbsp; 1567866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2, (30-day Avg SOFR + <br> 3.00%), 7.36%, 04/25/42<br>| 1323 | &nbsp;&nbsp; 1358385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R02, Class 1B1, (30-day Avg SOFR + <br> 2.50%), 6.86%, 02/25/44<br>| 2250 | &nbsp;&nbsp; 2287970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R05, Class 2M2, (30-day Avg SOFR + <br> 1.70%), 6.06%, 07/25/44<br>| 1690 | &nbsp;&nbsp; 1697132 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp., <br> Series 2004-6, Class 3A1, 5.00%, 09/25/19<br>| 5 | &nbsp;&nbsp; 2547 |
| &nbsp;&nbsp;&nbsp; Fannie Mae Connecticut Avenue Securities, Series 2018-<br> C01, Class 1M2C, (30-day Avg SOFR + 2.36%), <br> 6.72%, 07/25/30<sup>(b)</sup><br>| 1492 | &nbsp;&nbsp; 1505321 |
| Freddie Mac STACR REMIC Trust<sup>(a)(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA5, Class B1, (30-day Avg SOFR + <br> 4.00%), 8.36%, 11/25/50<br>| 1500 | &nbsp;&nbsp; 1659375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA1, Class B1, (30-day Avg SOFR + <br> 2.65%), 7.01%, 01/25/51<br>| 3500 | &nbsp;&nbsp; 3653125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA2, Class B1, (30-day Avg SOFR + <br> 3.40%), 7.76%, 08/25/33<br>| 3100 | &nbsp;&nbsp; 3434199 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Freddie Mac STACR REMIC Trust<sup>(a)(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA3, Class B1, (30-day Avg SOFR + <br> 3.50%), 7.86%, 10/25/33<br>| 2500 | &nbsp;&nbsp; $2783600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class B1, (30-day Avg SOFR + <br> 3.05%), 7.41%, 01/25/34<br>| 3000 | &nbsp;&nbsp; 3181890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class B2, (30-day Avg SOFR + <br> 5.50%), 9.86%, 01/25/34<br>| 1000 | &nbsp;&nbsp; 1186555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class B1, (30-day Avg SOFR + <br> 3.40%), 7.76%, 10/25/41<br>| 3520 | &nbsp;&nbsp; 3599171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class B1, (30-day Avg SOFR + <br> 3.65%), 8.01%, 11/25/41<br>| 2243 | &nbsp;&nbsp; 2302835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class B1, (30-day Avg SOFR + <br> 3.00%), 7.36%, 08/25/33<br>| 3750 | &nbsp;&nbsp; 4054687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA2, Class B1, (30-day Avg SOFR + <br> 3.15%), 7.51%, 12/25/33<br>| 1000 | &nbsp;&nbsp; 1096560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2, (30-day Avg SOFR + <br> 2.35%), 6.71%, 12/25/41<br>| 1000 | &nbsp;&nbsp; 1010000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M2, (30-day Avg SOFR + <br> 2.50%), 6.86%, 01/25/42<br>| 3000 | &nbsp;&nbsp; 3049081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M2, (30-day Avg SOFR + <br> 3.75%), 8.11%, 02/25/42<br>| 3000 | &nbsp;&nbsp; 3100320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M2, (30-day Avg SOFR + <br> 4.35%), 8.71%, 04/25/42<br>| 2500 | &nbsp;&nbsp; 2614682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M2, (30-day Avg SOFR + <br> 5.25%), 9.61%, 05/25/42<br>| 2000 | &nbsp;&nbsp; 2127533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA7, Class M2, (30-day Avg SOFR + <br> 7.00%), 11.36%, 03/25/52<br>| 1500 | &nbsp;&nbsp; 1662660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class M2, (30-day Avg SOFR + <br> 5.25%), 9.61%, 03/25/42<br>| 4150 | &nbsp;&nbsp; 4372712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA3, Class M1B, (30-day Avg SOFR + <br> 3.55%), 7.91%, 08/25/42<br>| 2500 | &nbsp;&nbsp; 2617070 |
|  |  | &nbsp;&nbsp; 87505945 |
| **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.2%** | **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.2%** | **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.2%** |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust, Series 2023-C22, Class A5, <br> 6.80%, 11/15/56<br>| 600 | &nbsp;&nbsp; 674496 |
| &nbsp;&nbsp;&nbsp; Eleven Madison Trust Mortgage Trust, Series 2015-<br> 11MD, Class A, 3.67%, 09/10/35<sup>(a)</sup><br>| 150 | &nbsp;&nbsp; 149717 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, Series 2015-GC30, <br> Class B, 4.11%, 05/10/50<br>| 300 | &nbsp;&nbsp; 285000 |
| &nbsp;&nbsp;&nbsp; JP Morgan Chase Commercial Mortgage Securities <br> Trust, Series 2006-CB16, Class B, 5.67%, 05/12/45<br>| 210 | &nbsp;&nbsp; 10823 |
|  |  | &nbsp;&nbsp; 1120036 |
| **Total Non-Agency Mortgage-Backed Securities — 12.1%** <br>**(Cost: $89,269,887)** | **Total Non-Agency Mortgage-Backed Securities — 12.1%** <br>**(Cost: $89,269,887)** | &nbsp;&nbsp; 88625981 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 0.1%** | **Collateralized Mortgage Obligations — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Freddie Mac STACR REMIC Trust, Series 2020-DNA6, <br> Class B1, (30-day Avg SOFR + 3.00%), 7.36%, <br> 12/25/50<sup>(a)(b)</sup><br>| 680 | &nbsp;&nbsp; 726499 |
| **Commercial Mortgage-Backed Securities — 1.5%** | **Commercial Mortgage-Backed Securities — 1.5%** |  |
| Fannie Mae-Aces<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-M13, Class A2, 2.61%, 09/25/26 | 528 | &nbsp;&nbsp; 521269 |
| &nbsp;&nbsp;&nbsp; Series 2018-M1, Class A2, 3.09%, 12/25/27 | 991 | &nbsp;&nbsp; 970627 |
| &nbsp;&nbsp;&nbsp; Series 2018-M7, Class A2, 3.13%, 03/25/28 | 1404 | &nbsp;&nbsp; 1377143 |
| &nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.42%, 06/25/28 | 2960 | &nbsp;&nbsp; 2915901 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |  |
| &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured Pass Through <br> Certificates<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series K055, Class A2, 2.67%, 03/25/26 | 1498 | &nbsp;&nbsp; $1486419 |
| &nbsp;&nbsp;&nbsp; Series K060, Class A2, 3.30%, 10/25/26 | 1190 | &nbsp;&nbsp; 1181527 |
| &nbsp;&nbsp;&nbsp; Series K061, Class A2, 3.35%, 11/25/26<sup>(b)</sup> | 1523 | &nbsp;&nbsp; 1507941 |
| &nbsp;&nbsp;&nbsp; Series K072, Class A2, 3.44%, 12/25/27 | 1190 | &nbsp;&nbsp; 1177938 |
|  |  | &nbsp;&nbsp; 11138765 |
| **Mortgage-Backed Securities — 27.0%** | **Mortgage-Backed Securities — 27.0%** |  |
| Fannie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | 49 | &nbsp;&nbsp; 43539 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 - 02/01/57 | 942 | &nbsp;&nbsp; 898597 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/51 | 2792 | &nbsp;&nbsp; 2614618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11th District Cost of Funds + 1.25%), 4.20%, <br> 09/01/34<sup>(b)</sup><br>| 37 | &nbsp;&nbsp; 36760 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.43%), 6.43%, 04/01/35<sup>(b)</sup> | 16 | &nbsp;&nbsp; 16584 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.53%), 6.36%, 05/01/43<sup>(b)</sup> | 9 | &nbsp;&nbsp; 9694 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.54%), 6.25%, 06/01/43<sup>(b)</sup> | 19 | &nbsp;&nbsp; 19548 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.71%), 6.71%, 04/01/40<sup>(b)</sup> | 1 | &nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 6.47%, 08/01/41<sup>(b)</sup> | 9 | &nbsp;&nbsp; 9212 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.78%), 6.71%, 01/01/42<sup>(b)</sup> | 4 | &nbsp;&nbsp; 4126 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.81%), 6.71%, 02/01/42<sup>(b)</sup> | 1 | &nbsp;&nbsp; 551 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.82%), 6.57%, 09/01/41<sup>(b)</sup> | 10 | &nbsp;&nbsp; 10276 |
| &nbsp;&nbsp;&nbsp; (6-mo. RFUCCT US + 1.04%), 5.66%, 05/01/33<sup>(b)</sup> | 2 | &nbsp;&nbsp; 1936 |
| &nbsp;&nbsp;&nbsp; (6-mo. RFUCCT US + 1.36%), 5.99%, 10/01/32<sup>(b)</sup> | 6 | &nbsp;&nbsp; 5845 |
| Freddie Mac Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 - 01/01/49 | 2043 | &nbsp;&nbsp; 1972270 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 - 04/01/49 | 4704 | &nbsp;&nbsp; 4420966 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/27 | 77 | &nbsp;&nbsp; 76167 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 - 10/01/47 | 3848 | &nbsp;&nbsp; 3523063 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 - 04/01/38 | 154 | &nbsp;&nbsp; 160447 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 - 08/01/36 | 149 | &nbsp;&nbsp; 158448 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | — <br><sup>(h)</sup><br>| &nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/31 - 01/01/49 | 747 | &nbsp;&nbsp; 742050 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 - 08/01/38 | 357 | &nbsp;&nbsp; 369136 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 - 03/01/48 | 220 | &nbsp;&nbsp; 225355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11th District Cost of Funds + 1.25%), 4.20%, <br> 11/01/27<sup>(b)</sup><br>| 9 | &nbsp;&nbsp; 8719 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.60%), 6.35%, 08/01/43<sup>(b)</sup> | 3 | &nbsp;&nbsp; 2729 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.65%), 6.40%, 05/01/43<sup>(b)</sup> | 11 | &nbsp;&nbsp; 11165 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.67%), 6.48%, 08/01/41<sup>(b)</sup> | 10 | &nbsp;&nbsp; 10743 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 6.75%, 04/01/38<sup>(b)</sup> | 26 | &nbsp;&nbsp; 27111 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 6.71%, 02/01/40<sup>(b)</sup> | 14 | &nbsp;&nbsp; 14606 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.79%), 6.41%, 09/01/32<sup>(b)</sup> | — <br><sup>(h)</sup><br>| &nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.89%), 6.61%, 07/01/41<sup>(b)</sup> | 4 | &nbsp;&nbsp; 4060 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.90%), 6.78%, 01/01/42<sup>(b)</sup> | — <br><sup>(h)</sup><br>| &nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 2.34%), 6.59%, 04/01/32<sup>(b)</sup> | 3 | &nbsp;&nbsp; 2546 |
| Ginnie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/28 - 09/20/55<sup>(i)</sup> | 1580 | &nbsp;&nbsp; 1624577 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/20/30 | 1 | &nbsp;&nbsp; 1083 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/32 - 08/20/55<sup>(i)</sup> | 3159 | &nbsp;&nbsp; 3220131 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/33 - 10/15/54<sup>(i)</sup> | 4230 | &nbsp;&nbsp; 4226915 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/36 - 07/20/55<sup>(i)</sup> | 5230 | &nbsp;&nbsp; 5283126 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/39 - 10/20/55<sup>(i)</sup> | 3245 | &nbsp;&nbsp; 3181106 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/40 - 09/15/49 | 3726 | &nbsp;&nbsp; 3566181 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/41 - 02/20/52 | 4961 | &nbsp;&nbsp; 4602115 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 - 10/20/55<sup>(i)</sup> | 5586 | &nbsp;&nbsp; 5028246 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/46 - 10/20/55<sup>(i)</sup> | 6729 | &nbsp;&nbsp; 5765952 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/51 - 10/20/55<sup>(i)</sup> | 6857 | &nbsp;&nbsp; 5668417 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 - 10/14/55<sup>(i)</sup> | 5130 | &nbsp;&nbsp; 4956861 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 - 10/14/55<sup>(i)</sup> | 10673 | &nbsp;&nbsp; 9708044 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
| Uniform Mortgage-Backed Securities (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 - 10/14/55<sup>(i)</sup> | 26466 | &nbsp;&nbsp; $22858361 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/29 - 10/14/55<sup>(i)</sup> | 5169 | &nbsp;&nbsp; 5077971 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/29 | — <br><sup>(h)</sup><br>| &nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/30 - 09/01/55<sup>(i)</sup> | 5694 | &nbsp;&nbsp; 5938084 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/31 - 06/01/49 | 4591 | &nbsp;&nbsp; 4325196 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/32 - 06/01/32 | 8 | &nbsp;&nbsp; 8296 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 - 08/01/55<sup>(i)</sup> | 30806 | &nbsp;&nbsp; 31524094 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/32 - 11/01/54<sup>(i)</sup> | 10352 | &nbsp;&nbsp; 10495813 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/33 - 10/14/55<sup>(i)</sup> | 7398 | &nbsp;&nbsp; 7385889 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 - 10/14/55<sup>(i)</sup> | 38708 | &nbsp;&nbsp; 32340298 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 - 07/01/51 | 7537 | &nbsp;&nbsp; 6228346 |
|  |  | &nbsp;&nbsp; 198417812 |
| **Total U.S. Government Sponsored Agency Securities — 28.6%** <br>**(Cost: $227,856,825)** | **Total U.S. Government Sponsored Agency Securities — 28.6%** <br>**(Cost: $227,856,825)** | &nbsp;&nbsp; 210283076 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/39 | 1000 | &nbsp;&nbsp; 1007422 |
| &nbsp;&nbsp;&nbsp; 4.63%, 02/15/40 | 10000 | &nbsp;&nbsp; 10177734 |
| &nbsp;&nbsp;&nbsp; 4.75%, 11/15/43 | 3400 | &nbsp;&nbsp; 3436125 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/44 - 08/15/53 | 15700 | &nbsp;&nbsp; 14511949 |
| &nbsp;&nbsp;&nbsp; 3.38%, 11/15/48 | 12200 | &nbsp;&nbsp; 9800508 |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/29/28 | 48381 | &nbsp;&nbsp; 48808113 |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/31/28 | 2800 | &nbsp;&nbsp; 2800438 |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/29 | 7100 | &nbsp;&nbsp; 7326590 |
| &nbsp;&nbsp;&nbsp; 4.38%, 11/30/30 | 30000 | &nbsp;&nbsp; 30847266 |
| &nbsp;&nbsp;&nbsp; 3.88%, 08/15/34 | 2470 | &nbsp;&nbsp; 2432178 |
| **Total U.S. Treasury Obligations — 17.9%** <br>**(Cost: $131,884,166)** | **Total U.S. Treasury Obligations — 17.9%** <br>**(Cost: $131,884,166)** | &nbsp;&nbsp; 131148323 |
| **Total Long-Term Investments — 101.7%** <br>**(Cost: $768,789,177)** | **Total Long-Term Investments — 101.7%** <br>**(Cost: $768,789,177)** | &nbsp;&nbsp; 746256541 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 6.4%** | **Money Market Funds — 6.4%** |  |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institutional, SL Agency Shares, <br> 4.26%<sup>(j)(k)(l)</sup><br>| 46998084 | &nbsp;&nbsp; 47021583 |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Treasury, SL Agency Shares, <br> 4.09%<sup>(j)(k)</sup><br>| 100000 | &nbsp;&nbsp; 100000 |
| **Total Short-Term Securities — 6.4%** <br>**(Cost: $47,107,895)** | **Total Short-Term Securities — 6.4%** <br>**(Cost: $47,107,895)** | &nbsp;&nbsp; 47121583 |
| **Options Purchased — 0.0%** <br>**(Cost: $129,255)** | **Options Purchased — 0.0%** <br>**(Cost: $129,255)** | &nbsp;&nbsp; 18023 |
| **Total Investments — 108.1%** <br>**(Cost: $816,026,327)** | **Total Investments — 108.1%** <br>**(Cost: $816,026,327)** | &nbsp;&nbsp; 793396147 |
| **Liabilities in Excess of Other Assets — (8.1)%** | **Liabilities in Excess of Other Assets — (8.1)%** | &nbsp;&nbsp; (59479644)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | &nbsp;&nbsp; $733916503 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(c)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. 

<sup>(d)</sup> Non-income producing security.

<sup>(e)</sup> All or a portion of this security is on loan.

<sup>(f)</sup> Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. 

<sup>(g)</sup> When-issued security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(h)</sup> Rounds to less than 1,000.

<sup>(i)</sup> Represents or includes a TBA transaction.

<sup>(j)</sup> Affiliate of the Master Portfolio.

<sup>(k)</sup> Annualized 7-day yield as of period end.

<sup>(l)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities. 

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Master Portfolio for compliance purposes.

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended September 30, 2025 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*12/31/24*<br>| *Purchases* <br>*at Cost*<br>| *Proceeds* <br>*from Sales*<br>| *Net* <br>*Realized* <br>*Gain (Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*09/30/25*<br>| *Shares* <br>*Held at* <br>*09/30/25*<br>| *Income* | *Capital Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| BlackRock Cash Funds: Institutional, SL Agency Shares | $34828678 | $12193790 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $— | $(3295)<br>| $2410 | $47021583 | 46998084 | $77392 <br><sup>(b)</sup><br>| &nbsp;&nbsp; $— |
| BlackRock Cash Funds: Treasury, SL Agency Shares | 100000 |  | &nbsp;&nbsp; — |  |  | 100000 | 100000 | 3189 | &nbsp;&nbsp; — |
|  |  |  |  | $(3295)<br>| $2410 | $47121583 |  | $80581 | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Represents net amount purchased (sold).

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of collateral investment fees, and other payments to and from borrowers of securities. 

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; 10-Year Australian Treasury Bonds | &nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp; $2775 | &nbsp;&nbsp;&nbsp;&nbsp; $(8146)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | &nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15536 | &nbsp;&nbsp;&nbsp;&nbsp; (23334)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Long Bond | &nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 16561 | &nbsp;&nbsp;&nbsp;&nbsp; 324812 |
| &nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | &nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15624 | &nbsp;&nbsp;&nbsp;&nbsp; 422700 |
| &nbsp;&nbsp;&nbsp; Long Gilt | &nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 12/29/25 | &nbsp;&nbsp;&nbsp;&nbsp; 489 | &nbsp;&nbsp;&nbsp;&nbsp; (435)<br>|
| &nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | &nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp;&nbsp;&nbsp; 91056 | &nbsp;&nbsp;&nbsp;&nbsp; (55010)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | &nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp;&nbsp;&nbsp; 17468 | &nbsp;&nbsp;&nbsp;&nbsp; (6240)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 654347 |
| Short Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro Bund | &nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 12/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; 5132 | &nbsp;&nbsp;&nbsp;&nbsp; (21235)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year Canadian Bond | &nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12/18/25 | &nbsp;&nbsp;&nbsp;&nbsp; 968 | &nbsp;&nbsp;&nbsp;&nbsp; (17504)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | &nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1463 | &nbsp;&nbsp;&nbsp;&nbsp; 1397 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (37342)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $617005 |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| AUD | 335000 | USD | 221424 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $445 |
| AUD | 509500 | USD | 336865 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 575 |
| AUD | 116000 | USD | 76701 | Natwest Markets PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125 |
| BRL | 908500 | USD | 163688 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3985 |
| BRL | 1567000 | USD | 287891 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1315 |

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Forward Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| BRL | 1644000 | USD | 297918 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5499 |
| CAD | 364000 | USD | 261994 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497 |
| CLP | 134458000 | USD | 139573 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| CZK | 4577000 | EUR | 187097 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 |
| CZK | 4603000 | EUR | 188482 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| EUR | 182735 | CHF | 170000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| EUR | 1903567 | CHF | 1766000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6456 |
| EUR | 93596 | CHF | 87000 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| EUR | 245688 | CHF | 228000 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747 |
| EUR | 119328 | CHF | 111000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| EUR | 173115 | CHF | 161000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| EUR | 163356 | CZK | 3977000 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474 |
| EUR | 201624 | CZK | 4906410 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 |
| EUR | 188155 | NOK | 2194000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1975 |
| EUR | 146576 | NOK | 1721000 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 |
| EUR | 2568439 | PLN | 10998000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6633 |
| EUR | 188123 | PLN | 807000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| EUR | 189580 | PLN | 812000 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 |
| EUR | 1603775 | SEK | 17637000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8850 |
| EUR | 67376 | SEK | 741000 | BNP Paribas SA | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 366 |
| EUR | 102617 | SEK | 1132000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| EUR | 385356 | SEK | 4254000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 400 |
| EUR | 377000 | USD | 444182 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376 |
| GBP | 240530 | USD | 323363 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
| GBP | 377600 | USD | 504418 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3467 |
| HUF | 178266000 | EUR | 450917 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2467 |
| HUF | 193708000 | EUR | 490636 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1903 |
| HUF | 518688030 | EUR | 1304456 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16074 |
| HUF | 103126000 | EUR | 261841 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 |
| HUF | 117936000 | EUR | 298954 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 878 |
| HUF | 101600000 | EUR | 257817 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434 |
| JPY | 32944000 | USD | 221688 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2791 |
| JPY | 13272000 | USD | 90243 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| MXN | 3000000 | USD | 162281 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 |
| MXN | 5343750 | USD | 284090 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5350 |
| NOK | 8214000 | EUR | 697509 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759 |
| NOK | 2204000 | EUR | 187216 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 |
| NOK | 1359000 | EUR | 115251 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
| NZD | 606750 | USD | 350954 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1835 |
| SEK | 3464000 | EUR | 312999 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 |
| TWD | 2451000 | USD | 80860 | State Street Bank and Trust Co. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| USD | 221038 | AUD | 331000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1818 |
| USD | 639070 | AUD | 960000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3266 |
| USD | 127393 | BRL | 688000 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416 |
| USD | 355602 | CAD | 490000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2248 |
| USD | 397897 | CAD | 546000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4160 |
| USD | 114157 | CAD | 157000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 939 |
| USD | 102150 | CAD | 140000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1192 |
| USD | 48802 | CLP | 46629000 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
| USD | 255829 | CLP | 244790000 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1230 |
| USD | 109291 | COP | 430766000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533 |
| USD | 7054861 | EUR | 5968000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17402 |
| USD | 461353 | EUR | 389000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2645 |
| USD | 361896 | EUR | 306000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1061 |
| USD | 1289285 | EUR | 1084000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11033 |
| USD | 732814 | GBP | 542500 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3133 |
| USD | 5597370 | GBP | 4128750 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44054 |
| USD | 403449 | IDR | 6675469960 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4203 |
| USD | 184491 | IDR | 3061632013 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1381 |
| USD | 186570 | IDR | 3069283500 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3003 |
| USD | 248222 | IDR | 4082016000 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4085 |
| USD | 222112 | INR | 19708000 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1271 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Forward Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 222451 | INR | 19704000 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1654 |
| USD | 128114 | INR | 11424000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| USD | 219824 | JPY | 32129000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 897 |
| USD | 333815 | NZD | 559000 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8789 |
| USD | 116636 | NZD | 197000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2092 |
| USD | 456434 | NZD | 766000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11050 |
| USD | 221106 | NZD | 369000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6554 |
| USD | 251039 | PHP | 14326710 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5980 |
| USD | 221977 | SGD | 283000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1342 |
| USD | 289999 | SGD | 370000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1536 |
| USD | 393660 | SGD | 502000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2287 |
| USD | 96198 | SGD | 123000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
| USD | 221049 | SGD | 281000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1974 |
| USD | 219928 | THB | 7063000 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633 |
| ZAR | 4153000 | USD | 234922 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4251 |
| ZAR | 35999000 | USD | 2041419 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31776 |
| ZAR | 1335000 | USD | 76748 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270272 |
| AUD | 344000 | USD | 228653 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (823)<br>|
| BRL | 1199000 | USD | 222286 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (999)<br>|
| CAD | 171000 | USD | 123765 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (452)<br>|
| CAD | 461000 | USD | 334445 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2004)<br>|
| CAD | 170000 | USD | 123107 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (515)<br>|
| CAD | 304000 | USD | 220438 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1214)<br>|
| CAD | 809500 | USD | 588098 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4343)<br>|
| CHF | 174000 | EUR | 187138 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (145)<br>|
| CHF | 103000 | EUR | 111019 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (371)<br>|
| COP | 374591000 | USD | 96466 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1891)<br>|
| COP | 4245198000 | USD | 1072561 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (752)<br>|
| CZK | 28637000 | EUR | 1174537 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1373)<br>|
| CZK | 4063000 | EUR | 166840 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (428)<br>|
| EUR | 226381 | CHF | 211000 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (473)<br>|
| EUR | 61494 | CZK | 1501000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9)<br>|
| EUR | 1571210 | HUF | 624656000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (19059)<br>|
| EUR | 188479 | HUF | 74604000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1302)<br>|
| EUR | 1087761 | NOK | 12809000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1116)<br>|
| EUR | 59000 | USD | 69647 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (74)<br>|
| EUR | 867000 | USD | 1030905 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8539)<br>|
| EUR | 924700 | USD | 1093170 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2765)<br>|
| EUR | 2203820 | USD | 2600533 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1791)<br>|
| GBP | 191000 | USD | 257928 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1027)<br>|
| GBP | 497000 | USD | 678173 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9690)<br>|
| GBP | 380000 | USD | 512479 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1366)<br>|
| GBP | 797000 | USD | 1087714 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (15720)<br>|
| HUF | 90740110 | EUR | 230876 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (339)<br>|
| IDR | 4915037750 | USD | 298026 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4067)<br>|
| INR | 19598000 | USD | 221322 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1714)<br>|
| INR | 137518500 | USD | 1551095 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10109)<br>|
| JPY | 37862000 | USD | 259257 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1266)<br>|
| JPY | 17129000 | USD | 116730 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (14)<br>|
| JPY | 197719750 | USD | 1359544 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (12285)<br>|
| JPY | 32264000 | USD | 221671 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1824)<br>|
| JPY | 10931000 | USD | 74515 | Natwest Markets PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (32)<br>|
| KRW | 190266000 | USD | 136868 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (890)<br>|
| KRW | 306841000 | USD | 221732 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2441)<br>|
| KRW | 303465000 | USD | 219945 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3067)<br>|
| KRW | 1515183750 | USD | 1096537 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13674)<br>|
| MXN | 4101000 | USD | 222330 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (203)<br>|
| NZD | 2538750 | USD | 1513672 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (37537)<br>|
| NZD | 232000 | USD | 136825 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1930)<br>|
| NZD | 428000 | USD | 250836 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1979)<br>|

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Forward Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| NZD | 621500 | USD | 365653 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(4287)<br>|
| PHP | 12637000 | USD | 220784 | Bank of America N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4627)<br>|
| PHP | 12600000 | USD | 220253 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4729)<br>|
| PHP | 19384000 | USD | 339802 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8238)<br>|
| PHP | 10059000 | USD | 175452 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3392)<br>|
| PHP | 4722550 | USD | 82576 | Standard Chartered Bank | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1797)<br>|
| PLN | 765800 | EUR | 178489 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (45)<br>|
| PLN | 3684000 | EUR | 859717 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1475)<br>|
| PLN | 800000 | EUR | 186927 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (598)<br>|
| SEK | 689000 | EUR | 62411 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (61)<br>|
| SEK | 2781000 | EUR | 253590 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2229)<br>|
| SEK | 2116000 | EUR | 193360 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2178)<br>|
| SEK | 2061000 | EUR | 188316 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2100)<br>|
| SGD | 552000 | USD | 433392 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3037)<br>|
| SGD | 972300 | USD | 763874 | Royal Bank of Canada | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5841)<br>|
| THB | 47765850 | USD | 1516136 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (33077)<br>|
| TWD | 9124500 | USD | 303705 | Deutsche Bank AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2457)<br>|
| TWD | 5557500 | USD | 185275 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1792)<br>|
| TWD | 18757100 | USD | 627055 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7785)<br>|
| TWD | 9725000 | USD | 322136 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1063)<br>|
| USD | 62985 | AUD | 96327 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (812)<br>|
| USD | 326137 | AUD | 493000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (375)<br>|
| USD | 188648 | AUD | 285228 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (257)<br>|
| USD | 811246 | AUD | 1228000 | HSBC Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2054)<br>|
| USD | 346140 | AUD | 529173 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4329)<br>|
| USD | 362759 | AUD | 548772 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (690)<br>|
| USD | 438104 | CLP | 423168500 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2022)<br>|
| USD | 110028 | COP | 437520000 | Goldman Sachs International | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (435)<br>|
| USD | 437573 | EUR | 373000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2268)<br>|
| USD | 148549 | IDR | 2495311150 | Societe Generale | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (691)<br>|
| USD | 220595 | MXN | 4158000 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4619)<br>|
| USD | 260555 | MXN | 4821000 | Morgan Stanley & Co. International PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (571)<br>|
| USD | 821911 | NZD | 1413700 | JPMorgan Chase Bank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (73)<br>|
| USD | 220864 | ZAR | 3860000 | Barclays Bank PLC | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1435)<br>|
| USD | 219430 | ZAR | 3831000 | Citibank N.A. | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1199)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (284250)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(13978)<br>|

---

**OTC Credit Default Swaptions Purchased** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Paid by the Master Portfolio* | *Received by the Master* <br> *Portfolio*<br>|  |  |  |  |  |  |  |  |
| *Description* | *Rate/Reference* | *Rate/Reference* | *Frequency* | *Counterparty* | *Expiration* <br>*Date*<br>| *Credit* <br>*Rating*<br>| *Exercise* <br>*Price*<br>| *Notional* <br>*Amount (000)*<sup>(a)</sup>  | *Notional* <br>*Amount (000)*<sup>(a)</sup>  | *Value* |
| Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bought Protection on <br> 5-Year Credit Default <br> Swap, 06/20/30<br>| 5.00% | CDX.NA.HY.44.V1 | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs <br> International<br>| 10/15/25 |  | USD 107.50 | USD | 10300 | $18023 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement.

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate Received* <br>*by the Master Portfolio*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| &nbsp;&nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Credit* <br>*Rating*<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)*<sup>(b)</sup>  | &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)*<sup>(b)</sup>  | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CDX.NA.HY.44.V1 | 5.00<br> % <br>| Quarterly | 06/20/30 | B | USD | 27823 | &nbsp;&nbsp;&nbsp; $2260103 | &nbsp;&nbsp;&nbsp; $2052585 | &nbsp;&nbsp;&nbsp; $207518 |
| CDX.NA.HY.45.V1 | 5.00 | Quarterly | 12/20/30 | B | USD | 2070 | &nbsp;&nbsp;&nbsp; 162707 | &nbsp;&nbsp;&nbsp; 157373 | &nbsp;&nbsp;&nbsp; 5334 |
| CDX.NA.IG.45.V1 | 1.00 | Quarterly | 12/20/30 | BBB+ | USD | 7110 | &nbsp;&nbsp;&nbsp; 163668 | &nbsp;&nbsp;&nbsp; 162927 | &nbsp;&nbsp;&nbsp; 741 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Centrally Cleared Credit Default Swaps — Sell Protection (continued)**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing*<br> *Rate Received*<br> *by the Master Portfolio*<br>| &nbsp;&nbsp;&nbsp; *Payment*<br> *Frequency*<br>| &nbsp;&nbsp;&nbsp; *Termination*<br> *Date*<br>| &nbsp;&nbsp;&nbsp; *Credit*<br> *Rating*<sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp; *Notional*<br> *Amount (000)*<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; *Notional*<br> *Amount (000)*<sup>(b)</sup> | *Value* | &nbsp;&nbsp; *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)*<br>| &nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| iTraxx.EUR.44.V1 | 1.00<br> % <br>| Quarterly | 12/20/30 | BB+ | EUR | 6230 | &nbsp;&nbsp;&nbsp; $158682 | &nbsp;&nbsp;&nbsp; $157291 | &nbsp;&nbsp;&nbsp; $1391 |
| iTraxx.XO.44.V1 | 5.00 | Quarterly | 12/20/30 | B | EUR | 1260 | &nbsp;&nbsp;&nbsp; 158870 | &nbsp;&nbsp;&nbsp; 153233 | &nbsp;&nbsp;&nbsp; 5637 |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp; $2904030 | &nbsp;&nbsp;&nbsp; $2683409 | &nbsp;&nbsp;&nbsp; $220621 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement.

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | *Effective* <br>*Date* | &nbsp;&nbsp; *Termination* <br>*Date* | *Notional* <br>*Amount (000)* | *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective* <br>*Date* | &nbsp;&nbsp; *Termination* <br>*Date* | *Notional* <br>*Amount (000)* | *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| &nbsp;&nbsp;&nbsp; Tokyo Overnight Average <br> Rate, 0.48%<br>| Annual | 0.92% | Annual | 12/17/25 | 12/17/27 | JPY | 4999000 | $(69643)<br>| $161 | $(69804)<br>|
| &nbsp;&nbsp;&nbsp; Tokyo Overnight Average <br> Rate, 0.48%<br>| Annual | 0.93% | Annual | 12/17/25 | 12/17/27 | JPY | 513000 | (6668)<br>| 17 | (6685)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.06% | Annual | 12/17/25 | 12/17/27 | EUR | 47640 | (122671)<br>| (36145)<br>| (86526)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.10% | Annual | 12/17/25 | 12/17/27 | EUR | 8700 | (14342)<br>| (5347)<br>| (8995)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.15% | Annual | 12/17/25 | 12/17/27 | EUR | 15628 | (6583)<br>| 1867 | (8450)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.16% | Annual | 12/17/25 | 12/17/27 | EUR | 16000 | (6082)<br>| (3861)<br>| (2221)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.20% | Annual | 12/17/25 | 12/17/27 | EUR | 410 | 229 | 71 | 158 |
| 3.09% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/27 | USD | 204400 | 815082 | 112855 | 702227 |
| 3.65% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/27 | GBP | 42760 | 91235 | 34293 | 56942 |
| 3.67% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/27 | GBP | 7200 | 10764 | (415)<br>| 11179 |
| 3.70% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/27 | GBP | 6990 | 5581 | 1430 | 4151 |
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.15% | Annual | 12/17/25 | 12/17/28 | EUR | 2730 | (10410)<br>| 531 | (10941)<br>|
| 1-day CORRA, 2.50% | Semi-Annual | 2.48% | Semi-Annual | 12/17/25 | 12/17/28 | CAD | 9910 | 16047 | 6148 | 9899 |
| 3.09% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/28 | USD | 17420 | 95918 | (11900)<br>| 107818 |
| 3.16% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/28 | USD | 11180 | 39515 | (5624)<br>| 45139 |
| 3.36% | Quarterly | 3-mo. BBSW, 3.58% | Quarterly | 12/17/25 | 12/17/28 | AUD | 3950 | 13976 | 17 | 13959 |
| 3-mo. BBSW, 3.58% | Quarterly | 3.59% | Quarterly | 12/17/25 | 12/17/28 | AUD | 11800 | 9332 | 55605 | (46273)<br>|
| 1-day SONIA, 3.97% | Annual | 3.67% | Annual | 12/17/25 | 12/17/28 | GBP | 1790 | (5266)<br>| 1771 | (7037)<br>|
| 2.30% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/30 | EUR | 19690 | 114728 | 47101 | 67627 |
| 2.33% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/30 | EUR | 3570 | 15379 | 4250 | 11129 |
| 2.38% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/30 | EUR | 6494 | 9286 | (2588)<br>| 11874 |
| 2.40% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/30 | EUR | 6660 | 4614 | 4916 | (302)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.46% | Annual | 12/17/25 | 12/17/30 | EUR | 3050 | 8574 | 3591 | 4983 |
| 1-day SOFR, 4.24% | Annual | 3.16% | Annual | 12/17/25 | 12/17/30 | USD | 86010 | (812288)<br>| (69244)<br>| (743044)<br>|
| 3.17% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/30 | USD | 12570 | 111279 | 10316 | 100963 |
| 3.19% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/30 | USD | 61215 | 490163 | (37865)<br>| 528028 |
| 3.74% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/30 | GBP | 9060 | 57047 | 5073 | 51974 |
| 1-day SONIA, 3.97% | Annual | 3.76% | Annual | 12/17/25 | 12/17/30 | GBP | 6050 | (30584)<br>| (7313)<br>| (23271)<br>|
| 3.77% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/30 | GBP | 5830 | 23888 | 5348 | 18540 |
| 3.78% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/30 | GBP | 3040 | 11640 | (3874)<br>| 15514 |
| 1-day SONIA, 3.97% | Annual | 3.81% | Annual | 12/17/25 | 12/17/30 | GBP | 2980 | (5491)<br>| (1512)<br>| (3979)<br>|
| 1-day TIIEFONDEO, 7.85% | Monthly | 7.39% | Monthly | 03/18/26 | 03/12/31 | MXN | 3690 | 154 | 2 | 152 |
| 0.15% | Annual | 1-day SSARON, (0.05%) | Annual | 03/18/26 | 03/18/31 | CHF | 380 | 1325 | 310 | 1015 |
| 0.18% | Annual | 1-day SSARON, (0.05%) | Annual | 03/18/26 | 03/18/31 | CHF | 430 | 760 | 6 | 754 |
| 1.08% | Quarterly | 1-day THOR, 1.50% | Quarterly | 03/18/26 | 03/18/31 | THB | 11420 | 1218 | 4 | 1214 |
| 1.09% | Quarterly | 1-day THOR, 1.50% | Quarterly | 03/18/26 | 03/18/31 | THB | 9300 | 859 | 3 | 856 |
| 1.10% | Quarterly | 1-day THOR, 1.50% | Quarterly | 03/18/26 | 03/18/31 | THB | 26900 | 2256 | 9 | 2247 |
| 1.14% | Quarterly | 1-day THOR, 1.50% | Quarterly | 03/18/26 | 03/18/31 | THB | 15890 | 295 | 6 | 289 |
| 1.18% | Quarterly | 1-day THOR, 1.50% | Quarterly | 03/18/26 | 03/18/31 | THB | 23190 | (935)<br>| 8 | (943)<br>|
| 1-day SORA, 1.20% | Semi-Annual | 1.46% | Semi-Annual | 03/18/26 | 03/18/31 | SGD | 610 | (2552)<br>| 5 | (2557)<br>|
| 3-mo. STIBOR, 1.89% | Quarterly | 2.27% | Annual | 03/18/26 | 03/18/31 | SEK | 4400 | (3785)<br>| (202)<br>| (3583)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.40% | Annual | 03/18/26 | 03/18/31 | EUR | 3140 | (7804)<br>| 8567 | (16371)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.43% | Annual | 03/18/26 | 03/18/31 | EUR | 400 | (309)<br>| 286 | (595)<br>|
| 3-mo. KRW CDC, 2.57% | Quarterly | 2.51% | Quarterly | 03/18/26 | 03/18/31 | KRW | 11476080 | (61482)<br>| 92 | (61574)<br>|
| 1-day CORRA, 2.50% | Semi-Annual | 2.57% | Semi-Annual | 03/18/26 | 03/18/31 | CAD | 540 | 74 | 191 | (117)<br>|

---

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | *Effective*<br> *Date* | &nbsp;&nbsp; *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | &nbsp;&nbsp; *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 3-mo. KRW CDC, 2.57% | Quarterly | 2.65% | Quarterly | 03/18/26 | 03/18/31 | KRW | 342450 | $(230)<br>| $2 | $(232)<br>|
| 2.83% | Quarterly | 3-mo. HIBOR, 3.53% | Quarterly | 03/18/26 | 03/18/31 | HKD | 6400 | 4971 | 9 | 4962 |
| 3.15% | Annual | 1-day SOFR, 4.24% | Annual | 03/18/26 | 03/18/31 | USD | 5300 | 50787 | 277 | 50510 |
| 3.16% | Annual | 1-day SOFR, 4.24% | Annual | 03/18/26 | 03/18/31 | USD | 810 | 7474 | 1343 | 6131 |
| 3-mo. BBR, 3.23% | Quarterly | 3.25% | Semi-Annual | 03/18/26 | 03/18/31 | NZD | 1060 | 630 | 7 | 623 |
| 3.38% | Annual | 1-day SOFR, 4.24% | Annual | 03/18/26 | 03/18/31 | USD | 670 | (474)<br>| (101)<br>| (373)<br>|
| 3-mo. BBR, 3.23% | Quarterly | 3.44% | Semi-Annual | 03/18/26 | 03/18/31 | NZD | 1460 | 8356 | 10 | 8346 |
| 6-mo. NIBOR, 4.23% | Semi-Annual | 3.81% | Annual | 03/18/26 | 03/18/31 | NOK | 21600 | (21081)<br>| 4302 | (25383)<br>|
| 6-mo. PRIBOR, 3.50% | Semi-Annual | 3.81% | Annual | 03/18/26 | 03/18/31 | CZK | 14540 | (5594)<br>| 8 | (5602)<br>|
| 6-mo. PRIBOR, 3.50% | Semi-Annual | 3.81% | Annual | 03/18/26 | 03/18/31 | CZK | 10240 | (4096)<br>| 6 | (4102)<br>|
| 6-mo. BBSW, 3.75% | Semi-Annual | 3.82% | Semi-Annual | 03/18/26 | 03/18/31 | AUD | 3830 | (15933)<br>| 28 | (15961)<br>|
| 6-mo. PRIBOR, 3.50% | Semi-Annual | 3.83% | Annual | 03/18/26 | 03/18/31 | CZK | 14820 | (5037)<br>| (227)<br>| (4810)<br>|
| 3.86% | Annual | 1-day SONIA, 3.97% | Annual | 03/18/26 | 03/18/31 | GBP | 3280 | (607)<br>| (17027)<br>| 16420 |
| 6-mo. NIBOR, 4.23% | Semi-Annual | 3.90% | Annual | 03/18/26 | 03/18/31 | NOK | 5800 | (3579)<br>| (435)<br>| (3144)<br>|
| 6-mo. NIBOR, 4.23% | Semi-Annual | 3.97% | Annual | 03/18/26 | 03/18/31 | NOK | 4940 | (1407)<br>| (1112)<br>| (295)<br>|
| 4.06% | Annual | 6-mo. WIBOR, 4.58% | Semi-Annual | 03/18/26 | 03/18/31 | PLN | 8880 | 7214 | 27 | 7187 |
| 4.08% | Annual | 6-mo. WIBOR, 4.58% | Semi-Annual | 03/18/26 | 03/18/31 | PLN | 2210 | 1255 | 7 | 1248 |
| 3-mo. JIBAR, 7.00% | Quarterly | 7.06% | Quarterly | 03/18/26 | 03/18/31 | ZAR | 10190 | (1609)<br>| 7 | (1616)<br>|
| 3-mo. JIBAR, 7.00% | Quarterly | 7.10% | Quarterly | 03/18/26 | 03/18/31 | ZAR | 13060 | (963)<br>| 8 | (971)<br>|
| 3-mo. JIBAR, 7.00% | Quarterly | 7.14% | Quarterly | 03/18/26 | 03/18/31 | ZAR | 10250 | 231 | 7 | 224 |
| 1.43% | Annual | &nbsp;&nbsp;&nbsp; Tokyo Overnight Average <br> Rate, 0.48%<br>| Annual | 12/17/25 | 12/17/35 | JPY | 1058000 | 70328 | 130 | 70198 |
| 1.44% | Annual | &nbsp;&nbsp;&nbsp; Tokyo Overnight Average <br> Rate, 0.48%<br>| Annual | 12/17/25 | 12/17/35 | JPY | 115000 | 6850 | 14 | 6836 |
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.63% | Annual | 12/17/25 | 12/17/35 | EUR | 17883 | (127232)<br>| (37506)<br>| (89726)<br>|
| 6-mo. EURIBOR, 2.10% | Semi-Annual | 2.70% | Annual | 12/17/25 | 12/17/35 | EUR | 80 | (15)<br>| (113)<br>| 98 |
| 2.76% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/35 | EUR | 1790 | (10258)<br>| (3652)<br>| (6606)<br>|
| 1-day SOFR, 4.24% | Annual | 3.50% | Annual | 12/17/25 | 12/17/35 | USD | 6520 | (85198)<br>| 2220 | (87418)<br>|
| 1-day SOFR, 4.24% | Annual | 3.51% | Annual | 12/17/25 | 12/17/35 | USD | 27745 | (344007)<br>| (39015)<br>| (304992)<br>|
| 1-day SOFR, 4.24% | Annual | 3.54% | Annual | 12/17/25 | 12/17/35 | USD | 34035 | (335801)<br>| 32511 | (368312)<br>|
| 1-day SOFR, 4.24% | Annual | 3.59% | Annual | 12/17/25 | 12/17/35 | USD | 65 | (400)<br>| (108)<br>| (292)<br>|
| 1-day SONIA, 3.97% | Annual | 4.10% | Annual | 12/17/25 | 12/17/35 | GBP | 5010 | (39811)<br>| (4883)<br>| (34928)<br>|
| 1-day SONIA, 3.97% | Annual | 4.11% | Annual | 12/17/25 | 12/17/35 | GBP | 3220 | (19984)<br>| (2259)<br>| (17725)<br>|
| 4.11% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/35 | GBP | 1680 | 10505 | (3568)<br>| 14073 |
| 1-day SONIA, 3.97% | Annual | 4.12% | Annual | 12/17/25 | 12/17/35 | GBP | 50182 | (275314)<br>| 1744 | (277058)<br>|
| 4.13% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/35 | GBP | 3170 | 12840 | (15283)<br>| 28123 |
| 2.88% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/55 | EUR | 7807 | 47111 | 35167 | 11944 |
| 2.91% | Annual | 6-mo. EURIBOR, 2.10% | Semi-Annual | 12/17/25 | 12/17/55 | EUR | 60 | (103)<br>| 52 | (155)<br>|
| 3.86% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/55 | USD | 13150 | 159048 | 68793 | 90255 |
| 3.89% | Annual | 1-day SOFR, 4.24% | Annual | 12/17/25 | 12/17/55 | USD | 115 | 641 | 474 | 167 |
| 1-day SONIA, 3.97% | Annual | 4.59% | Annual | 12/17/25 | 12/17/55 | GBP | 860 | (10511)<br>| 5159 | (15670)<br>|
| 4.63% | Annual | 1-day SONIA, 3.97% | Annual | 12/17/25 | 12/17/55 | GBP | 20442 | 61357 | (47566)<br>| 108923 |
| 1-day SONIA, 3.97% | Annual | 4.64% | Annual | 12/17/25 | 12/17/55 | GBP | 1630 | (1697)<br>| 11729 | (13426)<br>|
|  |  |  |  |  |  |  |  | $(77020)<br>| $110146 | $(187166)<br>|

---

**Centrally Cleared Inflation Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | &nbsp;&nbsp; *Termination* <br>*Date* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Termination* <br>*Date* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| 1.94% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 05/15/35 | EUR | 320 | &nbsp;&nbsp; $(272)<br>| &nbsp;&nbsp; $233 | &nbsp;&nbsp; $(505)<br>|
| 1.95% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 05/15/35 | EUR | 270 | &nbsp;&nbsp; (526)<br>| &nbsp;&nbsp; 222 | &nbsp;&nbsp; (748)<br>|
| 1.93% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 06/15/35 | EUR | 270 | &nbsp;&nbsp; 682 | &nbsp;&nbsp; (15)<br>| &nbsp;&nbsp; 697 |
| 2.45% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/16/35 | USD | 140 | &nbsp;&nbsp; 1406 | &nbsp;&nbsp; 3 | &nbsp;&nbsp; 1403 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Centrally Cleared Inflation Swaps (continued)**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | &nbsp;&nbsp; *Termination*<br> *Date* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Termination*<br> *Date* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 2.45% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/16/35 | USD | 510 | &nbsp;&nbsp; $4901 | &nbsp;&nbsp; $11 | &nbsp;&nbsp; $4890 |
| 2.47% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/17/35 | USD | 340 | &nbsp;&nbsp; 2831 | &nbsp;&nbsp; 7 | &nbsp;&nbsp; 2824 |
| 2.47% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/18/35 | USD | 340 | &nbsp;&nbsp; 2686 | &nbsp;&nbsp; 7 | &nbsp;&nbsp; 2679 |
| 2.50% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/20/35 | USD | 1010 | &nbsp;&nbsp; 5183 | &nbsp;&nbsp; 21 | &nbsp;&nbsp; 5162 |
| 2.50% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/23/35 | USD | 1010 | &nbsp;&nbsp; 6070 | &nbsp;&nbsp; 21 | &nbsp;&nbsp; 6049 |
| 2.51% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 06/24/35 | USD | 1010 | &nbsp;&nbsp; 4782 | &nbsp;&nbsp; 21 | &nbsp;&nbsp; 4761 |
| 2.50% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 07/02/35 | USD | 380 | &nbsp;&nbsp; 2109 | &nbsp;&nbsp; (174)<br>| &nbsp;&nbsp; 2283 |
| 2.49% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 07/07/35 | USD | 340 | &nbsp;&nbsp; 2209 | &nbsp;&nbsp; 663 | &nbsp;&nbsp; 1546 |
| 2.57% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 07/10/35 | USD | 460 | &nbsp;&nbsp; (307)<br>| &nbsp;&nbsp; 10 | &nbsp;&nbsp; (317)<br>|
| 2.57% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 07/11/35 | USD | 1810 | &nbsp;&nbsp; (1144)<br>| &nbsp;&nbsp; (1228)<br>| &nbsp;&nbsp; 84 |
| 2.61% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 08/01/35 | USD | 660 | &nbsp;&nbsp; (2290)<br>| &nbsp;&nbsp; 14 | &nbsp;&nbsp; (2304)<br>|
| 1.98% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 08/15/35 | EUR | 280 | &nbsp;&nbsp; 30 | &nbsp;&nbsp; 346 | &nbsp;&nbsp; (316)<br>|
| 2.00% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 08/15/35 | EUR | 840 | &nbsp;&nbsp; (2038)<br>| &nbsp;&nbsp; (1216)<br>| &nbsp;&nbsp; (822)<br>|
| 3.19% | At Termination | UK RPI All Items NSA | At Termination | 08/15/35 | GBP | 760 | &nbsp;&nbsp; 3149 | &nbsp;&nbsp; 2530 | &nbsp;&nbsp; 619 |
| 3.21% | At Termination | UK RPI All Items NSA | At Termination | 08/15/35 | GBP | 750 | &nbsp;&nbsp; 998 | &nbsp;&nbsp; 514 | &nbsp;&nbsp; 484 |
| 3.22% | At Termination | UK RPI All Items NSA | At Termination | 08/15/35 | GBP | 500 | &nbsp;&nbsp; (39)<br>| &nbsp;&nbsp; 602 | &nbsp;&nbsp; (641)<br>|
| 2.55% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 08/27/35 | USD | 700 | &nbsp;&nbsp; 238 | &nbsp;&nbsp; 15 | &nbsp;&nbsp; 223 |
| 2.59% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 08/28/35 | USD | 1040 | &nbsp;&nbsp; (3142)<br>| &nbsp;&nbsp; 462 | &nbsp;&nbsp; (3604)<br>|
| 2.59% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 09/03/35 | USD | 350 | &nbsp;&nbsp; (1148)<br>| &nbsp;&nbsp; 339 | &nbsp;&nbsp; (1487)<br>|
| 1.98% | Quarterly | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| Quarterly | 09/15/35 | EUR | 280 | &nbsp;&nbsp; (451)<br>| &nbsp;&nbsp; 7 | &nbsp;&nbsp; (458)<br>|
| 1.98% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 09/15/35 | EUR | 280 | &nbsp;&nbsp; (491)<br>| &nbsp;&nbsp; 238 | &nbsp;&nbsp; (729)<br>|
| 3.18% | At Termination | UK RPI All Items NSA | At Termination | 09/15/35 | GBP | 300 | &nbsp;&nbsp; 337 | &nbsp;&nbsp; 755 | &nbsp;&nbsp; (418)<br>|
| 2.55% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 09/18/35 | USD | 340 | &nbsp;&nbsp; 190 | &nbsp;&nbsp; 7 | &nbsp;&nbsp; 183 |
| 2.54% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 09/19/35 | USD | 690 | &nbsp;&nbsp; 955 | &nbsp;&nbsp; 14 | &nbsp;&nbsp; 941 |
| 2.56% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 09/22/35 | USD | 1730 | &nbsp;&nbsp; (890)<br>| &nbsp;&nbsp; 2484 | &nbsp;&nbsp; (3374)<br>|
|  |  |  |  |  |  |  | &nbsp;&nbsp; $26018 | &nbsp;&nbsp; $6913 | &nbsp;&nbsp; $19105 |

---

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges that the Master Portfolio has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

**Fair Value Hierarchy as of Period End (continued)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $39418045 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $39418045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 268874851 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 268874851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4355621 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4355621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3550643 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3550643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 88625981 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 88625981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 210283076 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 210283076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 131148323 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 131148323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 47121583 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 47121583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 18023 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 18023 |
|  | &nbsp;&nbsp; $47121583 | &nbsp;&nbsp;&nbsp;&nbsp; $746274563 | &nbsp;&nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp;&nbsp;&nbsp; $793396147 |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $220621 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $220621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 270272 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 270272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; 748909 | &nbsp;&nbsp;&nbsp;&nbsp; 2194899 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2943808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34828 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34828 |
| &nbsp;&nbsp;&nbsp; Liabilities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (284250)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (284250)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (131904)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2382065)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2513969)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (15723)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (15723)<br>|
|  | &nbsp;&nbsp; $617005 | &nbsp;&nbsp;&nbsp;&nbsp; $38582 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $655587 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Currency Abbreviation**  | **Currency Abbreviation**  |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |

---

---

| | |
|:---|:---|
| **Currency Abbreviation (continued)** | **Currency Abbreviation (continued)** |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

September 30, 2025

**Advantage CoreAlpha Bond Master Portfolio** 

---

| | |
|:---|:---|
| **Currency Abbreviation (continued)** | **Currency Abbreviation (continued)** |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TWD | New Taiwan Dollar |
| USD | United States Dollar |
| ZAR | South African Rand |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| ABS | Asset-Backed Security |
| AG | Assured Guaranty |
| ARB | Airport Revenue Bonds  |
| BAB | Build America Bond |
| BBR | Bank Bill Rate  |
| BBSW | Bank Bill Swap Rate |
| CDC | Certificate of Deposit Rate |
| CME | Chicago Mercantile Exchange  |
| CMT | Constant Maturity Treasury |
| CORRA | Overnight Bank of Canada Repo Rate |
| CPI | Consumer Price Index |
| CVR | Contingent Value Right |
| EURIBOR | Euro Interbank Offered Rate |
| GO | General Obligation Bonds |
| GOL | General Obligation Ltd. |
| HIBOR | Hong Kong Interbank Offered Rate |
| JIBAR | Johannesburg Interbank Average Rate |
| NIBOR | Norwegian Interbank Offered Rate  |
| PIK | Payment-in-Kind |
| PRIBOR | Prague Interbank Offer Rate |
| RB | Revenue Bonds |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| RFUCCT | Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| SOFR | Secured Overnight Financing Rate  |
| SONIA | Sterling Overnight Interbank Average Rate |
| SORA | Singapore Overnight Rate Average |
| SSARON | Swiss Average Overnight Rate |
| STACR | Structured Agency Credit Risk |
| STIBOR | Stockholm Interbank Offered Rate |
| THOR | Thai Overnight Repurchase Rate |
| TIIEFONDEO | MXN - Overnight TIIE Funding Rate  |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation (continued)** | **Portfolio Abbreviation (continued)** |
| UK RPI | United Kingdom Retail Price Index  |
| WIBOR | Warsaw Interbank Offered Rate |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Master Investment Portfolio II

- **b. Investment Company Act file number:** 811-23343

- **c. CIK number of Registrant:** 0001738077

- **d. LEI of Registrant:** 549300RCV7V0VQXTCW11

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** Advantage CoreAlpha Bond Master Portfolio

- **b. EDGAR series identifier (if any):** S000062381

- **c. LEI of Series:** 0I7UWC3FB187VDB5KB30

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $841581887.43

**Total Liabilities:** $106864569.10

**Net Assets:** $734717318.33

**Delayed Delivery Securities:** $1099905.05

**Cash Not Reported:** $9879294.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 14682.82000000 | **1-Year:** 10177.97000000 | **5-Year:** 138828.03000000 | **10-Year:** 65141.36000000 | **30-Year:** 65743.87000000

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

- **3-Month:** 4709.03000000 | **1-Year:** -23423.34000000 | **5-Year:** 5568.23000000 | **10-Year:** 124816.34000000 | **30-Year:** -79880.52000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202350 | -0.07%               | 1.32%                | 1.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $188098.20               | $-3191467.47                               |
| Month 2  | $610617.74               | $4684080.90                                |
| Month 3  | $714459.96               | $4177297.90                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2010204.20   | 0.27%             | 2030-04-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $155795.15    | 0.02%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6UT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34465 | PA      | $35901.26     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      698897 | PA      | $648799.58    | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      117000 | PA      | $107293.72    | 0.01%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      270000 | PA      | $254322.21    | 0.03%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96206 | PA      | $89505.83     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132KESL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179850 | PA      | $177186.61    | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140W1BL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185496 | PA      | $192074.60    | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     1580000 | PA      | $1057119.00   | 0.14%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |     2500000 | PA      | $2617070.25   | 0.36%             | 2042-08-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| ALGOMA STEEL INC                                                                 | Algoma Steel Inc                                                                | CUSIP: 01566MAD7<br>LEI: 5493006RXIB5GVHWJS53 | Long             | DBT              | CORP              | CA        |      113000 | PA      | $96285.06     | 0.01%             | 2029-04-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      320000 | PA      | $331738.24    | 0.05%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |      240000 | PA      | $177650.59    | 0.02%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      170000 | PA      | $170058.07    | 0.02%             | 2030-09-30      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                   | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |      645000 | PA      | $629527.30    | 0.09%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.758320 17-DEC-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6050000 | OU      | $-30583.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY INC                                                                       | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47422.05     | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       90000 | PA      | $76849.04     | 0.01%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |      202000 | PA      | $210388.25    | 0.03%             | 2031-02-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      707068 | PA      | $632610.16    | 0.09%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                                                          | GCI LLC                                                                         | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |      116000 | PA      | $112728.93    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $6633.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12200000 | PA      | $9800507.78   | 1.33%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.097200 18-MAR-2031 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    26900000 | OU      | $2256.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39036 | PA      | $35336.14     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |       87000 | PA      | $91353.93     | 0.01%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4302 | PA      | $4538.37      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      299488 | PA      | $276902.02    | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      395483 | PA      | $368469.43    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128Q0DK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2487 | PA      | $2462.79      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                     | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |      145000 | PA      | $140189.33    | 0.02%             | 2053-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6895623 | OU      | $589.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      215000 | PA      | $174302.44    | 0.02%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65094 | PA      | $63782.14     | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      425000 | PA      | $441185.99    | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288JBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58837 | PA      | $59397.31     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63705 | PA      | $59322.89     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428353 | PA      | $438126.81    | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56465 | PA      | $50608.68     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      333889 | PA      | $303039.73    | 0.04%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XUG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         994 | PA      | $1007.58      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      945000 | PA      | $962824.41    | 0.13%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                            | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |      915000 | PA      | $946007.34    | 0.13%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1497 | PA      | $1562.46      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |      148000 | PA      | $116690.04    | 0.02%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37404 | PA      | $38965.37     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46885 | PA      | $46591.30     | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1800000 | PA      | $1869849.49   | 0.25%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31046 | PA      | $29885.69     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      235614 | PA      | $236338.95    | 0.03%             | 2030-10-21      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1943 | PA      | $1936.34      | 0.00%             | 2033-05-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $533.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                               | Advance Auto Parts Inc                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82308.22     | 0.01%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82365.43     | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.114340 17-DEC-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3220000 | OU      | $-19984.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $689379.22    | 0.09%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                          | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97847.56     | 0.01%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22955 | PA      | $20812.63     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198245 | PA      | $183708.98    | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    30000000 | PA      | $30847265.70  | 4.20%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M7CK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6721 | PA      | $6598.15      | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $693.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $285000.00    | 0.04%             | 2050-05-10      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1538 | PA      | $1575.58      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016HZS2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       40000 | PA      | $41249.04     | 0.01%             | 2028-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      140000 | PA      | $99400.00     | 0.01%             | 2032-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1405120 | PA      | $1257156.42   | 0.17%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CENTURY ALUMINUM COMPANY                                                         | Century Aluminum Co                                                             | CUSIP: 156431AS7<br>LEI: 549300U5ODNGEYWKSW73 | Long             | DBT              | CORP              | US        |      141000 | PA      | $146132.40    | 0.02%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      174003 | PA      | $160885.91    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11049.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      355000 | PA      | $356865.05    | 0.05%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                          | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     1825000 | PA      | $1852253.22   | 0.25%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226525 | PA      | $184034.75    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      250078 | PA      | $258806.82    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $1974.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2880000 | PA      | $2957309.28   | 0.40%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $3002.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                      | Netflix Inc                                                                     | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100706.72    | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |       40000 | PA      | $41358.36     | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64287 | PA      | $61665.88     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29598 | PA      | $29050.91     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      410412 | PA      | $383894.01    | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51714 | PA      | $53027.94     | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.174370 17-DEC-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12570000 | OU      | $111279.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | Host Hotels & Resorts LP                                                        | CUSIP: 44107TBB1<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      806000 | PA      | $825537.54    | 0.11%             | 2034-07-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-570.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33180 | PA      | $34417.29     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17652 | PA      | $17251.59     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0204A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1151375 | PA      | $1057938.32   | 0.14%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |     3750000 | PA      | $4054687.50   | 0.55%             | 2033-08-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       83000 | PA      | $90364.03     | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36295QGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         589 | PA      | $617.89       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      909968 | PA      | $774585.13    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.301660 17-DEC-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    19690000 | OU      | $114728.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      385000 | PA      | $384160.33    | 0.05%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      550000 | PA      | $511987.10    | 0.07%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      780000 | PA      | $810395.51    | 0.11%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58846 | PA      | $54095.02     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $390327.75    | 0.05%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2024-1                                   | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      510000 | PA      | $516869.39    | 0.07%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M7JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      144093 | PA      | $139506.75    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62678 | PA      | $61860.78     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167705 | PA      | $163246.83    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |     2243393 | PA      | $2302834.61   | 0.31%             | 2041-11-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TW        |           1 | NC      | $-7784.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156022 | PA      | $154115.12    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |       30000 | PA      | $17322.96     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104343 | PA      | $106858.35    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178DVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9257 | PA      | $8632.37      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH America Finance Inc                                                         | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1288933.85   | 0.18%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      105000 | PA      | $107376.49    | 0.01%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19515 | PA      | $20328.62     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                         | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |      775000 | PA      | $808814.20    | 0.11%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                       | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     1055000 | PA      | $1040848.57   | 0.14%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       47000 | PA      | $42237.06     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      135000 | PA      | $121750.97    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25844 | PA      | $24309.83     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      537301 | PA      | $487695.72    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                                                       | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |      160000 | PA      | $143042.57    | 0.02%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 0.179700 18-MAR-2031 SAR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      430000 | OU      | $760.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      199000 | PA      | $208341.46    | 0.03%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      650000 | PA      | $403117.00    | 0.05%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                                         | Genting New York LLC / GENNY Capital Inc                                        | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $284064.29    | 0.04%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60765 | PA      | $54982.26     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |           1 | NC      | $-37536.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      269000 | PA      | $268285.40    | 0.04%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      779249 | PA      | $636662.62    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.895890 18-MAR-2031 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5800000 | OU      | $-3578.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37406 | PA      | $35045.55     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1538614 | PA      | $1258664.47   | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                                        | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      385000 | PA      | $303715.50    | 0.04%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      243427 | PA      | $218151.03    | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27324 | PA      | $27687.75     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16624 | PA      | $17455.26     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33786 | PA      | $32532.93     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8849 | PA      | $8538.84      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17348 | PA      | $16829.45     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       60000 | PA      | $61401.26     | 0.01%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10000000 | PA      | $10177734.40  | 1.39%             | 2040-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CHF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |           1 | NC      | $-144.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      735000 | PA      | $765942.87    | 0.10%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINES LTD                                                                | Ivanhoe Mines Ltd                                                               | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $206650.00    | 0.03%             | 2030-01-23      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126942 | PA      | $119117.76    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TIDEWATER INC                                                                    | Tidewater Inc                                                                   | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |      269000 | PA      | $288488.97    | 0.04%             | 2030-07-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1300000 | PA      | $1294029.84   | 0.18%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-1930.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-1978.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |      280000 | PA      | $286533.40    | 0.04%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $3100320.00   | 0.42%             | 2042-02-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      545000 | PA      | $589492.43    | 0.08%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390QJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12244 | PA      | $12474.15     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      670000 | PA      | $616556.81    | 0.08%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.585560 17-DEC-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       65000 | OU      | $-399.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      381220 | PA      | $358011.80    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |      273000 | PA      | $279432.43    | 0.04%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |           1 | NC      | $-2441.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |           1 | NC      | $-9.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WEATHERFORD INTERNATIONA                                                         | Weatherford International Ltd                                                   | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |      170000 | PA      | $170118.25    | 0.02%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1239684 | PA      | $1107107.90   | 0.15%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      155000 | PA      | $158291.00    | 0.02%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      756385 | PA      | $770673.19    | 0.10%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36677 | PA      | $36481.44     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.833530 18-MAR-2031 PRI                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14820000 | OU      | $-5036.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81800 | PA      | $81730.34     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |      220000 | PA      | $159737.22    | 0.02%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8897 | PA      | $9211.66      | 0.00%             | 2041-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.154890 17-DEC-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15627448 | OU      | $-6583.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8672 | PA      | $8244.59      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      125000 | PA      | $126648.59    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| INTER-AMERICAN DEVEL BK                                                          | Inter-American Development Bank                                                 | CUSIP: 4581X0EK0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |     1730000 | PA      | $1735868.71   | 0.24%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      290000 | PA      | $302851.43    | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LINDBLAD EXPEDITIONS LLC                                                         | Lindblad Expeditions LLC                                                        | CUSIP: 53523LAB6<br>LEI: 549300MPUWOG67Y2R254 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40771.60     | 0.01%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WH6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4763 | PA      | $4455.00      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      111000 | PA      | $82529.42     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22756 | PA      | $21954.24     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      187000 | PA      | $195057.77    | 0.03%             | 2031-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12949 | PA      | $12785.61     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36072 | PA      | $33776.04     | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      815000 | PA      | $843097.67    | 0.11%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      226000 | PA      | $228090.50    | 0.03%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58526 | PA      | $54860.91     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72932 | PA      | $72116.51     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296UFG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4321 | PA      | $4362.63      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      350000 | PA      | $331126.25    | 0.05%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1959 | PA      | $2004.09      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $135.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.152860 18-MAR-2031 SAR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      380000 | OU      | $1324.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LYAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5201 | PA      | $5105.91      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179CJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      221473 | PA      | $203283.80    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1295000 | PA      | $1155785.83   | 0.16%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1491547 | PA      | $1505321.47   | 0.20%             | 2030-07-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2013-A                                            | CUSIP: 17320XAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        3496 | PA      | $3213.58      | 0.00%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      570000 | PA      | $591014.25    | 0.08%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                              | LYB International Finance III LLC                                               | CUSIP: 50249AAD5<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |      160000 | PA      | $118513.51    | 0.02%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |           1 | NC      | $-4342.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       85000 | PA      | $87980.95     | 0.01%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82467 | PA      | $81510.78     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UCE7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      148000 | PA      | $148000.00    | 0.02%             | 2025-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      300000 | PA      | $310533.80    | 0.04%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6JK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8401 | PA      | $8281.45      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DG0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      105000 | PA      | $108416.63    | 0.01%             | 2065-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                   | CUSIP: 20338MAA0<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      170000 | PA      | $175967.17    | 0.02%             | 2031-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |       81000 | PA      | $72282.36     | 0.01%             | 2031-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      686501 | PA      | $631294.68    | 0.09%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      325000 | PA      | $339375.09    | 0.05%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31376JSZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         414 | PA      | $413.13       | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JQAP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14187 | PA      | $14606.38     | 0.00%             | 2040-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       65000 | PA      | $60738.24     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      140000 | PA      | $145471.88    | 0.02%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      385000 | PA      | $243577.73    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              |  | US        |      200000 | PA      | $198610.52    | 0.03%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |       85000 | PA      | $87802.20     | 0.01%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61579 | PA      | $63172.82     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      217000 | PA      | $162273.13    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27288 | PA      | $27032.93     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KGR4<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1096560.00   | 0.15%             | 2033-12-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408H5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4656 | PA      | $4850.01      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC                                                               | SunCoke Energy Inc                                                              | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |      111000 | PA      | $103743.99    | 0.01%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      100000 | PA      | $100813.00    | 0.01%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18272 | PA      | $16901.53     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |       50000 | PA      | $35864.28     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      481464 | PA      | $503005.99    | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                                                         | Northern States Power Co/WI                                                     | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |       70000 | PA      | $72210.75     | 0.01%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      391866 | PA      | $374912.97    | 0.05%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      863970 | PA      | $783586.56    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0Y44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91073 | PA      | $92929.45     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389DHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7415 | PA      | $7652.28      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                           | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $51484.20     | 0.01%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      916523 | PA      | $883064.56    | 0.12%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      140000 | PA      | $148092.00    | 0.02%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100646 | PA      | $97200.65     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      137462 | PA      | $126584.65    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1565735 | PA      | $1325415.27   | 0.18%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23510 | PA      | $23646.02     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $3466.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11889 | PA      | $12493.94     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                  | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |       90000 | PA      | $93624.23     | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407KQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10578 | PA      | $10972.19     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      285302 | PA      | $256760.46    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87841 | PA      | $78752.48     | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      530000 | PA      | $547505.02    | 0.07%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      137344 | PA      | $128006.70    | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      230000 | PA      | $238587.45    | 0.03%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183116 | PA      | $165683.29    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                             | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |      160000 | PA      | $106119.35    | 0.01%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335ANR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17056 | PA      | $16970.59     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413UKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9513 | PA      | $10024.82     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2860000 | PA      | $3054851.80   | 0.42%             | 2042-03-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133796 | PA      | $123708.10    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1050000 | PA      | $1054189.50   | 0.14%             | 2029-12-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      105000 | PA      | $107463.14    | 0.01%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108078 | PA      | $109264.57    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43712 | PA      | $42474.23     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      334460 | PA      | $333689.30    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      325000 | PA      | $205748.40    | 0.03%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: —       |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $107763.60    | 0.01%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      181912 | PA      | $179854.55    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |           1 | NC      | $747.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE DEC25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           4 | NC      | $-434.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Time Warner Cable LLC                                                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      250000 | PA      | $200869.30    | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |      380000 | PA      | $328723.18    | 0.04%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1272 | PA      | $1313.69      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23257 | PA      | $21963.95     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      201000 | PA      | $207640.24    | 0.03%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      265812 | PA      | $240214.90    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      816639 | PA      | $668059.76    | 0.09%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QSL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      485209 | PA      | $495535.06    | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1281871.27   | 0.17%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $4203.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2982 | PA      | $2969.12      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP                                                               | Eldorado Gold Corp                                                              | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |      138000 | PA      | $138519.57    | 0.02%             | 2029-09-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E9N55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      572953 | PA      | $554308.91    | 0.08%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |     2500000 | PA      | $2614682.50   | 0.36%             | 2042-04-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MPGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3042 | PA      | $3004.52      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |           1 | NC      | $366.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFEV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1307 | PA      | $1298.19      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $105174.30    | 0.01%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      875000 | PA      | $880281.18    | 0.12%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PH        |           1 | NC      | $-8237.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.164600 17-DEC-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11180000 | OU      | $39514.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W1VC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28652 | PA      | $27029.30     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                           | OKLAHOMA ST DEV FIN AUTH                                                        | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |      110000 | PA      | $106812.31    | 0.01%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312938Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25685 | PA      | $25841.47     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                         | United Natural Foods Inc                                                        | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |      218000 | PA      | $217982.71    | 0.03%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      270000 | PA      | $231737.42    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $3265.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125138.92    | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| IBM CORP                                                                         | International Business Machines Corp                                            | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      746000 | PA      | $616411.63    | 0.08%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                               | Advance Auto Parts Inc                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |       90000 | PA      | $92812.50     | 0.01%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE                                                             | Wolverine World Wide Inc                                                        | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |      156000 | PA      | $142721.17    | 0.02%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBH1<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |      725000 | PA      | $763834.36    | 0.10%             | 2033-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       95000 | PA      | $92539.80     | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJ6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58909 | PA      | $55749.06     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416J7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17318 | PA      | $17371.07     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $11033.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |      440000 | PA      | $311950.47    | 0.04%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41939 | PA      | $41418.07     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199134.55    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28414 | PA      | $25677.98     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406BBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33909 | PA      | $35109.45     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37551 | PA      | $35345.29     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      215000 | PA      | $215738.95    | 0.03%             | 2027-09-10      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                                           | Atlantic City Electric Co                                                       | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |      370000 | PA      | $332010.61    | 0.05%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19570.63     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      180812 | PA      | $186655.94    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.381710 17-DEC-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6493658 | OU      | $9285.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2083 | PA      | $2086.17      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15712 | PA      | $15158.62     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      375006 | PA      | $371798.34    | 0.05%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6210 | PA      | $6458.68      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                              | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |           1 | NC      | $125.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      243296 | PA      | $242735.29    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      310000 | PA      | $315945.80    | 0.04%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $632.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      114754 | PA      | $113455.77    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |           1 | NC      | $-1713.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTA EQUIPMENT GROUP                                                             | Alta Equipment Group Inc                                                        | CUSIP: 02128LAC0<br>LEI: 549300DGOB28CLGS1X27 | Long             | DBT              | CORP              | US        |      188000 | PA      | $175468.73    | 0.02%             | 2029-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9897 | PA      | $10429.59     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6439 | PA      | $6391.95      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      505000 | PA      | $442136.64    | 0.06%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31336SBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         148 | PA      | $149.93       | 0.00%             | 2032-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      370000 | PA      | $385836.00    | 0.05%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      140662 | PA      | $127760.65    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE DEC25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -36 | NC      | $-23176.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112798 | PA      | $101284.70    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4191 | PA      | $4149.79      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER FOUNDATION                                                           | Rockefeller Foundation/The                                                      | CUSIP: 77310VAA2<br>LEI: 549300JU3NX0IK5I9038 | Long             | DBT              | CORP              | US        |       72000 | PA      | $44273.85     | 0.01%             | 2050-10-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.492160 07-JUL-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      340000 | OU      | $2209.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17025 | PA      | $17939.93     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES                                                          | System Energy Resources Inc                                                     | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      820000 | PA      | $825367.90    | 0.11%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91431 | PA      | $90484.56     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74732 | PA      | $71958.97     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      449956 | PA      | $387259.76    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408GVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16437 | PA      | $16785.00     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                                         | Connect Finco SARL / Connect US Finco LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      280000 | PA      | $294393.35    | 0.04%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                      | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100827.20    | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      300000 | PA      | $337340.58    | 0.05%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                                                          | Connecticut Light and Power Co/The                                              | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82287.63     | 0.01%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                   | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |       92000 | PA      | $59305.63     | 0.01%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | Cleveland-Cliffs Inc                                                            | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      150000 | PA      | $154560.75    | 0.02%             | 2034-01-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1610000 | PA      | $1656216.61   | 0.23%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMASS MEM HEALTH CARE                                                            | UMass Memorial Health Care Obligated Group                                      | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       42000 | PA      | $39567.31     | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36491 | PA      | $37952.06     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939CK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6333 | PA      | $6352.97      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389SVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3038 | PA      | $3102.40      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3627743.70   | 0.49%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCH5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34158.82     | 0.00%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      485000 | PA      | $467327.93    | 0.06%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3623 | PA      | $3582.09      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27373 | PA      | $25692.71     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      150000 | PA      | $142369.24    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      456934 | PA      | $439307.17    | 0.06%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409VDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11002 | PA      | $11411.96     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063DGC6<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      200000 | PA      | $198247.57    | 0.03%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      115148 | PA      | $115741.14    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                   | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      250000 | PA      | $256263.01    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |       95000 | PA      | $62317.35     | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      173650 | PA      | $163485.87    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      325000 | PA      | $357555.25    | 0.05%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                                                            | Interpublic Group of Cos Inc/The                                                | CUSIP: 460690BS8<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |       78000 | PA      | $58457.80     | 0.01%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |      130000 | PA      | $126730.22    | 0.02%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBA9<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50356.71     | 0.01%             | 2027-02-19      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       97000 | PA      | $101153.16    | 0.01%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9470 | PA      | $9694.03      | 0.00%             | 2043-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2418 | PA      | $2513.55      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8866 | PA      | $8152.85      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $5349.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21039 | PA      | $20732.91     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.504000 20-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1010000 | OU      | $5182.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52368 | PA      | $50932.18     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      128914 | PA      | $118925.64    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.178750 15-SEP-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      300000 | OU      | $336.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212085 | PA      | $197495.19    | 0.03%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      147061 | PA      | $143462.15    | 0.02%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-A                                        | CUSIP: 00834BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1250000 | PA      | $1255149.75   | 0.17%             | 2029-02-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6427 | PA      | $6347.03      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $1147084.10   | 0.16%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $939.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      310000 | PA      | $325693.73    | 0.04%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      240000 | PA      | $222088.05    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     3520000 | PA      | $3599171.14   | 0.49%             | 2041-10-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15545.96     | 0.00%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CLP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-2022.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                            | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |      120000 | PA      | $91853.20     | 0.01%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.212320 15-AUG-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      750000 | OU      | $998.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                                           | Nationstar Mortgage Holdings Inc                                                | CUSIP: 63861CAG4<br>LEI: 549300DQF6YN0E43PM71 | Long             | DBT              | CORP              | US        |      130000 | PA      | $133365.44    | 0.02%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1190000 | PA      | $1177937.80   | 0.16%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27433 | PA      | $28216.03     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      140000 | PA      | $137185.98    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                                                            | Georgetown University/The                                                       | CUSIP: 37310PAD3<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |       27000 | PA      | $17667.85     | 0.00%             | 2050-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75000 | PA      | $77275.66     | 0.01%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76723.13     | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31293EAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         301 | PA      | $308.01       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      720000 | PA      | $675469.39    | 0.09%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44746.77     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| STONEX ESCROW ISSUER LLC                                                         | Stonex Escrow Issuer LLC                                                        | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       90000 | PA      | $92638.48     | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       13000 | PA      | $11707.81     | 0.00%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                         | Export-Import Bank of Korea                                                     | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      220000 | PA      | $230889.74    | 0.03%             | 2033-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUUA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51100 | PA      | $50380.85     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         469 | NC      | $-57809.89    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |       90000 | PA      | $82621.13     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAH6<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |      132000 | PA      | $140381.47    | 0.02%             | 2028-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |      190000 | PA      | $125800.21    | 0.02%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403APE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14738 | PA      | $14863.33     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                     | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      136000 | PA      | $81018.33     | 0.01%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2720 | PA      | $2840.04      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76775.61     | 0.01%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Sprint Capital Corp                                                              | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      740000 | PA      | $901530.02    | 0.12%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      170000 | PA      | $194854.05    | 0.03%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      400000 | PA      | $404894.60    | 0.06%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      924000 | PA      | $913128.99    | 0.12%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      315000 | PA      | $280714.75    | 0.04%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30950.99     | 0.00%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CO        |           1 | NC      | $-751.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8943 | PA      | $8203.40      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      307654 | PA      | $283503.53    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       70000 | PA      | $54340.11     | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      240000 | PA      | $259892.68    | 0.04%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      570000 | PA      | $589030.17    | 0.08%             | 2035-11-18      | Fixed         | 5.87%                 | No            |                  2 | On Loan: —       |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X1                                       | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1750000 | PA      | $1774661.00   | 0.24%             | 2029-05-15      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73701 | PA      | $70787.50     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.430000 17-DEC-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1058000000 | OU      | $70327.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                           | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      570000 | PA      | $356857.88    | 0.05%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| Altria Group Inc                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      727000 | PA      | $753967.56    | 0.10%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         118 | NC      | $422224.11    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                                                           | Resorts World Las Vegas LLC / RWLV Capital Inc                                  | CUSIP: 76120HAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $152475.00    | 0.02%             | 2030-07-27      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BJ0<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |       35000 | PA      | $25057.52     | 0.00%             | 2051-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KD1<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |       85000 | PA      | $54386.60     | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54015.35     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3420580 | OU      | $292.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      415114 | PA      | $354587.26    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43401 | PA      | $41064.56     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9877 | PA      | $10275.83     | 0.00%             | 2041-09-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      245000 | PA      | $242938.92    | 0.03%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      162631 | PA      | $150966.91    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      855000 | PA      | $869603.97    | 0.12%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      326076 | PA      | $289820.89    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      463000 | PA      | $241573.74    | 0.03%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PH        |           1 | NC      | $-4627.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2492353 | PA      | $2129063.16   | 0.29%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAG3<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      225000 | PA      | $243865.16    | 0.03%             | 2027-02-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AS6<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      253000 | PA      | $263815.75    | 0.04%             | 2032-04-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57218 | PA      | $56152.59     | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176236 | PA      | $171077.71    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | iHeartCommunications Inc                                                        | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      253000 | PA      | $171915.10    | 0.02%             | 2030-05-01      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      236858 | PA      | $214923.89    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI                                                         | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      163000 | PA      | $176822.24    | 0.02%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      156000 | PA      | $157452.20    | 0.02%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      151000 | PA      | $144754.64    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      329000 | PA      | $308733.53    | 0.04%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39426 | PA      | $35652.83     | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7288 | PA      | $7198.68      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      179754 | PA      | $166200.25    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21360 | PA      | $20619.08     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                             | Entergy Arkansas LLC                                                            | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30713.19     | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       65000 | PA      | $68382.41     | 0.01%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                               | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |      470000 | PA      | $483276.01    | 0.07%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1413075 | PA      | $1152893.53   | 0.16%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-9690.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                            | Belron UK Finance PLC                                                           | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      136000 | PA      | $137772.62    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100014.36    | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      280000 | PA      | $292383.33    | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4963 | PA      | $5083.75      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.188700 15-AUG-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      760000 | OU      | $3148.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15831 | PA      | $14372.01     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                   | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1410000 | PA      | $1531704.91   | 0.21%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: —       |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBQ6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |       95000 | PA      | $99473.03     | 0.01%             | 2033-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95054 | PA      | $87591.63     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151579 | PA      | $149879.26    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |           1 | NC      | $1903.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1678723 | PA      | $1698918.30   | 0.23%             | 2041-11-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      108000 | PA      | $103798.81    | 0.01%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAN0<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      216000 | PA      | $211117.49    | 0.03%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24111 | PA      | $25969.88     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |       71000 | PA      | $63394.71     | 0.01%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      260000 | PA      | $258526.80    | 0.04%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1150000 | PA      | $926629.01    | 0.13%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3623 | PA      | $3646.88      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DK2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      255000 | PA      | $266320.85    | 0.04%             | 2034-07-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27766 | PA      | $27930.43     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      200000 | PA      | $182604.45    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      340000 | PA      | $299456.14    | 0.04%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1096716 | PA      | $898241.30    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57557 | PA      | $56567.34     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.390000 12-MAR-2031 TII                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3690000 | OU      | $154.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      907394 | PA      | $767534.67    | 0.10%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      161083 | PA      | $146199.65    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18593 | PA      | $17042.65     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.914190 17-DEC-2055 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       60000 | OU      | $-103.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      660000 | PA      | $658630.70    | 0.09%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12186 | PA      | $12101.07     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $22.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $244758.79    | 0.03%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      161000 | PA      | $106801.17    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 3.161390 17-DEC-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    86010000 | OU      | $-812287.24   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7193 | PA      | $7105.02      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SG        |           1 | NC      | $-5841.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      260000 | PA      | $262795.92    | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74587 | PA      | $67422.21     | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.329310 17-DEC-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3570000 | OU      | $15379.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82674 | PA      | $77300.81     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      275000 | PA      | $289781.25    | 0.04%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1260000 | OU      | $158869.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53190 | PA      | $53504.43     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      115000 | PA      | $107250.70    | 0.01%             | 2053-02-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      353000 | PA      | $352481.80    | 0.05%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14303 | PA      | $13729.00     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-B                                        | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3504349.10   | 0.48%             | 2029-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| INOVA HEALTH SYSTEMS FOU                                                         | Inova Health System Foundation                                                  | CUSIP: 45791GAA0<br>LEI: 5493001L7PBVS286Y307 | Long             | DBT              | CORP              | US        |       18000 | PA      | $14511.63     | 0.00%             | 2052-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: —       |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                                           | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      135000 | PA      | $136746.36    | 0.02%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |      180000 | PA      | $183216.31    | 0.02%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73879 | PA      | $68698.55     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVR INC                                                                          | NVR Inc                                                                         | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |     1375000 | PA      | $1299596.42   | 0.18%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6970 | PA      | $6724.14      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13776 | PA      | $13429.70     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      430000 | PA      | $309852.88    | 0.04%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      510000 | PA      | $439302.64    | 0.06%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      686368 | PA      | $581775.37    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      110317 | PA      | $99957.88     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CZK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |           1 | NC      | $520.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PH        |           1 | NC      | $-1797.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      775000 | PA      | $791850.08    | 0.11%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19743 | PA      | $18108.94     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOAG MEMORIAL HOSPITAL                                                           | Hoag Memorial Hospital Presbyterian                                             | CUSIP: 43371HAA1<br>LEI: FZFVQHQN7LISVXIZDB30 | Long             | DBT              | CORP              | US        |       73000 | PA      | $55887.10     | 0.01%             | 2052-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EQN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25235 | PA      | $26871.68     | 0.00%             | 2037-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                                            | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |      280000 | PA      | $289910.93    | 0.04%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4609 | PA      | $4551.17      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1010000.00   | 0.14%             | 2041-12-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       70000 | PA      | $49277.17     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       57000 | PA      | $56936.05     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.192930 17-DEC-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    61215000 | OU      | $490162.45    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3929.65      | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $224892.96    | 0.03%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39744 | PA      | $41226.16     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      455756 | PA      | $424351.19    | 0.06%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.630440 17-DEC-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    20442415 | OU      | $61357.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1360000 | PA      | $1390237.83   | 0.19%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AB1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |       65000 | PA      | $65110.50     | 0.01%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      240000 | PA      | $237573.41    | 0.03%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                                 | MDC Holdings Inc                                                                | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |       30000 | PA      | $19982.27     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6243 | PA      | $6135.20      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |      240000 | PA      | $242037.52    | 0.03%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $72150.96     | 0.01%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100468 | PA      | $93262.23     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $-8539.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $1191.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                                            | Oglethorpe Power Corp                                                           | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |       65000 | PA      | $68415.93     | 0.01%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FRED HUTCH CNCR CTR                                                              | Fred Hutchinson Cancer Center                                                   | CUSIP: 35561RAA5<br>LEI: 549300ESFMVM81MJ8C69 | Long             | DBT              | CORP              | US        |      130000 | PA      | $119249.90    | 0.02%             | 2052-01-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      186000 | PA      | $186346.71    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.672150 17-DEC-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7200000 | OU      | $10763.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                                   | CUSIP: 053015AJ2<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |      680000 | PA      | $696288.15    | 0.09%             | 2032-05-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $61013.77     | 0.01%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      187000 | PA      | $192524.92    | 0.03%             | 2032-03-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      394154 | PA      | $399270.34    | 0.05%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                         | Discovery Communications LLC                                                    | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85804.00     | 0.01%             | 2037-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      170039 | PA      | $157480.02    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15324 | PA      | $15108.05     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33508 | PA      | $30280.75     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61929 | PA      | $63422.61     | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      800000 | PA      | $777303.42    | 0.11%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      310270 | PA      | $263974.13    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207435 | PA      | $204860.26    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DS6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      610000 | PA      | $607245.52    | 0.08%             | 2054-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73404 | PA      | $72416.76     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7695 | PA      | $7611.05      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31401NJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26668 | PA      | $26845.30     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.120990 17-DEC-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    50182333 | OU      | $-275313.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      238000 | PA      | $202018.61    | 0.03%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      840000 | PA      | $849914.81    | 0.12%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      335000 | PA      | $180924.63    | 0.02%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Peru Government International Bonds                                              | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      455000 | PA      | $324983.75    | 0.04%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13548 | PA      | $13443.89     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $1341.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                            | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |      450000 | PA      | $469288.17    | 0.06%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      192000 | PA      | $163200.00    | 0.02%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-4329.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1006872.13   | 0.14%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106588 | PA      | $106055.48    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.502680 17-DEC-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6520000 | OU      | $-85197.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                   | CUSIP: 677415CW9<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      150000 | PA      | $156834.81    | 0.02%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108320 | PA      | $112758.82    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAE5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       61000 | PA      | $61790.71     | 0.01%             | 2026-09-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: —       |
| WISCONSIN PUBLIC SERVICE                                                         | Wisconsin Public Service Corp                                                   | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |       85000 | PA      | $59704.70     | 0.01%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                               | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |      270000 | PA      | $281390.63    | 0.04%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      507000 | PA      | $523626.56    | 0.07%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76498 | PA      | $76399.10     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      144510 | PA      | $143008.02    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1224148.13   | 0.17%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                            | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |       95000 | PA      | $93691.29     | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      223992 | PA      | $181976.70    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      177815 | PA      | $170521.92    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      775000 | PA      | $786156.95    | 0.11%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $8789.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55801 | PA      | $57583.62     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22476 | PA      | $21027.65     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      158653 | PA      | $152878.24    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2190239.70   | 0.30%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $2248.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |       80000 | PA      | $75932.03     | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                 | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |      202000 | PA      | $212746.40    | 0.03%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33614 | PA      | $32315.28     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      806597 | PA      | $620023.45    | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      429905 | PA      | $435583.35    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS                                                               | New Flyer Holdings Inc                                                          | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      266000 | PA      | $284717.99    | 0.04%             | 2030-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PAX0<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |      160000 | PA      | $165708.61    | 0.02%             | 2028-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GW8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64744.37     | 0.01%             | 2055-09-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |      125000 | PA      | $126675.00    | 0.02%             | 2029-07-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: —       |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286DH7<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      240000 | PA      | $255966.00    | 0.03%             | 2050-02-04      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      115921 | PA      | $108828.23    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12040 | PA      | $11944.07     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      731069 | PA      | $629914.55    | 0.09%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63930 | PA      | $61808.61     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70155 | PA      | $61879.87     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                                                          | Blue Bridge Funding 2023-1 LLC                                                  | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      217914 | PA      | $219955.70    | 0.03%             | 2030-11-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.813000 18-MAR-2031 PRI                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14540000 | OU      | $-5594.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      923153 | PA      | $899669.31    | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      240000 | PA      | $247003.92    | 0.03%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6450000 | PA      | $6503134.91   | 0.89%             | 2048-10-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |           1 | NC      | $-1214.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88695 | PA      | $81616.42     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                      | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      100000 | PA      | $66819.97     | 0.01%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0626A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1050000 | PA      | $1078372.28   | 0.15%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      155000 | PA      | $163198.18    | 0.02%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A9TL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32229 | PA      | $32756.56     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1432078.41   | 0.19%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      507909 | PA      | $429624.45    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |      235000 | PA      | $264850.61    | 0.04%             | 2054-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7SJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      313812 | PA      | $304774.91    | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1211029 | PA      | $1097512.67   | 0.15%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29077 | PA      | $27970.50     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      105000 | PA      | $56939.72     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                        | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      385000 | PA      | $369347.74    | 0.05%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1512514 | PA      | $1368536.30   | 0.19%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      370000 | PA      | $282701.45    | 0.04%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61408 | PA      | $57929.94     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      300000 | PA      | $253002.52    | 0.03%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      125000 | PA      | $134676.18    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TW        |           1 | NC      | $-1792.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1075000 | PA      | $925335.38    | 0.13%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      525000 | PA      | $549678.43    | 0.07%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36176HTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4353 | PA      | $4070.61      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6407 | PA      | $6052.83      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                              | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $510609.49    | 0.07%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                         | Viridien                                                                        | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |      150000 | PA      | $154197.93    | 0.02%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1720000 | PA      | $1751009.79   | 0.24%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1523103 | PA      | $1507940.52   | 0.21%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4743 | PA      | $4680.78      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406XLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4603 | PA      | $4835.58      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18844 | PA      | $17050.86     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31506 | PA      | $30089.20     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4062 | PA      | $4089.11      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73600 | PA      | $66529.16     | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                              | Sirius XM Radio LLC                                                             | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |       80000 | PA      | $75032.77     | 0.01%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3400000 | PA      | $3595192.64   | 0.49%             | 2042-03-25      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      250000 | PA      | $241575.00    | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                                            | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AH5<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78429.53     | 0.01%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP                                                          | Gulfport Energy Operating Corp                                                  | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |      211000 | PA      | $216526.84    | 0.03%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| AMER SPORTS COMPANY                                                              | Amer Sports Co                                                                  | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |      269000 | PA      | $280144.67    | 0.04%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      615000 | PA      | $564715.42    | 0.08%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64548.50     | 0.01%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      812000 | PA      | $824959.59    | 0.11%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2025-3                                             | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $899163.09    | 0.12%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5482100 | PA      | $4532131.86   | 0.62%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                           | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |    26548885 | NS      | $26562159.61  | 3.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $452996.24    | 0.06%             | 2028-11-15      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      590000 | PA      | $632221.55    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                         | TotalEnergies Capital SA                                                        | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |      440000 | PA      | $435192.34    | 0.06%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: —       |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |       90000 | PA      | $92807.82     | 0.01%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3646.44      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18034.25     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AF1<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |      300000 | PA      | $295200.69    | 0.04%             | 2044-02-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $29.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      195000 | PA      | $206340.23    | 0.03%             | 2030-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $-2765.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |           1 | NC      | $497.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |       92000 | PA      | $101916.88    | 0.01%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1460000 | PA      | $1458099.23   | 0.20%             | 2034-10-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39362 | PA      | $40213.83     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                       | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |     2189000 | PA      | $1981670.94   | 0.27%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                | CUSIP: 95041AAF5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |     1140000 | PA      | $1150635.45   | 0.16%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063BJC7<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      150000 | PA      | $183707.43    | 0.03%             | 2040-11-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.448250 16-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      140000 | OU      | $1405.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1368600.11   | 0.19%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58101.37     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         125 | NC      | $-23163.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |      180000 | PA      | $167568.41    | 0.02%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     1575000 | PA      | $1600153.10   | 0.22%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YL2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46459 | PA      | $40791.44     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      230000 | PA      | $239606.97    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10805 | PA      | $11164.67     | 0.00%             | 2043-05-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GVCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      747644 | PA      | $766148.03    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412AQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1483 | PA      | $1563.20      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      163000 | PA      | $173936.39    | 0.02%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.509700 24-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1010000 | OU      | $4781.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      170000 | PA      | $110647.19    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19143 | PA      | $19121.61     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      330000 | PA      | $268002.35    | 0.04%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      145000 | PA      | $133009.83    | 0.02%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155933 | PA      | $138550.56    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      125000 | PA      | $106758.62    | 0.01%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      420000 | PA      | $444724.76    | 0.06%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7028 | PA      | $6958.80      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44837 | PA      | $46216.38     | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      177000 | PA      | $182544.35    | 0.02%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      165000 | PA      | $159535.28    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     2332000 | PA      | $2101877.19   | 0.29%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED NOK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NO        |           1 | NC      | $759.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MESL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4133358 | PA      | $4239482.37   | 0.58%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-257.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      225698 | PA      | $199161.55    | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTED4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      961742 | PA      | $1007857.12   | 0.14%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25014.88     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                            | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       85000 | PA      | $88949.57     | 0.01%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199662.15    | 0.03%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      610000 | PA      | $624585.00    | 0.09%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | CDX.NA.HY.44.V1 5YR RTP @ 107.5000                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    10300000 | OU      | $18023.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31404QAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33267 | PA      | $33727.53     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.934290 15-JUN-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      270000 | OU      | $681.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53206 | PA      | $55859.01     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      470000 | PA      | $479262.25    | 0.07%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6590 | PA      | $6430.97      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                  | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $88886.34     | 0.01%             | 2047-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED SEK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SE        |           1 | NC      | $-2177.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BBA7<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103454.96    | 0.01%             | 2033-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      100000 | PA      | $105754.04    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-2                                    | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2030000 | PA      | $2078865.75   | 0.28%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      745000 | PA      | $615183.14    | 0.08%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                         | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1662660.00   | 0.23%             | 2052-03-25      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99366.96     | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3595690.00   | 0.49%             | 2042-03-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                                             | Eleven Madison Trust 2015-11MD Mortgage Trust                                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $149716.58    | 0.02%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                             | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |      555000 | PA      | $500227.89    | 0.07%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49714 | PA      | $46970.65     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79628.19     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                        | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |      940000 | PA      | $957588.59    | 0.13%             | 2054-03-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22311 | PA      | $21380.10     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1567866.00   | 0.21%             | 2042-04-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                      | Valaris Ltd                                                                     | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      262000 | PA      | $271915.20    | 0.04%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43808 | PA      | $40209.68     | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.501500 02-JUL-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      380000 | OU      | $2108.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9691 | PA      | $9422.73      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78035.44     | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |       85000 | PA      | $83589.70     | 0.01%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |           1 | NC      | $-1890.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      135000 | PA      | $138560.09    | 0.02%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                                         | Diamond Foreign Asset Co / Diamond Finance LLC                                  | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       88000 | PA      | $93252.37     | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.361000 17-DEC-2028 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3950000 | OU      | $13976.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       40000 | PA      | $27924.06     | 0.00%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |       90000 | PA      | $92747.79     | 0.01%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              |  | US        |      179000 | PA      | $158127.19    | 0.02%             | 2031-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2119685 | PA      | $1730175.56   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3922 | PA      | $4059.60      | 0.00%             | 2041-07-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MBWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29574 | PA      | $29260.65     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      105000 | PA      | $66007.77     | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      535000 | PA      | $537928.32    | 0.07%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SEK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $-2228.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 1                                                                   | EDCON HOLDCO 1                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |     1643590 | NS      | $0.95         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       58000 | PA      | $55709.87     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53708 | PA      | $49598.62     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5005 | PA      | $5274.22      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      370000 | PA      | $342192.90    | 0.05%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAQ0<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      110000 | PA      | $75415.72     | 0.01%             | 2051-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    27822500 | OU      | $2260102.83   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.806000 18-MAR-2031 PRI                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10240000 | OU      | $-4096.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      637707 | PA      | $542904.16    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180NAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27941 | PA      | $26077.74     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |           1 | NC      | $-1062.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7707 | PA      | $7420.67      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      195000 | PA      | $187388.56    | 0.03%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |       85000 | PA      | $63864.70     | 0.01%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      129199 | PA      | $121853.30    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3942 | PA      | $3803.27      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTESCUE TREASURY PTY L                                                         | Fortescue Treasury Pty Ltd                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      168000 | PA      | $173603.30    | 0.02%             | 2032-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                       | PacifiCorp                                                                      | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      280000 | PA      | $217830.08    | 0.03%             | 2049-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                     | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |       85000 | PA      | $84268.70     | 0.01%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30235 | PA      | $27787.50     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       90000 | PA      | $61485.82     | 0.01%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.156700 17-DEC-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16000000 | OU      | $-6082.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | Bausch Health Cos Inc                                                           | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      332000 | PA      | $345286.36    | 0.05%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      152000 | PA      | $152796.02    | 0.02%             | 2033-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.674720 17-DEC-2028 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1790000 | OU      | $-5266.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |           1 | NC      | $4250.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |       54000 | PA      | $38354.53     | 0.01%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296J3K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40145 | PA      | $41159.09     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6950 | PA      | $6683.11      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26045.85     | 0.00%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |      970000 | PA      | $1017261.90   | 0.14%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      576607 | PA      | $495745.57    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153595 | PA      | $146402.40    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      179000 | PA      | $178200.68    | 0.02%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $5980.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                     | New Gold Inc                                                                    | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |      201000 | PA      | $210532.02    | 0.03%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $192.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      115000 | PA      | $114490.07    | 0.02%             | 2033-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                                          | QVC Inc                                                                         | CUSIP: 747262BA0<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |      252000 | PA      | $136201.10    | 0.02%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41621 | PA      | $41310.66     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40059 | PA      | $38960.87     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                           | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |      140000 | PA      | $140056.81    | 0.02%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: PLN 4.062000 18-MAR-2031 WIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8880000 | OU      | $7214.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      329505 | PA      | $315389.20    | 0.04%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313268 | PA      | $289646.55    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-2053.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50262.92     | 0.01%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4480 | PA      | $4677.23      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      685000 | PA      | $689011.15    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      748441 | PA      | $767657.12    | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          40 | NC      | $-8494.45     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      720000 | PA      | $661407.22    | 0.09%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70082 | PA      | $65960.76     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      231429 | PA      | $212222.69    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415RPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5829 | PA      | $6043.95      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31411WXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4470 | PA      | $4509.20      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297GD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98671 | PA      | $101135.82    | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.593290 03-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      350000 | OU      | $-1148.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36658 | PA      | $35615.39     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AG9<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |      200000 | PA      | $191402.76    | 0.03%             | 2054-02-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       90000 | PA      | $68188.80     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.271530 18-MAR-2031 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4400000 | OU      | $-3784.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      181457 | PA      | $176406.26    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82862.62     | 0.01%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                      | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       17000 | PA      | $15492.53     | 0.00%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4930 | PA      | $5048.43      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417Y7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19844 | PA      | $19507.42     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1546182.05   | 0.21%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES                                   | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |      100000 | NS      | $100000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.774350 17-DEC-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5830000 | OU      | $23888.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      535000 | PA      | $498060.89    | 0.07%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XS6Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17489 | PA      | $17716.61     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |       67500 | PA      | $68242.50     | 0.01%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |       65000 | PA      | $67412.79     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9231 | PA      | $9035.33      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $474.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3700 | PA      | $3654.78      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QL4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7218 | PA      | $6956.61      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9457 | PA      | $9134.95      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416YLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46476 | PA      | $47597.42     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.814780 18-MAR-2031 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    21600000 | OU      | $-21080.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIVE POINT OPERATING CO                                                          | Five Point Operating Co LP                                                      | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $30443.14     | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1044977 | PA      | $1064071.48   | 0.14%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150189 | PA      | $144536.71    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1040 | PA      | $1082.69      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1740000 | PA      | $1713657.53   | 0.23%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      126889 | PA      | $122392.58    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                 | ERP Operating LP                                                                | CUSIP: 26884ABP7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              |  | US        |      330000 | PA      | $326096.58    | 0.04%             | 2034-09-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |           1 | NC      | $1835.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       75000 | PA      | $68195.45     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      720000 | PA      | $729662.35    | 0.10%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      205000 | PA      | $206636.20    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12817 | PA      | $12815.74     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                          | CUSIP: 776696AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |      665000 | PA      | $671332.53    | 0.09%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                                | Eversource Energy                                                               | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      200000 | PA      | $195781.81    | 0.03%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1300000 | PA      | $1260815.21   | 0.17%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $-13673.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10062 | PA      | $9406.18      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | Nordstrom Inc                                                                   | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      227000 | PA      | $213593.81    | 0.03%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |      385000 | PA      | $360555.67    | 0.05%             | 2028-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98079.99     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       75000 | PA      | $78446.17     | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                             | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |      150000 | PA      | $130085.00    | 0.02%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAJ0<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     1070000 | PA      | $1102497.42   | 0.15%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      535000 | PA      | $556121.52    | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37435 | PA      | $36759.78     | 0.01%             | 2034-09-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       85000 | PA      | $77881.25     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                            | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      110000 | PA      | $116839.47    | 0.02%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      360000 | PA      | $360924.72    | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs International                                                      | PURCHASED PLN / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PL        |           1 | NC      | $-1475.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18271.10     | 0.00%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.45.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     7110000 | OU      | $163668.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMVZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59840 | PA      | $56537.83     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                     | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      222500 | PA      | $225202.25    | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAU6<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89722.66     | 0.01%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1973.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                           | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      550000 | PA      | $496816.86    | 0.07%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      116000 | PA      | $115677.51    | 0.02%             | 2029-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                 | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |     2160000 | PA      | $2215049.00   | 0.30%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      340000 | PA      | $262565.00    | 0.04%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Simon Property Group LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      700000 | PA      | $593199.99    | 0.08%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      110000 | PA      | $76263.01     | 0.01%             | 2049-12-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      140000 | PA      | $144634.98    | 0.02%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                   | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      220000 | PA      | $222404.49    | 0.03%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10864 | PA      | $11264.24     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0XW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92699 | PA      | $94636.52     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |       95000 | PA      | $98438.72     | 0.01%             | 2032-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8LM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199831 | PA      | $183739.23    | 0.03%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                | Ralph Lauren Corp                                                               | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1229420.33   | 0.17%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      308793 | PA      | $280278.44    | 0.04%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                  | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |       87000 | PA      | $64900.36     | 0.01%             | 2040-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                                                | Tutor Perini Corp                                                               | CUSIP: 901109AG3<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |      184000 | PA      | $206074.78    | 0.03%             | 2029-04-30      | Fixed         | 11.88%                | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KR5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      603908 | PA      | $629739.92    | 0.09%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         798 | PA      | $805.12       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CL9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      700000 | PA      | $644898.28    | 0.09%             | 2042-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98333 | PA      | $91874.67     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     1125000 | PA      | $1138992.06   | 0.16%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163345 | PA      | $152584.34    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                            | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |       40000 | PA      | $41926.00     | 0.01%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                          | Royal Caribbean Cruises Ltd                                                     | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      250000 | PA      | $251457.93    | 0.03%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.44.V1)                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6230000 | OU      | $158682.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              |  | US        |      161000 | PA      | $155965.16    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                          | Kodiak Gas Services LLC                                                         | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50908.79     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.476040 17-DEC-2028 CAD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9910000 | OU      | $16046.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15426.28     | 0.00%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      370000 | PA      | $271115.42    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5898 | PA      | $5808.01      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      716104 | PA      | $616796.06    | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.999720 15-AUG-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      840000 | OU      | $-2037.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      881598 | PA      | $759613.62    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YPAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36321 | PA      | $32792.86     | 0.00%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90295 | PA      | $92569.88     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2896034 | PA      | $2364753.08   | 0.32%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         533 | PA      | $550.95       | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      150014 | PA      | $148402.70    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8206 | PA      | $8464.04      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      350000 | PA      | $358052.17    | 0.05%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19831 | PA      | $19028.46     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.587850 17-DEC-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      860000 | OU      | $-10511.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52560 | PA      | $48891.34     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ITHACA ENERGY NORTH                                                              | Ithaca Energy North Sea PLC                                                     | CUSIP: 46567TAC8<br>LEI: 213800BMMUN3AKWBIO91 | Long             | DBT              | CORP              | GB        |      350000 | PA      | $365668.10    | 0.05%             | 2029-10-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                     | CUSIP: 713448FT0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      365000 | PA      | $327532.90    | 0.04%             | 2053-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                              | Fifth Third Bancorp                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |      140000 | PA      | $147513.09    | 0.02%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |           1 | NC      | $104.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49165 | PA      | $49359.14     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64184.92     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51535 | PA      | $49719.62     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CZK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CZ        |           1 | NC      | $142.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3079 | PA      | $2953.80      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54014 | PA      | $52613.04     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7156 | PA      | $7067.28      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5252 | PA      | $4756.79      | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |       50000 | PA      | $52387.48     | 0.01%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                  | AstraZeneca PLC                                                                 | CUSIP: 046353AM0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $178343.92    | 0.02%             | 2045-11-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14919 | PA      | $14401.76     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448DA6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132494.73    | 0.02%             | 2054-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      790000 | PA      | $812186.23    | 0.11%             | 2028-03-02      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      140000 | PA      | $129076.21    | 0.02%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WX90<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      200000 | PA      | $165650.76    | 0.02%             | 2048-09-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36740 | PA      | $35557.81     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288BLZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2513 | PA      | $2600.59      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAQ5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      275000 | PA      | $276451.71    | 0.04%             | 2036-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      390881 | PA      | $336672.83    | 0.05%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      178930 | PA      | $167420.41    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      175000 | PA      | $186949.64    | 0.03%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35346 | PA      | $36966.45     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                                                           | Blackstone Mortgage Trust Inc                                                   | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              |  | US        |      169000 | PA      | $178307.34    | 0.02%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BC5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      180000 | PA      | $181586.18    | 0.02%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ABZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23980 | PA      | $24030.21     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      625000 | PA      | $647842.09    | 0.09%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAJ5<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1206226.90   | 0.16%             | 2034-06-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                            | Arrow Electronics Inc                                                           | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |      880000 | PA      | $922288.00    | 0.13%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245885 | PA      | $232157.03    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560BE4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39535.12     | 0.01%             | 2056-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      889886 | PA      | $757591.24    | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      360283 | PA      | $348732.69    | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133A9NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      327992 | PA      | $267186.20    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |           1 | NC      | $-202.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51727 | PA      | $46931.25     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                  | CUSIP: 718547AW2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |      120000 | PA      | $114963.58    | 0.02%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      195000 | PA      | $177111.49    | 0.02%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40357 | PA      | $36596.08     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      206000 | PA      | $217831.61    | 0.03%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6484 | PA      | $6538.90      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15418 | PA      | $16181.38     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7317 | PA      | $6612.56      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XJH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68949 | PA      | $65012.14     | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                           | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |      271000 | PA      | $177700.95    | 0.02%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      946016 | PA      | $894961.25    | 0.12%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      158997 | PA      | $152118.07    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      130000 | PA      | $112111.63    | 0.02%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      800000 | PA      | $789745.92    | 0.11%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      515785 | PA      | $462228.67    | 0.06%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275166 | PA      | $259942.13    | 0.04%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46864 | PA      | $43447.69     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31450 | PA      | $31283.71     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         142 | NC      | $324812.08    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      104502 | PA      | $100603.99    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      235000 | PA      | $238295.69    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36210BBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3540 | PA      | $3687.73      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2024-2                                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      790000 | PA      | $793198.39    | 0.11%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                                         | Aston Martin Capital Holdings Ltd                                               | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      265000 | PA      | $259449.79    | 0.04%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72919 | PA      | $68765.11     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      730000 | PA      | $747734.09    | 0.10%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      308000 | PA      | $326222.05    | 0.04%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |       30000 | PA      | $19816.60     | 0.00%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      283000 | PA      | $290740.05    | 0.04%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       55000 | PA      | $57284.93     | 0.01%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.611000 01-AUG-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      660000 | OU      | $-2290.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      111000 | PA      | $106920.32    | 0.01%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $4085.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.855220 18-MAR-2031 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3280000 | OU      | $-607.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1364418.95   | 0.19%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461937 | PA      | $472524.81    | 0.06%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16630 | PA      | $14765.38     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      173129 | PA      | $161902.96    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1975000 | PA      | $1976694.02   | 0.27%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |      425000 | PA      | $405765.37    | 0.06%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142J6BL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      957200 | PA      | $990118.44    | 0.13%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $6553.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |       41000 | PA      | $41409.25     | 0.01%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |       93000 | PA      | $97558.12     | 0.01%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.467500 17-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      340000 | OU      | $2831.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BL3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      115000 | PA      | $117801.02    | 0.02%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GF5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5017 | PA      | $5026.55      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2932 | PA      | $2956.68      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       93373 | PA      | $84504.67     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4312 | PA      | $4267.90      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      435000 | PA      | $426923.44    | 0.06%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36294UU67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3851 | PA      | $3599.85      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                       | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |      325000 | PA      | $327056.38    | 0.04%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |      150000 | PA      | $159672.95    | 0.02%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |           1 | NC      | $2466.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $376.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89038 | PA      | $83000.35     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                            | Freedom Mortgage Corp                                                           | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |       81000 | PA      | $90358.90     | 0.01%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | National Grid PLC                                                               | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |       90000 | PA      | $93345.42     | 0.01%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                   | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      229000 | PA      | $236696.23    | 0.03%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940EP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6458 | PA      | $6492.82      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      900000 | PA      | $714718.65    | 0.10%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE                                                         | CVR Partners LP / CVR Nitrogen Finance Corp                                     | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      193000 | PA      | $192687.51    | 0.03%             | 2028-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |       85000 | PA      | $77229.94     | 0.01%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AH0<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |      223000 | PA      | $232758.48    | 0.03%             | 2028-12-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      180000 | PA      | $134839.37    | 0.02%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295NJW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2492 | PA      | $2545.52      | 0.00%             | 2032-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.100870 17-DEC-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8700000 | OU      | $-14341.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40711 | PA      | $37642.46     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296MF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10498 | PA      | $10655.08     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.881320 17-DEC-2055 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7806588 | OU      | $47110.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSURED GUARANTY US HLDG                                                         | Assured Guaranty US Holdings Inc                                                | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |      335000 | PA      | $352198.74    | 0.05%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22340 | PA      | $21432.94     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |       90000 | PA      | $84408.61     | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NiSource Inc                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      130000 | PA      | $103348.98    | 0.01%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      199234 | PA      | $205649.23    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82007.28     | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16463 | PA      | $17076.37     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                              | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | JP        |           1 | NC      | $-31.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CZK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CZ        |           1 | NC      | $-1372.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2671 | PA      | $2729.49      | 0.00%             | 2043-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.539700 19-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      690000 | OU      | $955.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1508035 | PA      | $1283309.41   | 0.17%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBH0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      125000 | PA      | $124546.97    | 0.02%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $123853.68    | 0.02%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194907 | PA      | $192525.03    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                         | RenaissanceRe Holdings Ltd                                                      | CUSIP: 75968NAE1<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |     1000000 | PA      | $1049588.98   | 0.14%             | 2033-06-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| FTAI AVIATION INVESTORS                                                          | FTAI Aviation Investors LLC                                                     | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      176000 | PA      | $184187.87    | 0.03%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      700000 | PA      | $659653.72    | 0.09%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      863840 | PA      | $665222.67    | 0.09%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AN7<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |      105000 | PA      | $105526.47    | 0.01%             | 2030-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      233000 | PA      | $204380.19    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      965000 | PA      | $712220.21    | 0.10%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100037 | PA      | $90097.25     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45430 | PA      | $44145.39     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AP0<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      355000 | PA      | $356359.72    | 0.05%             | 2027-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |     3100000 | PA      | $3434198.91   | 0.47%             | 2033-08-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                     | ams-OSRAM AG                                                                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |      195000 | PA      | $209055.99    | 0.03%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      388356 | PA      | $400003.58    | 0.05%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                                      | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      145000 | PA      | $99618.16     | 0.01%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |       35000 | PA      | $36400.05     | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317684 | PA      | $282396.56    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128K8FX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7510 | PA      | $7695.11      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33189 | PA      | $34425.69     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CLP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $1229.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61031 | PA      | $64373.95     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      415000 | PA      | $361953.97    | 0.05%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |      750000 | PA      | $770926.42    | 0.10%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3250000 | PA      | $3311319.70   | 0.45%             | 2041-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.561040 22-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1730000 | OU      | $-890.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1374000 | PA      | $1276899.24   | 0.17%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       31000 | PA      | $33177.26     | 0.00%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8347 | PA      | $7674.58      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     1056000 | PA      | $1053503.69   | 0.14%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      186434 | PA      | $179414.60    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80053 | PA      | $72661.24     | 0.01%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.920000 17-DEC-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  4999000000 | OU      | $-69642.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |      305000 | PA      | $286254.50    | 0.04%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      415000 | PA      | $421113.99    | 0.06%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3653125.00   | 0.50%             | 2051-01-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |      800000 | PA      | $722003.89    | 0.10%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16399 | PA      | $15799.77     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CX2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      200000 | PA      | $130900.00    | 0.02%             | 2071-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.060090 17-DEC-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    47640000 | OU      | $-122670.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      350000 | PA      | $307370.41    | 0.04%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167720 | PA      | $158356.21    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       10000 | PA      | $11091.91     | 0.00%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      228329 | PA      | $241080.54    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      125000 | PA      | $124615.48    | 0.02%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                          | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |      150000 | PA      | $151851.89    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      425000 | PA      | $376408.82    | 0.05%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NZD 3.250000 18-MAR-2031 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1060000 | OU      | $629.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                                             | Amkor Technology Inc                                                            | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |      160000 | PA      | $161629.34    | 0.02%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      182170 | PA      | $169549.82    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      140000 | PA      | $114639.53    | 0.02%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      383000 | PA      | $259260.88    | 0.04%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10383 | PA      | $10743.03     | 0.00%             | 2041-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                          | Kodiak Gas Services LLC                                                         | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51337.81     | 0.01%             | 2035-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28565 | PA      | $25820.39     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20673 | PA      | $19986.28     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      355000 | PA      | $297242.41    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16073 | PA      | $16723.80     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EHS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3997 | PA      | $4125.76      | 0.00%             | 2042-01-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BP4<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     1000000 | PA      | $1015218.64   | 0.14%             | 2030-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KHUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5930695 | PA      | $4848548.85   | 0.66%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $10327.99     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                        | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      104000 | PA      | $110051.97    | 0.01%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.646850 17-DEC-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    42760000 | OU      | $91234.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A82U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23291 | PA      | $23256.42     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20572.13     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15968 | PA      | $15011.85     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AUZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      528484 | PA      | $521269.39    | 0.07%             | 2026-09-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2267.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389MY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13587 | PA      | $13869.74     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      210000 | PA      | $167647.20    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      185000 | PA      | $195388.48    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |           1 | NC      | $-2003.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $1654.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1401083.07   | 0.19%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.699740 17-DEC-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6990000 | OU      | $5581.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      350000 | PA      | $347775.54    | 0.05%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25021 | PA      | $25376.78     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      115000 | PA      | $118205.17    | 0.02%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23491 | PA      | $22663.47     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5794 | PA      | $5844.68      | 0.00%             | 2032-10-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      130000 | PA      | $133240.58    | 0.02%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9958 | PA      | $9447.70      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27863 | PA      | $28990.42     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                            | AECOM                                                                           | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |      180000 | PA      | $184030.20    | 0.03%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                 | Markel Group Inc                                                                | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |      485000 | PA      | $494875.12    | 0.07%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      115000 | PA      | $98119.42     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |       55000 | PA      | $36116.23     | 0.00%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                         | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      500000 | PA      | $501902.85    | 0.07%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BN1<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      755000 | PA      | $765427.53    | 0.10%             | 2035-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| GREENFIRE RESOURCES LTD                                                          | Greenfire Resources Ltd                                                         | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |      164000 | PA      | $174323.96    | 0.02%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      225000 | PA      | $220360.71    | 0.03%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59956 | PA      | $64049.93     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | Patrick Industries Inc                                                          | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202921.60    | 0.03%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |       91000 | PA      | $98213.75     | 0.01%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KB5<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |      120000 | PA      | $79779.68     | 0.01%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      500000 | PA      | $533867.80    | 0.07%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                           | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |       60000 | PA      | $41809.99     | 0.01%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      154840 | PA      | $157381.42    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |           1 | NC      | $-515.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9693 | PA      | $10074.76     | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                           | American International Group Inc                                                | CUSIP: 026874DW4<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      470000 | PA      | $480767.37    | 0.07%             | 2030-05-07      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |      158000 | PA      | $164008.20    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    32848789 | OU      | $2806.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.970970 18-MAR-2031 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4940000 | OU      | $-1407.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2470000 | PA      | $2432178.13   | 0.33%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Union Electric Co                                                                | Union Electric Co                                                               | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      230000 | PA      | $184784.23    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82718 | PA      | $82338.77     | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      576994 | PA      | $494189.21    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1681612 | PA      | $1373919.10   | 0.19%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      268000 | PA      | $282649.95    | 0.04%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      270000 | PA      | $271338.75    | 0.04%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |     2500000 | PA      | $2783600.00   | 0.38%             | 2033-10-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38415 | PA      | $38970.04     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4042000 | PA      | $4139250.52   | 0.56%             | 2041-12-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25820.90     | 0.00%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 2                                                                   | EDCON HOLDCO 2                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |      163560 | NS      | $0.09         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67460 | PA      | $62283.43     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                               | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      279000 | PA      | $229522.62    | 0.03%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FFW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19862 | PA      | $20665.58     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1278 | PA      | $1338.26      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              |  | US        |       55000 | PA      | $55934.45     | 0.01%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2959846 | PA      | $2915901.29   | 0.40%             | 2028-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20778.74     | 0.00%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.827500 18-MAR-2031 HKD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6400000 | OU      | $4970.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AQAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6440 | PA      | $6262.10      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53136 | PA      | $48183.98     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146160 | PA      | $137127.50    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $1270.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX UNIV REVENUES                                                  | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |      105000 | PA      | $65557.69     | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1199.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      134000 | PA      | $139755.81    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUYA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1069 | PA      | $1064.24      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3327 | PA      | $3330.56      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      710000 | PA      | $667161.42    | 0.09%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                        | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |       54000 | PA      | $33272.41     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      535000 | PA      | $338655.00    | 0.05%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| WAKEMED                                                                          | WakeMed                                                                         | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |       81000 | PA      | $55710.12     | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: —       |
| KOHL'S CORPORATION                                                               | Kohl's Corp                                                                     | CUSIP: 500255AY0<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |      160000 | PA      | $173973.76    | 0.02%             | 2030-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      433000 | PA      | $403068.84    | 0.05%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      283000 | PA      | $296466.53    | 0.04%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                     | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |       95000 | PA      | $91314.68     | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88288 | PA      | $80768.80     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RPM International Inc                                                            | RPM International Inc                                                           | CUSIP: 749685AV5<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104212.70    | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1130121 | PA      | $961721.41    | 0.13%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      696736 | PA      | $594932.08    | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.950000 15-MAY-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      270000 | OU      | $-525.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-690.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      267347 | PA      | $264080.06    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409GKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6305 | PA      | $6644.58      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                         | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      550000 | PA      | $542850.41    | 0.07%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82494 | PA      | $73322.14     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13597 | PA      | $12291.97     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50760.76     | 0.01%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.113910 17-DEC-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1680000 | OU      | $10504.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      252000 | PA      | $253113.24    | 0.03%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                             | Appalachian Power Co                                                            | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |       90000 | PA      | $88712.88     | 0.01%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      482303 | PA      | $395135.72    | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68430.92     | 0.01%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77738 | PA      | $75164.72     | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $897.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      160000 | PA      | $147676.06    | 0.02%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NZD 3.443000 18-MAR-2031 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1460000 | OU      | $8355.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED EUR / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |           1 | NC      | $83.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AC7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      215000 | PA      | $227526.51    | 0.03%             | 2032-07-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9299 | PA      | $8742.00      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                               | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |      185000 | PA      | $185129.83    | 0.03%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.590800 28-AUG-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1040000 | OU      | $-3142.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400SHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20885 | PA      | $21327.89     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78975.16     | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAC6<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |       90000 | PA      | $92137.50     | 0.01%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |      220000 | PA      | $233764.52    | 0.03%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      120000 | PA      | $115782.93    | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      433813 | PA      | $374660.81    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      105000 | PA      | $105873.92    | 0.01%             | 2034-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16363 | PA      | $16584.26     | 0.00%             | 2035-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      355000 | PA      | $366283.68    | 0.05%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         127 | NC      | $-6134.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78476 | PA      | $74581.78     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13035 | PA      | $11779.90     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5305 | PA      | $5432.68      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-44.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      150000 | PA      | $151093.43    | 0.02%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63769.22     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      444741 | PA      | $377240.67    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      957477 | PA      | $785179.25    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      960000 | PA      | $993840.91    | 0.14%             | 2030-07-26      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      173000 | PA      | $150510.00    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.463500 18-MAR-2031 SOR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      610000 | OU      | $-2552.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                              | CUSIP: 756109CF9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      630000 | PA      | $641954.36    | 0.09%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11544 | PA      | $10957.19     | 0.00%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5146 | PA      | $4810.34      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |       77000 | PA      | $73415.59     | 0.01%             | 2052-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1172221 | PA      | $1059339.64   | 0.14%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNJK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6209 | PA      | $6155.21      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168528 | PA      | $158980.86    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51899 | PA      | $46896.72     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    48381000 | PA      | $48808113.27  | 6.64%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.981200 15-SEP-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      280000 | OU      | $-451.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12588 | PA      | $12106.99     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      630000 | PA      | $627308.84    | 0.09%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |       35000 | PA      | $35703.01     | 0.00%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7875 | PA      | $7816.33      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      413218 | PA      | $402833.40    | 0.05%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED SEK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SE        |           1 | NC      | $-2100.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53881 | PA      | $49388.96     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      293626 | PA      | $249789.20    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      351000 | PA      | $324941.02    | 0.04%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                    | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50526 | PA      | $49945.87     | 0.01%             | 2035-02-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |      170000 | PA      | $148268.51    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60301 | PA      | $56767.06     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio Inc                                                             | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      100000 | PA      | $83600.04     | 0.01%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      257020 | PA      | $236972.24    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75070 | PA      | $70192.57     | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                     | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20496.68     | 0.00%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7910 | PA      | $7424.51      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16055 | PA      | $16724.52     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22016 | PA      | $20224.25     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA OIL GAS/MAG FIN                                                         | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp              | CUSIP: 559665AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      296000 | PA      | $303759.64    | 0.04%             | 2032-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |           1 | NC      | $-10108.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3268 | PA      | $3160.35      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55148.21     | 0.01%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                             | Noble Finance II LLC                                                            | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      261000 | PA      | $270150.40    | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87326 | PA      | $81243.82     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      665000 | PA      | $673792.33    | 0.09%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNRA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31736 | PA      | $30903.04     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63384 | PA      | $59896.54     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       60000 | PA      | $37501.85     | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                         | Champion Iron Canada Inc                                                        | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      100000 | PA      | $104553.30    | 0.01%             | 2032-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |       90000 | PA      | $92364.30     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61905.19     | 0.01%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 4.082500 18-MAR-2031 WIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2210000 | OU      | $1255.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5690000 | PA      | $5581727.27   | 0.76%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      100000 | PA      | $107349.50    | 0.01%             | 2035-07-17      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER                                                           | Indiana Michigan Power Co                                                       | CUSIP: 454889AV8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50164.24     | 0.01%             | 2053-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.138500 18-MAR-2031 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10250000 | OU      | $230.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                       | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |      280000 | PA      | $271285.57    | 0.04%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      200000 | PA      | $170538.32    | 0.02%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $44053.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      455013 | PA      | $407103.77    | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                        | CUSIP: 26442UAS3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51448.01     | 0.01%             | 2034-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87924 | PA      | $91275.47     | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                     | Assurant Inc                                                                    | CUSIP: 04621XAQ1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |      305000 | PA      | $309102.02    | 0.04%             | 2036-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5LD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7615 | PA      | $7914.97      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-375.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         363 | PA      | $374.16       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      412500 | PA      | $426270.77    | 0.06%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      202439 | PA      | $193681.22    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAM2<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24339.66     | 0.00%             | 2041-10-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                                               | Zegona Finance PLC                                                              | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $212900.00    | 0.03%             | 2029-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14663 | PA      | $15249.01     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40232.83     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      164558 | PA      | $160511.74    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $6456.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |      225000 | PA      | $231125.56    | 0.03%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55592 | PA      | $57663.44     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                   | CUSIP: 06654DAC1<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |      119000 | PA      | $81071.88     | 0.01%             | 2050-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5094 | PA      | $5103.22      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22277 | PA      | $20679.74     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      190000 | PA      | $129619.13    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149065 | PA      | $144280.06    | 0.02%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48595 | PA      | $43539.00     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.094880 17-DEC-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17420000 | OU      | $95918.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14061 | PA      | $12762.40     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      427000 | PA      | $404037.87    | 0.05%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $304.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WDDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1560 | PA      | $1550.35      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $303.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1080000 | PA      | $1105070.15   | 0.15%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49584 | PA      | $47011.26     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3540000 | PA      | $3611897.40   | 0.49%             | 2042-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10756 | PA      | $10742.86     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                     | CUSIP: 02665WFE6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |      450000 | PA      | $459432.57    | 0.06%             | 2029-03-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300177 | PA      | $277540.96    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                                            | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |      230000 | PA      | $146003.83    | 0.02%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-4619.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      385000 | PA      | $362760.46    | 0.05%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      150000 | PA      | $173732.49    | 0.02%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138516 | PA      | $136909.73    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22360 | PA      | $22650.59     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79683 | PA      | $75490.92     | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1403823 | PA      | $1377142.59   | 0.19%             | 2028-03-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CW2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      125000 | PA      | $78352.10     | 0.01%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       67000 | PA      | $50273.41     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                                             | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1064997.00   | 0.14%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                                                           | Brookfield Capital Finance LLC                                                  | CUSIP: 11259NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $156136.09    | 0.02%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      605000 | PA      | $449786.21    | 0.06%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCM0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       70000 | PA      | $72331.16     | 0.01%             | 2035-01-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.572110 18-MAR-2031 CAD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      540000 | OU      | $73.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |           1 | NC      | $-890.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      120000 | PA      | $124951.44    | 0.02%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |      339000 | PA      | $254152.83    | 0.03%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49310.39     | 0.01%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297FFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53785 | PA      | $54980.37     | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21896 | PA      | $20069.89     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                        | Enpro Inc                                                                       | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      152000 | PA      | $155350.59    | 0.02%             | 2033-06-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| IDAHO POWER CO                                                                   | Idaho Power Co                                                                  | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |       70000 | PA      | $71852.64     | 0.01%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NS0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      330000 | PA      | $325315.36    | 0.04%             | 2029-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6847633 | OU      | $585.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131818 | PA      | $128204.75    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       82538 | PA      | $74938.34     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      325000 | PA      | $330529.41    | 0.04%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.940000 15-MAY-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      320000 | OU      | $-271.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-811.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1546872 | PA      | $1267098.82   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                                                             | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    20778577 | NS      | $20788966.35  | 2.83%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51123.07     | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      170000 | PA      | $163656.03    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      358000 | PA      | $379937.82    | 0.05%             | 2029-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143901 | PA      | $135322.50    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413YMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4318 | PA      | $4528.42      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      630000 | PA      | $693315.00    | 0.09%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14388 | PA      | $13746.48     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297P2C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31368 | PA      | $32146.89     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18277 | PA      | $18710.65     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |           1 | NC      | $192.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBE9<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |      157000 | PA      | $102189.26    | 0.01%             | 2050-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1073000 | PA      | $946848.46    | 0.13%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GARRETT MOTION HLD/SARL                                                          | Garrett Motion Holdings Inc / Garrett LX I Sarl                                 | CUSIP: 366504AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      259000 | PA      | $271691.78    | 0.04%             | 2032-05-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ATLANTICUS HOLDINGS CORP                                                         | Atlanticus Holdings Corp                                                        | CUSIP: 04914AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      315000 | PA      | $312992.22    | 0.04%             | 2030-09-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.631740 17-DEC-2035 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17883152 | OU      | $-127232.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                   | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |      620000 | PA      | $632740.81    | 0.09%             | 2034-12-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| NORTHWESTERN UNIVERSITY                                                          | Northwestern University                                                         | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |      266000 | PA      | $167573.57    | 0.02%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: —       |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BR9<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104229.10    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      772511 | PA      | $657155.94    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52139 | PA      | $53554.33     | 0.01%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $211079.00    | 0.03%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.818000 18-MAR-2031 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3830000 | OU      | $-15932.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $17402.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PYAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77015 | PA      | $76166.82     | 0.01%             | 2027-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198557.45    | 0.03%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                   | Gray Media Inc                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20432.76     | 0.00%             | 2032-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150865 | PA      | $142508.30    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      221000 | PA      | $224154.11    | 0.03%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| HERTZ CORP/THE                                                                   | Hertz Corp/The                                                                  | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |       63000 | PA      | $66789.26     | 0.01%             | 2029-07-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      142000 | PA      | $136918.91    | 0.02%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $8849.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago O'Hare International Airport                                             | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                    | CUSIP: 167593H62<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      110000 | PA      | $96499.36     | 0.01%             | 2049-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: —       |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                               | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      500000 | PA      | $533317.88    | 0.07%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.098270 17-DEC-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5010000 | OU      | $-39810.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.140750 18-MAR-2031 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15890000 | OU      | $294.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $1818.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      180000 | PA      | $199996.69    | 0.03%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27136 | PA      | $26210.20     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139392 | PA      | $134507.31    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      428141 | PA      | $451243.77    | 0.06%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -13 | NC      | $1396.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AS9<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |       90000 | PA      | $78658.11     | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      409000 | PA      | $415514.77    | 0.06%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      880000 | PA      | $842847.39    | 0.11%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.378750 18-MAR-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      670000 | OU      | $-473.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58852 | PA      | $53209.06     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      576338 | PA      | $472471.13    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |           1 | NC      | $-1265.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       80000 | PA      | $75744.13     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48602 | PA      | $47117.63     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      380000 | PA      | $394194.94    | 0.05%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1595 | PA      | $1533.93      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                           | CACI International Inc                                                          | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |      204000 | PA      | $210436.33    | 0.03%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      190000 | PA      | $195902.64    | 0.03%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7MH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17271 | PA      | $17990.49     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | Comcast Corp                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196010.95    | 0.03%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22672 | PA      | $22998.96     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              |  | US        |      221000 | PA      | $221577.61    | 0.03%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400HVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2848 | PA      | $2883.80      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |           1 | NC      | $5498.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72366 | PA      | $65574.64     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                             | Seadrill Finance Ltd                                                            | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |      150000 | PA      | $155739.60    | 0.02%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      421860 | PA      | $379279.79    | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57534 | PA      | $56795.51     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      306902 | PA      | $289921.91    | 0.04%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables A LLC                                            | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      886868 | PA      | $904298.38    | 0.12%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      105000 | PA      | $91104.07     | 0.01%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33076 | PA      | $34395.13     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      735000 | PA      | $758155.20    | 0.10%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15563 | PA      | $16212.21     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.134250 17-DEC-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3170000 | OU      | $12840.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                          | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       60000 | PA      | $62551.20     | 0.01%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1375000 | PA      | $1136285.37   | 0.15%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J2SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8120 | PA      | $7862.78      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240WAA7<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      120000 | PA      | $119680.64    | 0.02%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |       72000 | PA      | $63049.61     | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                                                  | WW Grainger Inc                                                                 | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |      880000 | PA      | $869623.79    | 0.12%             | 2034-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                         | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1424504.86   | 0.19%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                                             | PURCHASED EUR / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |           1 | NC      | $428.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43145 | PA      | $44241.88     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123080 | PA      | $116477.20    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31387WTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         211 | PA      | $219.04       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      222363 | PA      | $219969.05    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10011 | PA      | $9406.50      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3129332E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21945 | PA      | $22125.45     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31414BWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12475 | PA      | $12944.72     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74914 | PA      | $70246.69     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3444553 | OU      | $294.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      147447 | PA      | $141660.95    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      115901 | PA      | $118759.37    | 0.02%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      910000 | PA      | $925391.59    | 0.13%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1341 | PA      | $1349.97      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                  | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       67000 | PA      | $75806.83     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      860405 | PA      | $861932.35    | 0.12%             | 2028-11-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.062500 18-MAR-2031 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10190000 | OU      | $-1609.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112123 | PA      | $102913.65    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55547 | PA      | $53096.35     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64597 | PA      | $58196.79     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5608 | PA      | $5576.27      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      663295 | PA      | $639580.52    | 0.09%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          32 | PA      | $32.63        | 0.00%             | 2042-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076DG4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29636.94     | 0.00%             | 2064-06-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      927000 | PA      | $925364.68    | 0.13%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28444 | PA      | $27473.99     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53041 | PA      | $56969.24     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      500000 | PA      | $518619.02    | 0.07%             | 2035-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |      100000 | PA      | $68072.46     | 0.01%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      600000 | PA      | $618504.16    | 0.08%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      360000 | PA      | $339579.98    | 0.05%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                                                | Seagate Data Storage Technology Pte Ltd                                         | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |       70000 | PA      | $71219.12     | 0.01%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3725000 | PA      | $3752722.49   | 0.51%             | 2048-10-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                  | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       70000 | PA      | $46178.32     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      119636 | PA      | $111654.49    | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $3132.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      223038 | PA      | $199485.06    | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |       25000 | PA      | $28255.64     | 0.00%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $3049080.90   | 0.42%             | 2042-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79017 | PA      | $72403.47     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      200000 | PA      | $146400.00    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13682269 | OU      | $1168.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96404.76     | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78298.78     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      135000 | PA      | $140148.47    | 0.02%             | 2035-02-06      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                                         | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1659375.00   | 0.23%             | 2050-11-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      146000 | PA      | $142502.18    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      298142 | PA      | $267083.20    | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      152941 | PA      | $138386.54    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60472 | PA      | $61930.43     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50997 | PA      | $50677.13     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154138 | PA      | $148209.32    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                                          | Macy's Retail Holdings LLC                                                      | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       85000 | PA      | $88631.54     | 0.01%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |      500000 | PA      | $506062.00    | 0.07%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35486 | PA      | $35167.12     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101558 | PA      | $102676.91    | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177YC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3217 | PA      | $3015.04      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       38000 | PA      | $28601.64     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25255 | PA      | $23617.84     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      209148 | PA      | $219714.39    | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      333000 | PA      | $347267.39    | 0.05%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407SPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18923 | PA      | $19689.54     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      217854 | PA      | $203112.20    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $-822.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y4PH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199260 | PA      | $193056.27    | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18880.23     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      153189 | PA      | $146180.73    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      152000 | PA      | $150258.34    | 0.02%             | 2026-07-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                                 | StoneX Group Inc                                                                | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |      322000 | PA      | $338617.78    | 0.05%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.574010 11-JUL-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1810000 | OU      | $-1143.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NOK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $134.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      172798 | PA      | $163189.51    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30212 | PA      | $29316.52     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      200000 | PA      | $134575.00    | 0.02%             | 2045-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                         | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      135000 | PA      | $137983.32    | 0.02%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |     4150000 | PA      | $4372712.24   | 0.60%             | 2042-03-25      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.549200 18-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      340000 | OU      | $190.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      215690 | PA      | $225658.54    | 0.03%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $2644.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6802 | PA      | $6966.10      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.426330 18-MAR-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      400000 | OU      | $-308.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9120 | PA      | $9008.53      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      845000 | PA      | $676754.64    | 0.09%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                   | TR Finance LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |      800000 | PA      | $794330.64    | 0.11%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      942243 | PA      | $966395.22    | 0.13%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALDWIN INSUR GRP/FIN                                                            | Baldwin Insurance Group Holdings LLC / Baldwin Insurance Group Holdings Finance | CUSIP: 05825XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      224000 | PA      | $232523.20    | 0.03%             | 2031-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63154 | PA      | $65720.97     | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107351 | PA      | $97016.37     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198840 | PA      | $179691.33    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                                   | Wynn Macau Ltd                                                                  | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $202740.00    | 0.03%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12166 | PA      | $12050.06     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14912 | PA      | $13969.55     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.639490 17-DEC-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1630000 | OU      | $-1698.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219358 | PA      | $216815.06    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288DKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1780 | PA      | $1826.79      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                                                         | CSX Corp                                                                        | CUSIP: 126408HE6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      800000 | PA      | $787610.10    | 0.11%             | 2026-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                           | Marvell Technology Inc                                                          | CUSIP: 573874AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       90000 | PA      | $96561.92     | 0.01%             | 2033-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                               | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      470000 | PA      | $473338.94    | 0.06%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |           1 | NC      | $3985.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525000 | PA      | $530213.57    | 0.07%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292HK94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         338 | PA      | $351.41       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $2091.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      260000 | PA      | $267272.49    | 0.04%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HY2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |       55000 | PA      | $50460.07     | 0.01%             | 2055-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2429827 | PA      | $1868152.40   | 0.25%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CBD6<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |      680000 | PA      | $726498.94    | 0.10%             | 2050-12-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.224150 15-AUG-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      500000 | OU      | $-39.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53797 | PA      | $51835.12     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      442327 | PA      | $453467.40    | 0.06%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                            | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      132000 | PA      | $137696.20    | 0.02%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | HU        |           1 | NC      | $262.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      165000 | PA      | $164913.01    | 0.02%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                           | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      313000 | PA      | $289686.71    | 0.04%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18954 | PA      | $19548.07     | 0.00%             | 2043-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JPLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26451 | PA      | $27110.86     | 0.00%             | 2038-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      145000 | PA      | $164094.00    | 0.02%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      192000 | PA      | $201721.15    | 0.03%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44740 | PA      | $42610.49     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15784.67     | 0.00%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L7LF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10853 | PA      | $10210.89     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |       58000 | PA      | $37469.30     | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12792 | PA      | $12298.67     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1690000 | PA      | $1697131.80   | 0.23%             | 2044-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1848192 | PA      | $1504693.29   | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42944 | PA      | $39924.68     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED CHF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $-371.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAK9<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |      196000 | PA      | $205832.93    | 0.03%             | 2029-08-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $1381.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |           1 | NC      | $31776.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      590000 | PA      | $626886.36    | 0.09%             | 2034-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                                | ONEOK Partners LP                                                               | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76869.20     | 0.01%             | 2041-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                           | Lumen Technologies Inc                                                          | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |       54000 | PA      | $54629.54     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      668056 | PA      | $568668.21    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4266 | PA      | $4366.32      | 0.00%             | 2034-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3051 | PA      | $3040.17      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    73974115 | OU      | $-6320.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      170000 | PA      | $172958.36    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      890000 | PA      | $830855.10    | 0.11%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       72000 | PA      | $44817.70     | 0.01%             | 2052-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      460000 | PA      | $480902.88    | 0.07%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                                             | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | HU        |           1 | NC      | $434.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |      670000 | PA      | $670309.77    | 0.09%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27381 | PA      | $27628.85     | 0.00%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      383774 | PA      | $383087.08    | 0.05%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35378 | PA      | $33197.62     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      124044 | PA      | $128240.41    | 0.02%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $-1026.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1021673.38   | 0.14%             | 2030-10-21      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CZK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CZ        |           1 | NC      | $-428.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                            | CUSIP: 35906ABG2<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |      351000 | PA      | $354501.23    | 0.05%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9795.62      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407CBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20640 | PA      | $21110.93     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1190000 | PA      | $1181527.44   | 0.16%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.45.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2070000 | OU      | $162707.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      420000 | PA      | $285308.05    | 0.04%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1074782 | PA      | $1026569.30   | 0.14%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 2254W0HE8<br>LEI: 549300ECVPNB3VQOQ826 | Long             | ABS-MBS          | CORP              | US        |        4510 | PA      | $2546.70      | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-19059.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       45000 | PA      | $46286.78     | 0.01%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     1625000 | PA      | $1661590.11   | 0.23%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2800000 | PA      | $2800437.50   | 0.38%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-1116.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      600000 | PA      | $613186.40    | 0.08%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SG        |           1 | NC      | $-3036.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |       10000 | PA      | $6269.39      | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      110000 | PA      | $110098.49    | 0.01%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| NOVELIS CORP                                                                     | Novelis Corp                                                                    | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |       95000 | PA      | $98512.53     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48254 | PA      | $43623.32     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $85.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43895 | PA      | $43848.28     | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      180000 | PA      | $111117.24    | 0.02%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |       50000 | PA      | $52177.92     | 0.01%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      360000 | PA      | $336187.79    | 0.05%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      340000 | PA      | $282192.30    | 0.04%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       85000 | PA      | $78640.76     | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32907 | PA      | $34677.32     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2152061.43   | 0.29%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68796 | PA      | $66965.40     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1273886 | PA      | $1271607.17   | 0.17%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77303 | PA      | $76209.63     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55035.44     | 0.01%             | 2028-09-29      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9442.72      | 0.00%             | 2053-10-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: EUR 2.395130 17-DEC-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6660000 | OU      | $4614.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Inc                                                                       | Nasdaq Inc                                                                      | CUSIP: 631103AG3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |       32000 | PA      | $31956.79     | 0.00%             | 2026-06-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418MYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31789 | PA      | $32805.05     | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      805904 | PA      | $682813.00    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      345000 | PA      | $349738.92    | 0.05%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25169 | PA      | $24202.10     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       70000 | PA      | $54495.45     | 0.01%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19751 | PA      | $19055.76     | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      522430 | PA      | $526875.47    | 0.07%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.082000 18-MAR-2031 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11420000 | OU      | $1218.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       85000 | PA      | $91709.41     | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      205000 | PA      | $218538.80    | 0.03%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      300000 | PA      | $279225.00    | 0.04%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.505000 18-MAR-2031 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 11476080000 | OU      | $-61481.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      805000 | PA      | $811837.89    | 0.11%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BKV UPSTREAM MIDSTREAM L                                                         | BKV Upstream Midstream LLC                                                      | CUSIP: 05619CAA3<br>LEI: 254900LG75NBYHBBAU18 | Long             | DBT              | CORP              | US        |      220000 | PA      | $219894.40    | 0.03%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58108 | PA      | $59612.07     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      252715 | PA      | $229245.76    | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $-1302.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55978 | PA      | $53836.36     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      140000 | PA      | $143888.41    | 0.02%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5QD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14243 | PA      | $15024.46     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      618481 | PA      | $595349.44    | 0.08%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16                | CUSIP: 46629GAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $10822.90     | 0.00%             | 2045-05-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368LWU6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $20892.06     | 0.00%             | 2028-09-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46558.07     | 0.01%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6834668 | OU      | $583.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              |  | US        |       25000 | PA      | $25408.24     | 0.00%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PH        |           1 | NC      | $-3392.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $3181890.00   | 0.43%             | 2034-01-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      180000 | PA      | $183412.25    | 0.02%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                 | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      100000 | PA      | $72815.56     | 0.01%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.091850 17-DEC-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   204400000 | OU      | $815081.85    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      270000 | PA      | $271867.31    | 0.04%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.982500 15-SEP-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      280000 | OU      | $-490.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                   | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      181000 | PA      | $179926.67    | 0.02%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NetApp Inc                                                                      | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |      713000 | PA      | $745321.30    | 0.10%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $144828.35    | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                               | CUSIP: 17275RBY7<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1033939.96   | 0.14%             | 2032-02-24      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95848 | PA      | $98308.93     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      265000 | PA      | $277847.19    | 0.04%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80641 | PA      | $78117.93     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408DQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14719 | PA      | $15054.71     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AE2<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      153574 | PA      | $124778.88    | 0.02%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $1061.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      421048 | PA      | $358406.89    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         236 | PA      | $244.74       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7S64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3753 | PA      | $3779.27      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101022 | PA      | $96250.04     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184923 | PA      | $174886.46    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-690.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3500000 | PA      | $3481167.13   | 0.47%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA US HOLDINGS CO                                                            | Pagaya US Holdings Co LLC                                                       | CUSIP: 69549FAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      287000 | PA      | $267236.81    | 0.04%             | 2030-08-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      454258 | PA      | $437739.15    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $41626.90     | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58701 | PA      | $57961.63     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      156000 | PA      | $143743.86    | 0.02%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      700000 | PA      | $712321.63    | 0.10%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1434.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7883 | PA      | $7403.50      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |           1 | NC      | $1315.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      894603 | PA      | $810722.80    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                              | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199931.24    | 0.03%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      861863 | PA      | $814477.63    | 0.11%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                 | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $949743.35    | 0.13%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      231695 | PA      | $214272.54    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $-452.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38858 | PA      | $35642.02     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20916500 | PA      | $21368038.50  | 2.91%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       92000 | PA      | $95541.45     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36213ESA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1590 | PA      | $1652.09      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      710000 | PA      | $756465.32    | 0.10%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.458920 17-DEC-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3050000 | OU      | $8573.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.927000 17-DEC-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   513000000 | OU      | $-6668.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412Q2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18034 | PA      | $18100.16     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                                         | Amneal Pharmaceuticals LLC                                                      | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |      189000 | PA      | $195466.14    | 0.03%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2607.93      | 0.00%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      900000 | PA      | $898546.46    | 0.12%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      159097 | PA      | $147686.73    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |      202000 | PA      | $208873.66    | 0.03%             | 2029-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22337 | PA      | $22875.42     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ID        |           1 | NC      | $-4067.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79442.98     | 0.01%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      201000 | PA      | $210117.72    | 0.03%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107884 | PA      | $101449.19    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.756370 17-DEC-2035 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1790000 | OU      | $-10257.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11073 | PA      | $10082.16     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21879.94     | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30593 | PA      | $30358.88     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6939 | PA      | $6982.95      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111850 | PA      | $116584.77    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                       | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      600000 | PA      | $607530.22    | 0.08%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19127 | PA      | $17442.95     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      195000 | PA      | $203685.18    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |       70000 | PA      | $47170.37     | 0.01%             | 2051-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     1427000 | PA      | $1406922.71   | 0.19%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                       | Eaton Corp                                                                      | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       90000 | PA      | $82332.72     | 0.01%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | HU        |           1 | NC      | $-339.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                     | CUSIP: 438516CM6<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      750000 | PA      | $743003.67    | 0.10%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                                                     | Allegion plc                                                                    | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |       90000 | PA      | $87054.80     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75005 | PA      | $69990.20     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.737540 17-DEC-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9060000 | OU      | $57047.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29669 | PA      | $29920.66     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |       35000 | PA      | $26982.46     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HLDG                                                         | Everest Reinsurance Holdings Inc                                                | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |      800000 | PA      | $564386.58    | 0.08%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5074 | PA      | $5058.17      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73220 | PA      | $70920.00     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      185392 | PA      | $161893.18    | 0.02%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34734 | PA      | $35742.67     | 0.00%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1497691 | PA      | $1486418.59   | 0.20%             | 2026-03-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30294 | PA      | $31189.49     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RAIN CARBON INC                                                                  | Rain Carbon Inc                                                                 | CUSIP: 75079LAB7<br>LEI: 25490038N6JQH7QXUK52 | Long             | DBT              | CORP              | US        |      154000 | PA      | $164913.67    | 0.02%             | 2029-09-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GQ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55947.36     | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      129000 | PA      | $136569.08    | 0.02%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                              | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      297000 | PA      | $305259.83    | 0.04%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.180000 18-MAR-2031 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    23190000 | OU      | $-934.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                         | Brighthouse Financial Inc                                                       | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |      120000 | PA      | $79092.68     | 0.01%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1128370 | PA      | $923044.80    | 0.13%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      663914 | PA      | $540522.52    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | iHeartCommunications Inc                                                        | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      322000 | PA      | $289602.36    | 0.04%             | 2029-05-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |           1 | NC      | $-4287.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      198000 | PA      | $205911.68    | 0.03%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2792241 | PA      | $2614617.89   | 0.36%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365783 | PA      | $383419.77    | 0.05%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                           | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      220000 | PA      | $142560.00    | 0.02%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70548.26     | 0.01%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.394960 18-MAR-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3140000 | OU      | $-7804.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXP4<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      200000 | PA      | $185186.74    | 0.03%             | 2045-06-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183164 | PA      | $182729.91    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2285000 | PA      | $2102402.50   | 0.29%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64345 | PA      | $62215.06     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | Directv Financing LLC                                                           | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      115000 | PA      | $113587.95    | 0.02%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.472000 18-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      340000 | OU      | $2686.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      570000 | PA      | $588217.03    | 0.08%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.151000 18-MAR-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5300000 | OU      | $50786.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBP8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      120000 | PA      | $92251.28     | 0.01%             | 2049-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.645000 18-MAR-2031 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   342450000 | OU      | $-229.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      100000 | PA      | $69888.66     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15988 | PA      | $15776.20     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1550000 | PA      | $1502882.59   | 0.20%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-3066.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20745 | PA      | $21790.53     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BE7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      865000 | PA      | $906338.13    | 0.12%             | 2033-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      254000 | PA      | $260417.88    | 0.04%             | 2055-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1086286 | PA      | $1114871.09   | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      190000 | PA      | $200955.19    | 0.03%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      420000 | PA      | $428543.14    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158095 | PA      | $152849.29    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |       90000 | PA      | $71806.93     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L74A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24614 | PA      | $23002.96     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      335000 | PA      | $351329.72    | 0.05%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      300000 | PA      | $308035.55    | 0.04%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |       90000 | PA      | $93456.02     | 0.01%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2596825.66   | 0.35%             | 2034-10-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       80000 | PA      | $54440.12     | 0.01%             | 2050-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26307 | PA      | $25319.84     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23917 | PA      | $21688.30     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JRH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8810 | PA      | $8718.56      | 0.00%             | 2027-11-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142FP3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     1595000 | PA      | $1640714.76   | 0.22%             | 2035-04-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      780000 | PA      | $643110.37    | 0.09%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      572240 | PA      | $579848.25    | 0.08%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      366498 | PA      | $338866.00    | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KRFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210254 | PA      | $214323.43    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22811 | PA      | $21208.27     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17392 | PA      | $16258.82     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      165000 | PA      | $164577.97    | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42418 | PA      | $37678.76     | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      515000 | PA      | $430979.38    | 0.06%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4141 | PA      | $4240.89      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      190000 | PA      | $176999.58    | 0.02%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $124404.67    | 0.02%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5084 | PA      | $4988.09      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       45000 | PA      | $44026.65     | 0.01%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAB0<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |        5000 | PA      | $2997.52      | 0.00%             | 2050-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: —       |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |           1 | NC      | $-998.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      245558 | PA      | $234931.01    | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |      119000 | PA      | $108496.25    | 0.01%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0404A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      975000 | PA      | $958809.82    | 0.13%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                     | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |      130000 | PA      | $136383.56    | 0.02%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: —       |
| HAWAIIAN ELEC CO                                                                 | Hawaiian Electric Co Inc                                                        | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75651.92     | 0.01%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-12284.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      710000 | PA      | $839454.95    | 0.11%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2691555 | PA      | $2283789.02   | 0.31%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      244424 | PA      | $232040.89    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      265000 | PA      | $254334.26    | 0.03%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1438917 | PA      | $1276266.48   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | Yale University                                                                 | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |      272000 | PA      | $165307.47    | 0.02%             | 2050-04-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| INSULET CORPORATION                                                              | Insulet Corp                                                                    | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      207000 | PA      | $215203.82    | 0.03%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.698930 17-DEC-2035 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       80000 | OU      | $-15.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      170000 | PA      | $172438.92    | 0.02%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71999 | PA      | $67621.54     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246166 | PA      | $231423.40    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -11 | NC      | $-17503.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CENTURY COMMUNITIES                                                              | Century Communities Inc                                                         | CUSIP: 156504AN2<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |       65000 | PA      | $65569.35     | 0.01%             | 2033-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10487 | PA      | $9476.33      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10029.20     | 0.00%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      190000 | PA      | $131301.22    | 0.02%             | 2049-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                              | General Electric Co                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |      245000 | PA      | $248413.49    | 0.03%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 1.091500 18-MAR-2031 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9300000 | OU      | $859.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2023-C22                                                   | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $674496.18    | 0.09%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      216000 | PA      | $221373.86    | 0.03%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75736.93     | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MGIC INVESTMENT CORP                                                             | MGIC Investment Corp                                                            | CUSIP: 552848AG8<br>LEI: 254900S8483WM4M98R28 | Long             | DBT              | CORP              | US        |       63000 | PA      | $62878.15     | 0.01%             | 2028-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292KZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40243 | PA      | $41261.94     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $399.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.098000 18-MAR-2031 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13060000 | OU      | $-962.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      965000 | PA      | $999203.03    | 0.14%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       60000 | PA      | $41254.43     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       62315 | PA      | $56547.53     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.592910 17-DEC-2028 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11800000 | OU      | $9331.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      267527 | PA      | $227380.53    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       70000 | PA      | $50117.86     | 0.01%             | 2050-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      287000 | PA      | $291960.27    | 0.04%             | 2030-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |      130000 | PA      | $92934.60     | 0.01%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98787.80     | 0.01%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED SEK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |           1 | NC      | $-61.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pfizer Inc                                                                       | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       80000 | PA      | $96075.33     | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5NN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8419 | PA      | $8880.41      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256432 | PA      | $230743.45    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      415000 | PA      | $379660.22    | 0.05%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                      | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |      410000 | PA      | $312148.13    | 0.04%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      350000 | PA      | $353935.03    | 0.05%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29740 | PA      | $26965.27     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1424367 | PA      | $1308946.28   | 0.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |      233000 | PA      | $242081.76    | 0.03%             | 2033-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26831 | PA      | $26887.20     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $-15720.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40948.84     | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VFH PARENT / VALOR CO                                                            | VFH Parent LLC / Valor Co-Issuer Inc                                            | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103428.40    | 0.01%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED EUR / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |           1 | NC      | $352.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       50000 | PA      | $44768.30     | 0.01%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      420000 | PA      | $385146.20    | 0.05%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9423.84      | 0.00%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $-1824.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      400000 | PA      | $398131.63    | 0.05%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $1536.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      920000 | PA      | $926898.45    | 0.13%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      975000 | PA      | $994421.84    | 0.14%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      135000 | PA      | $137336.73    | 0.02%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      859046 | PA      | $726637.19    | 0.10%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                                                        | Aflac Inc                                                                       | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |       45000 | PA      | $40371.77     | 0.01%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.574200 10-JUL-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      460000 | OU      | $-307.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      410275 | PA      | $382517.12    | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |      145000 | PA      | $146657.46    | 0.02%             | 2034-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Trust LLC                                            | OnDeck Asset Securitization Trust IV LLC                                        | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1460000 | PA      | $1485113.17   | 0.20%             | 2030-08-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED PLN / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | PL        |           1 | NC      | $-597.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                    | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1413633.88   | 0.19%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBY8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72375.00     | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25537 | PA      | $25309.74     | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      610000 | PA      | $558363.88    | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      220000 | PA      | $218485.56    | 0.03%             | 2034-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      156000 | PA      | $145857.15    | 0.02%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1323000 | PA      | $1358384.83   | 0.18%             | 2042-04-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                                                | Sunbit Asset Securitization Trust 2025-1                                        | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1670000 | PA      | $1676965.24   | 0.23%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41422 | PA      | $39830.96     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                                   | NCR Atleos Corp                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |      312000 | PA      | $337746.86    | 0.05%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                                                    | HTA Group Ltd/Mauritius                                                         | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |      204000 | PA      | $212223.24    | 0.03%             | 2029-06-04      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |      352000 | PA      | $345811.10    | 0.05%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                          | Washington Gas Light Co                                                         | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21890.45     | 0.00%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31298D3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         250 | PA      | $250.56       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261203 | PA      | $236050.88    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $-1365.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      333479 | PA      | $313330.94    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |       65000 | PA      | $62801.44     | 0.01%             | 2039-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10102 | PA      | $10024.78     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      370000 | PA      | $365237.05    | 0.05%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37979 | PA      | $37934.76     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                                    | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |      169000 | PA      | $110660.57    | 0.02%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: —       |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61725.44     | 0.01%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.541050 17-DEC-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    34035000 | OU      | $-335800.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $2127532.80   | 0.29%             | 2042-05-25      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      340683 | PA      | $336314.36    | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      190000 | PA      | $174961.71    | 0.02%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      180000 | PA      | $180352.53    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      550000 | PA      | $564470.87    | 0.08%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       91000 | PA      | $74052.79     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     1155000 | PA      | $1201286.69   | 0.16%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      621836 | PA      | $532150.42    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46493 | PA      | $46024.06     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |       65000 | PA      | $71387.67     | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      300000 | PA      | $278272.94    | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ACHV ABS TRUST                                                                   | ACHV ABS TRUST 2024-1PL                                                         | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      355436 | PA      | $360876.24    | 0.05%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36295NPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31524 | PA      | $28895.92     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13200000 | PA      | $12252281.18  | 1.67%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      175000 | PA      | $119720.30    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Standard Chartered Bank                                                          | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |           1 | NC      | $-1791.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $357030.47    | 0.05%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59449 | PA      | $54529.82     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.495500 23-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1010000 | OU      | $6070.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21606 | PA      | $20197.67     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19921 | PA      | $19481.26     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54348 | PA      | $52887.73     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $415.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                               | CNA Financial Corp                                                              | CUSIP: 126117AZ3<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |      400000 | PA      | $400764.92    | 0.05%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390127 | PA      | $403417.16    | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111398 | PA      | $103862.93    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63349 | PA      | $57321.72     | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      160000 | PA      | $161745.97    | 0.02%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TURNING POINT BRANDS INC                                                         | Turning Point Brands Inc                                                        | CUSIP: 90041LAG0<br>LEI: 549300IYG00QF0VVP302 | Long             | DBT              | CORP              | US        |      150000 | PA      | $158730.00    | 0.02%             | 2032-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17400 | PA      | $18198.01     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145241 | PA      | $136608.01    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86479 | PA      | $80414.58     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                           | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |      264000 | PA      | $181163.10    | 0.02%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177QXM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10680 | PA      | $9983.88      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SK INVICTUS INTERMEDIATE                                                         | SK Invictus Intermediate II Sarl                                                | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      234000 | PA      | $229029.28    | 0.03%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418Q4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         971 | PA      | $996.34       | 0.00%             | 2040-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29310.07     | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      105000 | PA      | $109524.53    | 0.01%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5932 | PA      | $5739.70      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      683000 | PA      | $469678.17    | 0.06%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103104.07    | 0.01%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                            | CUSIP: 709235T88<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |       80000 | PA      | $53621.89     | 0.01%             | 2050-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      610000 | PA      | $569485.89    | 0.08%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1994184 | PA      | $2030657.95   | 0.28%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391NES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1415 | PA      | $1445.37      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      314881 | PA      | $302684.24    | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1377000 | PA      | $1249240.88   | 0.17%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1000000 | PA      | $1007421.88   | 0.14%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BN2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      310000 | PA      | $321919.81    | 0.04%             | 2028-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      390920 | PA      | $349753.83    | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      800000 | PA      | $818179.35    | 0.11%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                           | CenterPoint Energy Resources Corp                                               | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |       85000 | PA      | $87190.36     | 0.01%             | 2028-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| HILTON DOMESTIC OPERATIN                                                         | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      114000 | PA      | $117195.53    | 0.02%             | 2032-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      210000 | PA      | $187353.09    | 0.03%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.148390 17-DEC-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2730000 | OU      | $-10409.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15097 | PA      | $15278.19     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      115000 | PA      | $111576.32    | 0.02%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315AS2<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |      135000 | PA      | $113661.08    | 0.02%             | 2047-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1540172.65   | 0.21%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       90000 | PA      | $58153.55     | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69686 | PA      | $67061.98     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      312000 | PA      | $296120.17    | 0.04%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |           1 | NC      | $2791.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202053 | PA      | $180982.66    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102201 | PA      | $95615.88     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15543 | PA      | $14246.58     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INC                                                              | Diebold Nixdorf Inc                                                             | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |       25000 | PA      | $26371.61     | 0.00%             | 2030-03-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      140000 | PA      | $148371.90    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1925000 | PA      | $1621503.73   | 0.22%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65013 | PA      | $59858.48     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.812090 17-DEC-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2980000 | OU      | $-5491.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      198000 | PA      | $197695.85    | 0.03%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1950475 | PA      | $1580108.32   | 0.22%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.778840 17-DEC-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3040000 | OU      | $11640.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       80000 | PA      | $89633.99     | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      140000 | PA      | $93299.65     | 0.01%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2007565.00   | 0.27%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17093 | PA      | $16539.50     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4625000 | PA      | $4704099.06   | 0.64%             | 2041-12-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SACA                                                                   | Vallourec SACA                                                                  | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $106546.50    | 0.01%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      530000 | PA      | $424904.33    | 0.06%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                          | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |       46000 | PA      | $30536.85     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32032 | PA      | $28452.81     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       80000 | PA      | $83997.62     | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37805 | PA      | $38288.59     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                                                         | SLM Corp                                                                        | CUSIP: 78442PGF7<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | DBT              | CORP              | US        |      115000 | PA      | $119837.75    | 0.02%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      436042 | PA      | $405009.51    | 0.06%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412QSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99232 | PA      | $101623.42    | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2500000 | PA      | $2259667.98   | 0.31%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68424 | PA      | $64092.91     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $1937411.00   | 0.26%             | 2041-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Dallas Area Rapid Transit                                                        | DALLAS TX AREA RAPID TRANSIT SALES TAX REVENUE                                  | CUSIP: 235241WM4<br>LEI: 75YWM81F2R6UQGJIEW47 | Long             | DBT              | MUN               | US        |      100000 | PA      | $68525.34     | 0.01%             | 2048-12-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105921 | PA      | $102620.92    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                                                      | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90852.28     | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43234 | PA      | $39809.94     | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      351435 | PA      | $329308.86    | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1052 | PA      | $1043.16      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      195750 | PA      | $168691.35    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7641 | PA      | $7515.76      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62693 | PA      | $60301.09     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCQ7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      295000 | PA      | $305385.04    | 0.04%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390CVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         841 | PA      | $868.03       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88506 | PA      | $88609.80     | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.976530 15-AUG-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      280000 | OU      | $30.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                  | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      178000 | PA      | $118346.31    | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.158870 18-MAR-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      810000 | OU      | $7473.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      175000 | PA      | $137285.02    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $83676.08     | 0.01%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1063000 | PA      | $966068.92    | 0.13%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54664 | PA      | $50244.84     | 0.01%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE                                | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      100000 | PA      | $69910.74     | 0.01%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22535 | PA      | $22249.81     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                        | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      250000 | PA      | $257184.81    | 0.04%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2250000 | PA      | $2287969.65   | 0.31%             | 2044-02-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3825000 | PA      | $3793088.64   | 0.52%             | 2048-10-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      330000 | PA      | $348764.53    | 0.05%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64501 | PA      | $66101.51     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         993 | PA      | $1014.54      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                    | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64907.57     | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.441000 17-DEC-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   115000000 | OU      | $6849.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178EDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34893 | PA      | $32619.01     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | Methodist Hospital/The                                                          | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |       87000 | PA      | $54243.92     | 0.01%             | 2050-12-01      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.857370 17-DEC-2055 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13150000 | OU      | $159048.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |      483000 | PA      | $446231.83    | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39650 | PA      | $37842.30     | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                                                                 | Taseko Mines Ltd                                                                | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |      169000 | PA      | $178995.33    | 0.02%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      178354 | PA      | $166559.61    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |      300000 | PA      | $294049.10    | 0.04%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      115000 | PA      | $89389.91     | 0.01%             | 2040-07-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      260000 | PA      | $234466.33    | 0.03%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4245 | PA      | $4047.08      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                                             | Ares Management Corp                                                            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |      463000 | PA      | $447750.80    | 0.06%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                                       | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |       55000 | PA      | $58601.57     | 0.01%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389VBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         747 | PA      | $779.44       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                                | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |      120000 | PA      | $123844.37    | 0.02%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |           1 | NC      | $445.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25959 | PA      | $24334.97     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1186554.70   | 0.16%             | 2034-01-25      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41880 | PA      | $43067.04     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                      | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |       69000 | PA      | $71113.68     | 0.01%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                                               | Trane Technologies Financing Ltd                                                | CUSIP: 456873AF5<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |       95000 | PA      | $82269.88     | 0.01%             | 2049-03-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       70000 | PA      | $75421.34     | 0.01%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13884 | PA      | $13395.03     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W3F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33492 | PA      | $29798.66     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      200000 | PA      | $179311.47    | 0.02%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      280000 | PA      | $277263.29    | 0.04%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9578 | PA      | $8804.35      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3400000 | PA      | $3436125.00   | 0.47%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94854 | PA      | $88664.82     | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      673962 | PA      | $575166.03    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2136 | PA      | $2121.79      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $4159.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |       90000 | PA      | $93007.65     | 0.01%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AY7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      990824 | PA      | $970627.31    | 0.13%             | 2027-12-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      575852 | PA      | $598908.05    | 0.08%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $2286.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      300000 | PA      | $296359.75    | 0.04%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3663.39      | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                            | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      160000 | PA      | $138489.50    | 0.02%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297M4D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63954 | PA      | $66223.96     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED THB / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TH        |           1 | NC      | $-33077.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |           1 | NC      | $-2456.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25470 | PA      | $25183.90     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.453200 16-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      510000 | OU      | $4901.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $70267.76     | 0.01%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36989 | PA      | $33387.69     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      785000 | PA      | $808927.18    | 0.11%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       55000 | PA      | $40831.25     | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      830000 | PA      | $813423.72    | 0.11%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319141 | PA      | $329606.25    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119484 | PA      | $110103.94    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4048 | PA      | $3710.81      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125625 | PA      | $116154.85    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.554200 27-AUG-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      700000 | OU      | $237.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      128000 | PA      | $133493.25    | 0.02%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297F3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5009 | PA      | $5173.07      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92529 | PA      | $93689.79     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | Carlisle Cos Inc                                                                | CUSIP: 142339AM2<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |      310000 | PA      | $313799.84    | 0.04%             | 2040-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.894610 17-DEC-2055 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      115000 | OU      | $641.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PH        |           1 | NC      | $-4729.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MKE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5517 | PA      | $5447.64      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4458 | PA      | $4446.53      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |           1 | NC      | $16073.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |       57000 | PA      | $42158.87     | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.510690 17-DEC-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    27745000 | OU      | $-344006.45   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      170000 | PA      | $169627.22    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57181 | PA      | $57797.00     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      447387 | PA      | $443111.29    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFNV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8687 | PA      | $8169.64      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      190000 | PA      | $191669.15    | 0.03%             | 2033-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26481 | PA      | $27826.72     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32177 | PA      | $30784.89     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                  | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      142000 | PA      | $145132.24    | 0.02%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                     | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      500000 | PA      | $358093.45    | 0.05%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2210879 | PA      | $1797778.80   | 0.24%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      431005 | PA      | $371074.65    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.197980 17-DEC-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      410000 | OU      | $228.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAM0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |       70000 | PA      | $71057.98     | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      698775 | PA      | $642151.90    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       25000 | PA      | $29215.38     | 0.00%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113687 | PA      | $102634.02    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      750000 | PA      | $746981.71    | 0.10%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24354 | PA      | $22815.22     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      565000 | PA      | $577408.68    | 0.08%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                        | CUSIP: 03076CAN6<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |      720000 | PA      | $753719.49    | 0.10%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7100000 | PA      | $7326589.83   | 1.00%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      580000 | PA      | $512070.75    | 0.07%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39846 | PA      | $36009.43     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206246.32    | 0.03%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      275668 | PA      | $247341.21    | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      360000 | PA      | $371142.00    | 0.05%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4B40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33687 | PA      | $32897.97     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60797 | PA      | $55618.65     | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |      330000 | PA      | $231447.35    | 0.03%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412PKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         462 | PA      | $462.13       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8GW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34407 | PA      | $33198.03     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                                                             | Colgate-Palmolive Co                                                            | CUSIP: 19416QEK2<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24084.20     | 0.00%             | 2047-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-29

**Name of Applicant:** Master Investment Portfolio II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer