# EDGAR Filing Document

**Accession Number:** 0000783740
**File Stem:** 0001752724-23-011791
**Filing Date:** 2023-1
**Character Count:** 360842
**Document Hash:** 6b4d357590846d35259c89e418f0c05d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-011791.hdr.sgml**: 20230125

**ACCESSION NUMBER**: 0001752724-23-011791

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230125

**DATE AS OF CHANGE**: 20230125

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST X
- **CENTRAL INDEX KEY:** 0000783740
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04492
- **FILM NUMBER:** 23550823

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT MORTGAGE FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT INCOME PLUS FUND
- **DATE OF NAME CHANGE:** 19930312

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS MFS GOVERNMENT INCOME PLUS FUND
- **DATE OF NAME CHANGE:** 19921015

## Series and Classes Contracts Data

### MFS Global Opportunistic Bond Fund (Series ID: S000028956)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000088935 | A            | MGBAX           |
| C000088936 | B            | MGBBX           |
| C000088937 | C            | MGBDX           |
| C000088938 | I            | MGBJX           |
| C000088939 | R1           | MGBKX           |
| C000088940 | R2           | MGBLX           |
| C000088941 | R3           | MGBMX           |
| C000088942 | R4           | MGBNX           |
| C000120923 | R6           | MGBOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS Series Trust X

- **b. Investment Company Act file number:** 811-04492

- **c. CIK number of Registrant:** 0000783740

- **d. LEI of Registrant:** 5493001MUVNRNUPJY164

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

  - **Street Address 1:** 111 Huntington Avenue

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS Global Opportunistic Bond Fund

- **b. EDGAR series identifier (if any):** S000028956

- **c. LEI of Series:** XE280U8NKIY4V6K1JN70

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

- **a. Date of fiscal year-end:** 2022-11-30

- **b. Date as of which information is reported:** 2022-11-30

**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:** $1027761269.56

**Total Liabilities:** $70090679.43

**Net Assets:** $957670590.13

**Delayed Delivery Securities:** $14588132.80

**Cash Not Reported:** $15.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -250.62570240 | **1-Year:** -10936.47940950 | **5-Year:** -66732.27357080 | **10-Year:** -128321.34043030 | **30-Year:** -53528.73104440

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

- **3-Month:** 244.39703750 | **1-Year:** -8452.97175980 | **5-Year:** -28469.69285010 | **10-Year:** -25164.62351560 | **30-Year:** -11446.48880150

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000088936 | -3.24%               | -0.24%               | 3.29%                |
| Class ID C000088942 | -3.28%               | -0.15%               | 3.50%                |
| Class ID C000088935 | -3.28%               | -0.17%               | 3.46%                |
| Class ID C000088940 | -3.20%               | -0.33%               | 3.46%                |
| Class ID C000120923 | -3.15%               | -0.28%               | 3.51%                |
| Class ID C000088941 | -3.17%               | -0.18%               | 3.48%                |
| Class ID C000088938 | -3.27%               | -0.15%               | 3.50%                |
| Class ID C000088937 | -3.24%               | -0.24%               | 3.42%                |
| Class ID C000088939 | -3.24%               | -0.37%               | 3.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10447492.74            | $-50135910.71                              |
| Month 2  | $-28881064.19            | $28408033.82                               |
| Month 3  | $-12041355.14            | $66252468.96                               |

**Designated Index Information**

- **Index Name:** BarCap Global Aggregate

- **Index Identifier:** LEGATRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-47308.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                                     | UniCredit SpA                                                                                  | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     1350000 | PA      | $1187921.39   | 0.12%             | 2026-09-22      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                           | CarMax Auto Owner Trust, Series 2022-2, Class A4                                               | CUSIP: 14317HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1435000 | PA      | $1375707.38   | 0.14%             | 2027-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Unicaja Banco SA                                                                  | Unicaja Banco SA                                                                               | CUSIP: N/A<br>LEI: 5493007SJLLCTM6J6M37       | Long             | DBT              | CORP              | ES        |      700000 | PA      | $640831.87    | 0.07%             | 2026-12-01      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10343.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                                         | STWD Ltd., Series 2021-FL2, Class C                                                            | CUSIP: 78486BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      238000 | PA      | $220279.09    | 0.02%             | 2038-04-18      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                              | JPMorgan Chase & Co.                                                                           | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4598000 | PA      | $3991115.13   | 0.42%             | 2027-09-22      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                              | U.K. Treasury                                                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     5050000 | PA      | $3678262.10   | 0.38%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Medco Bell Pte. Ltd.                                                              | Medco Bell Pte. Ltd.                                                                           | CUSIP: N/A<br>LEI: 2549003PNDCWIWGKC768       | Long             | DBT              | CORP              | SG        |      668000 | PA      | $593376.86    | 0.06%             | 2027-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Hellenic Republic                                                                 | Hellenic Republic                                                                              | CUSIP: N/A<br>LEI: 2138003EKTMKZ5598902       | Long             | DBT              | NUSS              | GR        |     8594000 | PA      | $7268981.37   | 0.76%             | 2032-06-18      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Corporate Office Properties LP                                                    | Corporate Office Properties LP                                                                 | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      382000 | PA      | $295635.48    | 0.03%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDS                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     1160000 | PA      | $-27248.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $195079.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-15105.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Emirates NBD Bank PJSC                                                            | Emirates NBD Bank PJSC                                                                         | CUSIP: N/A<br>LEI: 54930029BCN8HF3B1286       | Long             | DBT              | CORP              | AE        |     1800000 | PA      | $1724860.80   | 0.18%             | 2026-04-09      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $61975.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hungary                                                                           | Hungary Government Bond                                                                        | CUSIP: 445545AQ9<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     1364000 | PA      | $1303711.20   | 0.14%             | 2034-06-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $56939.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                    | Tapestry, Inc.                                                                                 | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     1264000 | PA      | $978069.09    | 0.10%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| QBE Insurance Group Ltd.                                                          | QBE Insurance Group Ltd.                                                                       | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |      685000 | PA      | $628088.86    | 0.07%             | 2038-09-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      999999 | PA      | $885412.24    | 0.09%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM                 | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2589254 | PA      | $280408.96    | 0.03%             | 2030-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 5 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -415 | NC      | $-224836.21   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Paraguay                                                              | Republic of Paraguay                                                                           | CUSIP: 699149AB6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     1760000 | PA      | $1654400.00   | 0.17%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                              | Macquarie Group Ltd.                                                                           | CUSIP: N/A<br>LEI: ACMHD8HWFMFUIQQ8Y590       | Long             | DBT              | CORP              | AU        |     1210000 | PA      | $1309833.88   | 0.14%             | 2029-05-31      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                             | Bank of America Corp.                                                                          | CUSIP: N/A<br>LEI: 9DJT3UXIJIZJI4WXO774       | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1135361.08   | 0.12%             | 2031-03-22      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                        | Constellation Brands, Inc.                                                                     | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      821000 | PA      | $727759.30    | 0.08%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANK                                                                              | BANK, Series 2021-BN34, Class XA                                                               | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11367152 | PA      | $646328.31    | 0.07%             | 2063-06-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Central American Bottling Corp.                                                   | Central American Bottling Corp.                                                                | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     1160000 | PA      | $1045809.60   | 0.11%             | 2029-04-27      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| STORE Capital Corp.                                                               | STORE Capital Corp.                                                                            | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1068331.90   | 0.11%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                              | JPMorgan Chase & Co.                                                                           | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3002000 | PA      | $2335057.61   | 0.24%             | 2032-02-04      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $198212.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-363518.10   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32462.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $70578.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                                    | AutoZone, Inc.                                                                                 | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      450000 | PA      | $441326.41    | 0.05%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Synthos SA                                                                        | Synthos SA                                                                                     | CUSIP: N/A<br>LEI: 259400WX4QZCOHJVWM18       | Long             | DBT              | CORP              | PL        |     1286000 | PA      | $1023279.56   | 0.11%             | 2028-06-07      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| SBB Treasury OYJ                                                                  | SBB Treasury OYJ                                                                               | CUSIP: N/A<br>LEI: 5493003HHOCW6FIMH724       | Long             | DBT              | CORP              | FI        |      730000 | PA      | $459453.37    | 0.05%             | 2028-12-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138EMUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      349470 | PA      | $348626.28    | 0.04%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1                  | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20458699 | PA      | $669085.38    | 0.07%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 10 Year Note                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -56 | NC      | $-24746.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Logement SA                                                                | Credit Logement SA                                                                             | CUSIP: N/A<br>LEI: 969500FYPDQY3Y12Z881       | Long             | DBT              | CORP              | FR        |     1700000 | PA      | $1429898.88   | 0.15%             | 2034-02-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      802959 | PA      | $687429.29    | 0.07%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Zurich Insurance Co. Ltd.                                                         | Zurich Insurance Co. Ltd.                                                                      | CUSIP: N/A<br>LEI: 50ZCTKCMUDIABGHX3R52       | Long             | DBT              | CORP              | NL        |      670000 | PA      | $597795.44    | 0.06%             | 2048-06-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2022-B37, Class AS                                            | CUSIP: 08161QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394000 | PA      | $395692.47    | 0.04%             | 2055-11-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $261606.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $15379.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                       | Nationwide Building Society                                                                    | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |      240000 | PA      | $290119.10    | 0.03%             | 2027-12-07      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-47940.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      800200 | PA      | $659372.59    | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Parkland Corp.                                                                    | Parkland Corp.                                                                                 | CUSIP: 70137WAL2<br>LEI: 549300XHQS1JYWBNK868 | Long             | DBT              | CORP              | CA        |     3080000 | PA      | $2582580.00   | 0.27%             | 2030-05-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18293.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-51568.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                   | Goldman Sachs Group, Inc. (The)                                                                | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1958000 | PA      | $1546598.02   | 0.16%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Hellenic Republic                                                                 | Hellenic Republic                                                                              | CUSIP: N/A<br>LEI: 2138003EKTMKZ5598902       | Long             | DBT              | NUSS              | GR        |     2561000 | PA      | $1645942.86   | 0.17%             | 2052-01-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ContourGlobal Power Holdings SA                                                   | ContourGlobal Power Holdings SA                                                                | CUSIP: N/A<br>LEI: 549300O5AGIFK0PQ1516       | Long             | DBT              | CORP              | LU        |      679000 | PA      | $572476.46    | 0.06%             | 2028-01-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM                 | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2931170 | PA      | $291714.73    | 0.03%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                          | MF1 Ltd., Series 2022-FL8, Class C                                                             | CUSIP: 55284JAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1130366 | PA      | $1062151.80   | 0.11%             | 2037-02-19      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Hellenic Republic                                                                 | Hellenic Republic                                                                              | CUSIP: N/A<br>LEI: 2138003EKTMKZ5598902       | Long             | DBT              | NUSS              | GR        |    13156000 | PA      | $12999994.90  | 1.36%             | 2027-04-22      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Bermuda                                                                           | Bermuda Government Bond                                                                        | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |      508000 | PA      | $413702.41    | 0.04%             | 2030-08-20      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $215895.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $76097.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-102778.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                  | Comision Federal de Electricidad                                                               | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | NUSS              | MX        |      600000 | PA      | $461106.00    | 0.05%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                        | Constellation Brands, Inc.                                                                     | CUSIP: 21036PAP3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      667000 | PA      | $667424.44    | 0.07%             | 2025-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial, Inc.                                                        | Ameriprise Financial, Inc.                                                                     | CUSIP: 03076CAL0<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |      551000 | PA      | $539145.44    | 0.06%             | 2032-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-224150.30   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Korea                                                                 | Republic of Korea                                                                              | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        | 32382080000 | PA      | $20986278.39  | 2.19%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio                                          | MFS Institutional Money Market Portfolio, Class A                                              | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |    41630067 | NS      | $41630066.53  | 4.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Indian Railway Finance Corp. Ltd.                                                 | Indian Railway Finance Corp. Ltd.                                                              | CUSIP: 45434M2C5<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | NUSS              | IN        |     1850000 | PA      | $1520932.30   | 0.16%             | 2031-02-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12203.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-405460.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2889694.46  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      799920 | PA      | $742636.83    | 0.08%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $127965.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Logicor Financing SARL                                                            | Logicor Financing SARL                                                                         | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     1100000 | PA      | $870376.58    | 0.09%             | 2030-01-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                          | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      241083 | PA      | $241955.90    | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                                | Dominican Republic Government Bond                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |     2400000 | PA      | $1779000.00   | 0.19%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Landsbankinn HF                                                                   | Landsbankinn HF                                                                                | CUSIP: N/A<br>LEI: 549300TLZPT6JELDWM92       | Long             | DBT              | CORP              | IS        |     2020000 | PA      | $1799072.56   | 0.19%             | 2025-05-23      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4190287.91  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Tengizchevroil Finance Co. International Ltd.                                     | Tengizchevroil Finance Co. International Ltd.                                                  | CUSIP: 88034QAA5<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |     1500000 | PA      | $1275000.00   | 0.13%             | 2026-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2242211 | PA      | $1848750.23   | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-773624.38   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K077, Class XAM                 | CUSIP: 3137FG7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    47225000 | PA      | $366621.84    | 0.04%             | 2028-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-150809.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Harbourview CLO VII-R                                                             | Harbourview CLO VII-R, Series 7RA, Class B                                                     | CUSIP: 41165TAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2560000 | PA      | $2402872.32   | 0.25%             | 2031-07-18      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                                 | BSPRT Issuer Ltd., Series 2021-FL7, Class C                                                    | CUSIP: 05602CAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      572500 | PA      | $526253.45    | 0.05%             | 2038-12-15      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                            | Oklahoma Development Finance Authority                                                         | CUSIP: 67884XCP0<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |      742000 | PA      | $651584.26    | 0.07%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                               | Petroleos Mexicanos                                                                            | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     3190000 | PA      | $2195228.17   | 0.23%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Republic of Korea                                                                 | Republic of Korea                                                                              | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        | 42314110000 | PA      | $28955744.23  | 3.02%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM                 | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2395024 | PA      | $256419.17    | 0.03%             | 2030-04-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                             | Targa Resources Corp.                                                                          | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      716000 | PA      | $581985.17    | 0.06%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                                       | CARS-DB4 LP, Series 2020-1A, Class A4                                                          | CUSIP: 12510HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      491366 | PA      | $459368.70    | 0.05%             | 2050-02-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                                 | Xcel Energy, Inc.                                                                              | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      422000 | PA      | $405653.65    | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                                                        | Province of Ontario                                                                            | CUSIP: 68333ZAL1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    10516000 | PA      | $5005683.23   | 0.52%             | 2051-12-02      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                                                               | Alcon Finance Corp.                                                                            | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     2129000 | PA      | $1788703.79   | 0.19%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      987621 | PA      | $845473.26    | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                          | Electricite de France SA                                                                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |      600000 | PA      | $490451.02    | 0.05%             | 2027-12-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                                | Dominican Republic Government Bond                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |     1300000 | PA      | $1073057.84   | 0.11%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1                  | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15732398 | PA      | $318985.39    | 0.03%             | 2031-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Caixa Geral de Depositos SA                                                       | Caixa Geral de Depositos SA                                                                    | CUSIP: N/A<br>LEI: TO822O0VT80V06K0FH57       | Long             | DBT              | NUSS              | PT        |      600000 | PA      | $637759.82    | 0.07%             | 2028-10-31      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K059, Class XAM                 | CUSIP: 3137BSRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    62189000 | PA      | $483556.79    | 0.05%             | 2026-09-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Industrial & Commercial Bank of China Ltd.                                        | Industrial & Commercial Bank of China Ltd.                                                     | CUSIP: N/A<br>LEI: 5493002ERZU2K9PZDL40       | Long             | DBT              | NUSS              | CN        |     1400000 | PA      | $1373076.99   | 0.14%             | 2025-09-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                       | Bundesrepublik Deutschland                                                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    19830000 | PA      | $20195157.87  | 2.11%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                             | Republic of Guatemala                                                                          | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |     1300000 | PA      | $1193507.28   | 0.12%             | 2050-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                           | BPCE SA                                                                                        | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1240000 | PA      | $924599.99    | 0.10%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| JAB Holdings BV                                                                   | JAB Holdings BV                                                                                | CUSIP: N/A<br>LEI: 529900RRNKUM3INJGF98       | Long             | DBT              | CORP              | NL        |     1900000 | PA      | $1411915.23   | 0.15%             | 2039-12-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553048 | PA      | $518589.02    | 0.05%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co. SA                                                            | Cellnex Finance Co. SA                                                                         | CUSIP: N/A<br>LEI: 549300OUROMFTRFA7T23       | Long             | DBT              | CORP              | ES        |     3900000 | PA      | $3103656.12   | 0.32%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LXP Industrial Trust                                                              | LXP Industrial Trust                                                                           | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |      880000 | PA      | $704160.51    | 0.07%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-70120.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138ETDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323621 | PA      | $324439.69    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                        | Corebridge Financial, Inc.                                                                     | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      270000 | PA      | $221056.61    | 0.02%             | 2042-04-05      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Minnesota Housing Finance Agency                                                  | Minnesota Housing Finance Agency                                                               | CUSIP: 60416TSV1<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |     1775000 | PA      | $1701151.84   | 0.18%             | 2047-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Allianz SE                                                                        | Allianz SE                                                                                     | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $295600.00    | 0.03%             | 2027-10-30      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2066186 | PA      | $2024826.12   | 0.21%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings, Inc.                                                | Nationstar Mortgage Holdings, Inc.                                                             | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2090953.00   | 0.22%             | 2027-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                      | Oriental Republic of Uruguay                                                                   | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      784000 | PA      | $782907.64    | 0.08%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class C                       | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3751000 | PA      | $3603426.66   | 0.38%             | 2037-01-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Sasol Financing USA LLC                                                           | Sasol Financing USA LLC                                                                        | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |      800000 | PA      | $726000.00    | 0.08%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $718.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                               | Intesa Sanpaolo SpA                                                                            | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Long             | DBT              | CORP              | IT        |     1330000 | PA      | $1046507.13   | 0.11%             | 2036-03-11      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Assurances SA                                                     | Credit Agricole Assurances SA                                                                  | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | CORP              | FR        |      800000 | PA      | $676972.74    | 0.07%             | 2030-07-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14509.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Prosus NV                                                                         | Prosus NV                                                                                      | CUSIP: N/A<br>LEI: 635400Z5LQ5F9OLVT688       | Long             | DBT              | CORP              | NL        |     1200000 | PA      | $732338.86    | 0.08%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| RTE Reseau de Transport d'Electricite SADIR                                       | RTE Reseau de Transport d'Electricite SADIR                                                    | CUSIP: N/A<br>LEI: 969500JRJW0K2ET1UP76       | Long             | DBT              | CORP              | FR        |      800000 | PA      | $625229.13    | 0.07%             | 2034-01-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ASR Nederland NV                                                                  | ASR Nederland NV                                                                               | CUSIP: N/A<br>LEI: 7245000G0HS48PZWUD53       | Long             | DBT              | CORP              | NL        |      920000 | PA      | $997786.73    | 0.10%             | 2043-12-07      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Energuate Trust                                                                   | Energuate Trust                                                                                | CUSIP: N/A<br>LEI: 549300RVM37LH8GY7E41       | Long             | DBT              | CORP              | KY        |     1100000 | PA      | $1002815.00   | 0.10%             | 2027-05-03      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Banque Ouest Africaine de Developpement                                           | Banque Ouest Africaine de Developpement                                                        | CUSIP: N/A<br>LEI: 529900LIZJABE4JJS826       | Long             | DBT              | NUSS              | US        |     1576000 | PA      | $1293108.00   | 0.14%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Republic of Cyprus                                                                | Republic of Cyprus                                                                             | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     3390000 | PA      | $2798119.31   | 0.29%             | 2030-01-21      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                                 | BAT Capital Corp.                                                                              | CUSIP: N/A<br>LEI: 2138005GYEXN7XRHFA84       | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1254302.66   | 0.13%             | 2025-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Leviathan Bond Ltd.                                                               | Leviathan Bond Ltd.                                                                            | CUSIP: N/A<br>LEI: 254900D9T8VKYVQNZ220       | Long             | DBT              | CORP              | IL        |     1100000 | PA      | $1038950.00   | 0.11%             | 2030-06-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2021-B24, Class XA                                            | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6405966 | PA      | $396858.59    | 0.04%             | 2054-03-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC                                            | Ardagh Metal Packaging Finance USA LLC                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      750000 | PA      | $581435.25    | 0.06%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                                 | HSBC Holdings plc                                                                              | CUSIP: 404280BH1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2272000 | PA      | $2180080.74   | 0.23%             | 2026-11-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133B0G80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      374345 | PA      | $321185.12    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                              | American Tower Corp.                                                                           | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      680000 | PA      | $615507.29    | 0.06%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| easyJet FinCo. BV                                                                 | easyJet FinCo. BV                                                                              | CUSIP: N/A<br>LEI: 2138005GUMKABRAKJU30       | Long             | DBT              | CORP              | NL        |     1450000 | PA      | $1268099.62   | 0.13%             | 2028-03-03      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                                          | PFP Ltd., Series 2021-7, Class AS                                                              | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      871956 | PA      | $814821.54    | 0.09%             | 2038-04-14      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-437747.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-17418.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140MPWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3524999 | PA      | $2907143.88   | 0.30%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1599870 | PA      | $1599400.31   | 0.17%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Groupe des Assurances du Credit Mutuel SADIR                                      | Groupe des Assurances du Credit Mutuel SADIR                                                   | CUSIP: N/A<br>LEI: 96950090CGKLVXEKWF10       | Long             | DBT              | CORP              | FR        |     1800000 | PA      | $1391923.22   | 0.15%             | 2042-04-21      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Hellenic Republic                                                                 | Hellenic Republic                                                                              | CUSIP: N/A<br>LEI: 2138003EKTMKZ5598902       | Long             | DBT              | NUSS              | GR        |     7701000 | PA      | $7214233.90   | 0.75%             | 2026-02-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                   | French Republic                                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    12300000 | PA      | $10248028.47  | 1.07%             | 2032-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                       | First Quantum Minerals Ltd.                                                                    | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1200000 | PA      | $1143025.21   | 0.12%             | 2027-10-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $81096.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                             | Japan Government Bond                                                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1403950000 | PA      | $8139737.92   | 0.85%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $69127.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, 30 Year, Single Family                                                                   | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6475000 | PA      | $6548505.30   | 0.68%             | 2052-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                            | OCP SA                                                                                         | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |     1077000 | PA      | $879896.08    | 0.09%             | 2031-06-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                                  | TRTX Issuer Ltd., Series 2021-FL4, Class AS                                                    | CUSIP: 87276WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $760092.80    | 0.08%             | 2038-03-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Stellantis NV                                                                     | Stellantis NV                                                                                  | CUSIP: N/A<br>LEI: 549300LKT9PW7ZIBDF31       | Long             | DBT              | CORP              | NL        |      940000 | PA      | $860731.51    | 0.09%             | 2032-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM                 | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3408930 | PA      | $341477.63    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Iowa Student Loan Liquidity Corp.                                                 | Iowa Student Loan Liquidity Corp.                                                              | CUSIP: 462590NG1<br>LEI: 549300FO1LWVSZKGJK70 | Long             | DBT              | MUN               | US        |     1845000 | PA      | $1703763.77   | 0.18%             | 2039-12-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-177302.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91120 | PA      | $78499.68     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAC Bond Co. plc                                                                  | RAC Bond Co. plc                                                                               | CUSIP: N/A<br>LEI: 2138008FCM2SUNLC7B21       | Long             | DBT              | CORP              | GB        |     1950000 | PA      | $1816241.17   | 0.19%             | 2027-11-04      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Covestro AG                                                                       | Covestro AG                                                                                    | CUSIP: N/A<br>LEI: 3912005AWHKLQ1CPLV11       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $316409.42    | 0.03%             | 2028-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Entegris Escrow Corp.                                                             | Entegris Escrow Corp.                                                                          | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2148312.86   | 0.22%             | 2030-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                                      | Verizon Communications, Inc.                                                                   | CUSIP: 92343VGP3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1051877.98   | 0.11%             | 2052-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM                 | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     5486706 | PA      | $219596.63    | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                  | Bonos and Obligaciones del Estado                                                              | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     5469000 | PA      | $5496146.04   | 0.57%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28977 | PA      | $28242.64     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                          | Republic of South Africa                                                                       | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      955000 | PA      | $882062.83    | 0.09%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10321.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      274819 | PA      | $275514.20    | 0.03%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $215750.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CTP NV                                                                            | CTP NV                                                                                         | CUSIP: N/A<br>LEI: 3157000YTVO4TN65UM14       | Long             | DBT              | CORP              | NL        |      880000 | PA      | $750451.92    | 0.08%             | 2026-01-20      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170021 | PA      | $170450.61    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $263938.61    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Michaels Cos., Inc. (The)                                                         | Michaels Cos., Inc. (The)                                                                      | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     2840000 | PA      | $1679150.00   | 0.18%             | 2029-05-01      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                                                       | AREIT Trust, Series 2022-CRE6, Class D                                                         | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      569500 | PA      | $525076.72    | 0.05%             | 2037-01-16      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Euro-BTP                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -346 | NC      | $-868682.36   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Euro-Bund                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         203 | NC      | $699337.81    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications, Inc.                                                      | Verizon Communications, Inc.                                                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      341000 | PA      | $273730.87    | 0.03%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $95539.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB Group plc                                                                     | AIB Group plc                                                                                  | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | NUSS              | IE        |      650000 | PA      | $699362.92    | 0.07%             | 2029-02-16      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| VTR Comunicaciones SpA                                                            | VTR Comunicaciones SpA                                                                         | CUSIP: N/A<br>LEI: 213800XDZJKMC1AEUV94       | Long             | DBT              | CORP              | CL        |     1900000 | PA      | $1083000.00   | 0.11%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6213.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3020.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      312946 | PA      | $313738.03    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22079.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                               | Benin Government Bond                                                                          | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     1500000 | PA      | $1132308.09   | 0.12%             | 2052-01-19      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class C                       | CUSIP: 03880KAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1049500 | PA      | $944801.88    | 0.10%             | 2034-08-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                      | Oriental Republic of Uruguay                                                                   | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   482632000 | PA      | $10472446.55  | 1.09%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                  | Bonos and Obligaciones del Estado                                                              | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     9142000 | PA      | $5698424.05   | 0.60%             | 2050-10-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                                          | PFP Ltd., Series 2021-7, Class B                                                               | CUSIP: 69290LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      684966 | PA      | $638331.98    | 0.07%             | 2038-04-14      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Dua Capital Ltd.                                                                  | Dua Capital Ltd.                                                                               | CUSIP: N/A<br>LEI: 213800ILVLALFTITCB43       | Long             | DBT              | CORP              | MY        |     3745000 | PA      | $2966114.90   | 0.31%             | 2031-05-11      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                                       | AREIT Trust, Series 2022-CRE6, Class C                                                         | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      533500 | PA      | $494963.16    | 0.05%             | 2037-01-16      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                                           | Romania Government Bond                                                                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2220000 | PA      | $1611779.11   | 0.17%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38416 | PA      | $32889.69     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $89873.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                             | WMG Acquisition Corp.                                                                          | CUSIP: N/A<br>LEI: 549300NAS11NXI33CP80       | Long             | DBT              | CORP              | US        |     1764000 | PA      | $1416179.61   | 0.15%             | 2031-08-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                                                         | BXMT Ltd., Series 2021-FL4, Class AS                                                           | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     1100000 | PA      | $1048319.91   | 0.11%             | 2038-05-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Japan                                                                             | Japan Government Bond                                                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1199450000 | PA      | $9816571.89   | 1.03%             | 2033-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1695.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202465 | PA      | $180500.46    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Paraguay                                                              | Republic of Paraguay                                                                           | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     2000000 | PA      | $1704000.00   | 0.18%             | 2048-03-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-23990.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $39737.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      224006 | PA      | $223953.41    | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $45319.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      218945 | PA      | $193008.06    | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets plc                                                            | BP Capital Markets plc                                                                         | CUSIP: N/A<br>LEI: 549300CRVT18MXX0AG93       | Long             | DBT              | CORP              | GB        |     2910000 | PA      | $2601631.66   | 0.27%             | 2029-03-22      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140MF2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      803878 | PA      | $712483.00    | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Peach Property Finance GmbH                                                       | Peach Property Finance GmbH                                                                    | CUSIP: N/A<br>LEI: 5299006REENAMLK8A121       | Long             | DBT              | CORP              | DE        |     1900000 | PA      | $1425557.49   | 0.15%             | 2025-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                                                            | Booking Holdings, Inc.                                                                         | CUSIP: N/A<br>LEI: FXM8FAOHMYDIPD38UZ17       | Long             | DBT              | CORP              | US        |      330000 | PA      | $365306.80    | 0.04%             | 2034-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                                       | BBCMS Trust, Series 2021-C10, Class XA                                                         | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9761762 | PA      | $718194.27    | 0.07%             | 2054-07-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-51204.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Cikarang Listrindo Tbk. PT                                                        | Cikarang Listrindo Tbk. PT                                                                     | CUSIP: N/A<br>LEI: 254900NPCIO562Z7FN53       | Long             | DBT              | CORP              | ID        |     1396000 | PA      | $1286463.33   | 0.13%             | 2026-09-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Informa plc                                                                       | Informa plc                                                                                    | CUSIP: N/A<br>LEI: 5493006VM2LKUPSEDU20       | Long             | DBT              | CORP              | GB        |      473000 | PA      | $517823.72    | 0.05%             | 2026-07-05      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                           | Hungary Government Bond                                                                        | CUSIP: 445545AM8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      945000 | PA      | $707489.37    | 0.07%             | 2031-09-22      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Global Aircraft Leasing Co. Ltd.                                                  | Global Aircraft Leasing Co. Ltd.                                                               | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     2875593 | PA      | $2401018.45   | 0.25%             | 2024-09-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Prosus NV                                                                         | Prosus NV                                                                                      | CUSIP: N/A<br>LEI: 635400Z5LQ5F9OLVT688       | Long             | DBT              | CORP              | NL        |     1390000 | PA      | $1136202.84   | 0.12%             | 2028-08-03      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Canada 5 Year Bond                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -108 | NC      | $-33002.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5535.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Samhallsbyggnadsbolaget i Norden AB                                               | Samhallsbyggnadsbolaget i Norden AB                                                            | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |      780000 | PA      | $679633.97    | 0.07%             | 2025-01-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-267771.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CEZ A/S                                                                           | CEZ A/S                                                                                        | CUSIP: N/A<br>LEI: 529900S5R9YHJHYKKG94       | Long             | DBT              | NUSS              | CZ        |     1045000 | PA      | $997279.31    | 0.10%             | 2027-04-06      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                                | Republic of Poland                                                                             | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      678000 | PA      | $714883.20    | 0.07%             | 2032-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UAE International Government Bond                                                 | UAE International Government Bond                                                              | CUSIP: 31424EAE2<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |     1230000 | PA      | $1216509.36   | 0.13%             | 2052-07-07      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      677705 | PA      | $559065.03    | 0.06%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28026 | PA      | $27375.48     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $60122.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Enel SpA                                                                          | Enel SpA                                                                                       | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |     1780000 | PA      | $1591448.30   | 0.17%             | 2026-12-10      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                            | Arab Republic of Egypt                                                                         | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     1100000 | PA      | $814880.00    | 0.09%             | 2032-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                                           | APA Infrastructure Ltd.                                                                        | CUSIP: N/A<br>LEI: 261700SS8OEHDOCOUJ33       | Long             | DBT              | CORP              | AU        |     1130000 | PA      | $961868.21    | 0.10%             | 2029-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of India                                                       | Export-Import Bank of India                                                                    | CUSIP: 30216KAF9<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |     1800000 | PA      | $1433266.69   | 0.15%             | 2031-01-13      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      498767 | PA      | $476335.66    | 0.05%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                      | Marriott International, Inc., Series HH                                                        | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     1632000 | PA      | $1333444.73   | 0.14%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-70903.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2021-B26, Class XA                                            | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19823660 | PA      | $989127.27    | 0.10%             | 2054-06-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-638.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      534587 | PA      | $532573.89    | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                             | Republic of Indonesia                                                                          | CUSIP: 455780DJ2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1180000 | PA      | $1065056.54   | 0.11%             | 2032-03-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      371392 | PA      | $335590.40    | 0.04%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                              | Charter Communications Operating LLC                                                           | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      942000 | PA      | $706781.09    | 0.07%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                                                   | 3650R Commercial Mortgage Trust, Series 2021-PF1, Class XA                                     | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11880972 | PA      | $708367.30    | 0.07%             | 2054-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-212756.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                                   | Plains All American Pipeline LP                                                                | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1820000 | PA      | $1586049.41   | 0.17%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $39163.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32418.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                                                          | Becton Dickinson and Co.                                                                       | CUSIP: 075887CP2<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      428000 | PA      | $407492.05    | 0.04%             | 2032-08-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bank Hapoalim BM                                                                  | Bank Hapoalim BM                                                                               | CUSIP: N/A<br>LEI: B6ARUI4946ST4S7WOU88       | Long             | DBT              | CORP              | IL        |     1065000 | PA      | $908679.30    | 0.09%             | 2032-01-21      | Variable      | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                    | Morgan Stanley Capital I Trust, Series 2021-L6, Class XA                                       | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17360503 | PA      | $1118532.02   | 0.12%             | 2054-06-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Trustees of the University of Pennsylvania (The)                                  | Trustees of the University of Pennsylvania (The), Series 2020                                  | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     1894000 | PA      | $1211058.39   | 0.13%             | 2050-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                          | UnitedHealth Group, Inc.                                                                       | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      701000 | PA      | $514399.44    | 0.05%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RAC Bond Co. plc                                                                  | RAC Bond Co. plc                                                                               | CUSIP: N/A<br>LEI: 2138008FCM2SUNLC7B21       | Long             | DBT              | CORP              | GB        |      200000 | PA      | $186281.15    | 0.02%             | 2027-11-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Aviva plc                                                                         | Aviva plc                                                                                      | CUSIP: N/A<br>LEI: YF0Y5B0IB8SM0ZFG9G81       | Long             | DBT              | CORP              | GB        |     1139000 | PA      | $1070175.16   | 0.11%             | 2055-06-03      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9939.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                                           | Arrow Electronics, Inc.                                                                        | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     1680000 | PA      | $1339429.46   | 0.14%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      925000 | PA      | $875186.73    | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TI Automotive Finance plc                                                         | TI Automotive Finance plc                                                                      | CUSIP: N/A<br>LEI: 549300MZ54ZRN8UFQS35       | Long             | DBT              | CORP              | GB        |     1050000 | PA      | $844056.68    | 0.09%             | 2029-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Province of British Columbia Canada                                               | Province of British Columbia                                                                   | CUSIP: 110709GJ5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |      765000 | PA      | $469185.59    | 0.05%             | 2050-06-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16292 | PA      | $15913.68     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                          | UnitedHealth Group, Inc.                                                                       | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      670000 | PA      | $554659.46    | 0.06%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                              | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                               | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3300000 | PA      | $3059792.67   | 0.32%             | 2036-07-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                              | BANK, Series 2021-BN32, Class XA                                                               | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7809979 | PA      | $344518.48    | 0.04%             | 2054-04-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $13416.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3155.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      723514 | PA      | $596981.98    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                  | Comision Federal de Electricidad                                                               | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |      844000 | PA      | $626248.00    | 0.07%             | 2033-07-26      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Ctec II GmbH                                                                      | Ctec II GmbH                                                                                   | CUSIP: N/A<br>LEI: 98450044C9BACG3DA974       | Long             | DBT              | CORP              | DE        |     1669000 | PA      | $1449761.59   | 0.15%             | 2030-02-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Korea                                                                 | Republic of Korea                                                                              | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |  9363000000 | PA      | $6644675.07   | 0.69%             | 2027-06-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-719795.67   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Small Business Administration                                       | United States Small Business Administration, Series 2013-20C, Class 1                          | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      242748 | PA      | $221016.90    | 0.02%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDS                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | FR        |      990000 | PA      | $27026.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Iceland Bondco plc                                                                | Iceland Bondco plc                                                                             | CUSIP: N/A<br>LEI: 2138002DRBYIA8QXHO36       | Long             | DBT              | CORP              | GB        |     1795000 | PA      | $1790233.16   | 0.19%             | 2025-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                                         | STWD Ltd., Series 2021-FL2, Class B                                                            | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1223000 | PA      | $1169500.72   | 0.12%             | 2038-04-18      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                    | Commonwealth Bank of Australia                                                                 | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     1696000 | PA      | $1293337.88   | 0.14%             | 2031-03-11      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-103074.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18081.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                         | Republic of Serbia                                                                             | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |      800000 | PA      | $502038.72    | 0.05%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $144246.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24906.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                    | Morgan Stanley                                                                                 | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      418000 | PA      | $512474.88    | 0.05%             | 2033-11-18      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| ESB Finance DAC                                                                   | ESB Finance DAC                                                                                | CUSIP: N/A<br>LEI: 635400VCPRSU89DLMZ57       | Long             | DBT              | CORP              | IE        |     1520000 | PA      | $1197210.48   | 0.13%             | 2034-07-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                        | Constellation Brands, Inc.                                                                     | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      760000 | PA      | $608132.32    | 0.06%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      645221 | PA      | $552381.89    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                                 | LYB International Finance III LLC                                                              | CUSIP: 50249AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      585000 | PA      | $438322.41    | 0.05%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-58587.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      291298 | PA      | $240739.17    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2665713.64   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2863.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      625000 | PA      | $565123.82    | 0.06%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-125637.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                                 | Philip Morris International, Inc.                                                              | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      466000 | PA      | $466985.27    | 0.05%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                                  | TRTX Issuer Ltd., Series 2021-FL4, Class A                                                     | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      762000 | PA      | $734836.99    | 0.08%             | 2038-03-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Kreditanstalt fuer Wiederaufbau                                                   | Kreditanstalt fuer Wiederaufbau                                                                | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | NUSS              | DE        |     6983000 | PA      | $5891729.79   | 0.62%             | 2037-03-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| State Oil Co. of the Azerbaijan Republic                                          | State Oil Co. of the Azerbaijan Republic                                                       | CUSIP: N/A<br>LEI: 2549002HARR1VE257O76       | Long             | DBT              | NUSS              | AZ        |     1000000 | PA      | $1011808.00   | 0.11%             | 2030-03-18      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                      | Sabine Pass Liquefaction LLC                                                                   | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      792000 | PA      | $747736.97    | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                                | Regency Centers LP                                                                             | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |      679000 | PA      | $593526.16    | 0.06%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                           | BPCE SA                                                                                        | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1100000 | PA      | $1053824.87   | 0.11%             | 2025-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Islandsbanki HF                                                                   | Islandsbanki HF                                                                                | CUSIP: N/A<br>LEI: 549300PZMFIQR79Q0T97       | Long             | DBT              | CORP              | IS        |      830000 | PA      | $738902.28    | 0.08%             | 2025-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1752031 | PA      | $1488343.52   | 0.16%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TriMas Corp.                                                                      | TriMas Corp.                                                                                   | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |     3460000 | PA      | $2949650.00   | 0.31%             | 2029-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $167946.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                   | Virginia Electric and Power Co., Series A                                                      | CUSIP: 927804FX7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      558000 | PA      | $530566.28    | 0.06%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-736.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Investment Energy Resources Ltd.                                                  | Investment Energy Resources Ltd.                                                               | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |      820000 | PA      | $745687.66    | 0.08%             | 2029-04-26      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-186942.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class XA                               | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15780521 | PA      | $1414687.45   | 0.15%             | 2054-08-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-244907.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Imerys SA                                                                         | Imerys SA                                                                                      | CUSIP: N/A<br>LEI: 54930075MZSSIB2TGC64       | Long             | DBT              | CORP              | FR        |      900000 | PA      | $658153.49    | 0.07%             | 2031-07-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Hammerson Ireland Finance DAC                                                     | Hammerson Ireland Finance DAC                                                                  | CUSIP: N/A<br>LEI: 63540093EUHUMTGSHN61       | Long             | DBT              | CORP              | IE        |      776000 | PA      | $635584.44    | 0.07%             | 2027-06-03      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Finance I BV                                             | Thermo Fisher Scientific Finance I BV                                                          | CUSIP: N/A<br>LEI: 549300SM0PJC1F3RPL91       | Long             | DBT              | CORP              | NL        |      920000 | PA      | $680589.20    | 0.07%             | 2051-10-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-704138.51   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery | NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery, Series 2020 | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $932827.86    | 0.10%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1126028.29   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                          | MF1 Ltd., Series 2020-FL4, Class AS                                                            | CUSIP: 58003UAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      647000 | PA      | $620261.37    | 0.06%             | 2035-11-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Visa, Inc.                                                                        | Visa, Inc.                                                                                     | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      563000 | PA      | $479075.19    | 0.05%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6543.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development                               | International Bank for Reconstruction & Development                                            | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | AU        |      590000 | PA      | $404663.77    | 0.04%             | 2025-06-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TELUS Corp.                                                                       | TELUS Corp., Series CAF                                                                        | CUSIP: 87971MBV4<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |     1475000 | PA      | $936646.66    | 0.10%             | 2031-11-13      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Energean Israel Finance Ltd.                                                      | Energean Israel Finance Ltd.                                                                   | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |     1300000 | PA      | $1205750.00   | 0.13%             | 2026-03-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                                      | Fiserv, Inc.                                                                                   | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     1341000 | PA      | $1135115.73   | 0.12%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Glencore Capital Finance DAC                                                      | Glencore Capital Finance DAC                                                                   | CUSIP: N/A<br>LEI: 213800HCUCI1HC7X6Q34       | Long             | DBT              | CORP              | IE        |     1370000 | PA      | $1228800.64   | 0.13%             | 2028-03-10      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class XAM                 | CUSIP: 3137FEZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    46683000 | PA      | $335860.84    | 0.04%             | 2028-04-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                             | United Mexican States                                                                          | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1046000 | PA      | $704659.07    | 0.07%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-781758.82   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-123716.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133KNEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      795242 | PA      | $680790.29    | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                      | CaixaBank SA                                                                                   | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |      600000 | PA      | $646437.37    | 0.07%             | 2030-11-14      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Shinhan Bank Co. Ltd.                                                             | Shinhan Bank Co. Ltd.                                                                          | CUSIP: 82460CAR5<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |     1850000 | PA      | $1645353.65   | 0.17%             | 2032-04-13      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140MPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3899612 | PA      | $3338869.04   | 0.35%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5655.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Summer BC Holdco A SARL                                                           | Summer BC Holdco A SARL                                                                        | CUSIP: N/A<br>LEI: 984500EFA0BRE0008996       | Long             | DBT              | CORP              | LU        |     2230105 | PA      | $1798687.50   | 0.19%             | 2027-10-31      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $514.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                               | NatWest Markets plc                                                                            | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | Long             | DBT              | CORP              | GB        |      392000 | PA      | $485665.09    | 0.05%             | 2027-11-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      599940 | PA      | $572923.63    | 0.06%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sarens Finance Co. NV                                                             | Sarens Finance Co. NV                                                                          | CUSIP: N/A<br>LEI: 549300B68EWZ6IHPCL79       | Long             | DBT              | CORP              | BE        |     1611000 | PA      | $1266357.56   | 0.13%             | 2027-02-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Shelter Growth CRE Issuer Ltd.                                                    | Shelter Growth CRE Issuer Ltd., Series 2021-FL3, Class C                                       | CUSIP: 822866AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     1212000 | PA      | $1136065.17   | 0.12%             | 2036-09-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19887 | PA      | $19383.26     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Novelis Sheet Ingot GmbH                                                          | Novelis Sheet Ingot GmbH                                                                       | CUSIP: N/A<br>LEI: 9845005E95899E77AY49       | Long             | DBT              | CORP              | DE        |     2290000 | PA      | $2065066.22   | 0.22%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                                   | Microsoft Corp.                                                                                | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     1346000 | PA      | $1301898.48   | 0.14%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $97658.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1269523.40  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      248848 | PA      | $213093.82    | 0.02%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                                                    | Corporate Office Properties LP                                                                 | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      841000 | PA      | $738645.31    | 0.08%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Samhallsbyggnadsbolaget i Norden AB                                               | Samhallsbyggnadsbolaget i Norden AB                                                            | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |     2600000 | PA      | $1062473.42   | 0.11%             | 2026-10-30      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Commercial Bank PSQC (The)                                                        | Commercial Bank PSQC (The)                                                                     | CUSIP: N/A<br>LEI: 2138004FUUD4I7X8H721       | Long             | DBT              | CORP              | QA        |     2500000 | PA      | $2228250.00   | 0.23%             | 2026-03-03      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-532451.98   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $107897.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| InterContinental Hotels Group plc                                                 | InterContinental Hotels Group plc                                                              | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |      890000 | PA      | $932435.59    | 0.10%             | 2028-10-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Allianz SE                                                                        | Allianz SE                                                                                     | CUSIP: 018820AA8<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     1200000 | PA      | $1018500.00   | 0.11%             | 2025-11-17      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $312645.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Ipoteka-Bank ATIB                                                                 | Ipoteka-Bank ATIB                                                                              | CUSIP: N/A<br>LEI: 213800UWVX5JSNXJS434       | Long             | DBT              | CORP              | UZ        |     2202000 | PA      | $1882710.00   | 0.20%             | 2025-11-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                              | ERAC USA Finance LLC                                                                           | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      210000 | PA      | $228429.29    | 0.02%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                                           | Eni SpA                                                                                        | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     1139000 | PA      | $1057042.70   | 0.11%             | 2029-05-09      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-41594.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                           | GFL Environmental, Inc.                                                                        | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     3260000 | PA      | $2796770.30   | 0.29%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5829.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                         | Commonwealth of Australia                                                                      | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    26851000 | PA      | $16869308.68  | 1.76%             | 2039-06-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Hiscox Ltd.                                                                       | Hiscox Ltd.                                                                                    | CUSIP: N/A<br>LEI: 5493007JXOLJ0QCY2D70       | Long             | DBT              | CORP              | BM        |      880000 | PA      | $1063844.29   | 0.11%             | 2027-09-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-76.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Euro-Buxl                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          76 | NC      | $23850.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| APA Infrastructure Ltd.                                                           | APA Infrastructure Ltd.                                                                        | CUSIP: N/A<br>LEI: 261700SS8OEHDOCOUJ33       | Long             | DBT              | CORP              | AU        |      910000 | PA      | $734566.73    | 0.08%             | 2036-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195518 | PA      | $169044.96    | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bermuda                                                                           | Bermuda Government Bond                                                                        | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     1933000 | PA      | $1860626.16   | 0.19%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                             | Las Vegas Sands Corp.                                                                          | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      925000 | PA      | $794383.90    | 0.08%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1955355.79  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM                 | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5068698 | PA      | $325990.78    | 0.03%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140MAVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      993174 | PA      | $850575.40    | 0.09%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                                      | Evergy, Inc.                                                                                   | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1359611.39   | 0.14%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                                  | Jersey Central Power & Light Co.                                                               | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |      626000 | PA      | $509067.21    | 0.05%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $190424.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418ENB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75000 | PA      | $66402.88     | 0.01%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                              | Glencore Funding LLC                                                                           | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      788000 | PA      | $648942.63    | 0.07%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22909.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Low Income Investment Fund                                                        | Low Income Investment Fund, Series 2019                                                        | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      840000 | PA      | $791277.09    | 0.08%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| ARD Finance SA                                                                    | ARD Finance SA                                                                                 | CUSIP: N/A<br>LEI: 6354006P6QPGGPVJW880       | Long             | DBT              | CORP              | LU        |     1831829 | PA      | $1337066.76   | 0.14%             | 2027-06-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Euronet Worldwide, Inc.                                                           | Euronet Worldwide, Inc.                                                                        | CUSIP: N/A<br>LEI: YG3575C4DSHJPA5KET68       | Long             | DBT              | CORP              | US        |     1450000 | PA      | $1356323.25   | 0.14%             | 2026-05-22      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Pertamina Persero PT                                                              | Pertamina Persero PT                                                                           | CUSIP: N/A<br>LEI: 254900NDAKGNZ2IBBL45       | Long             | DBT              | NUSS              | ID        |     1667000 | PA      | $1565688.98   | 0.16%             | 2043-05-20      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-399907.33   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM                 | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3170959 | PA      | $260650.93    | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                                   | Microsoft Corp.                                                                                | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      888000 | PA      | $611555.25    | 0.06%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140MA3P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114634 | PA      | $98354.66     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class C                       | CUSIP: 03881EAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1359500 | PA      | $1259032.95   | 0.13%             | 2036-05-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Bruce Power LP                                                                    | Bruce Power LP, Series 21-1                                                                    | CUSIP: 116705AK0<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     1650000 | PA      | $1104616.21   | 0.12%             | 2028-12-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-501.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                              | Anheuser-Busch InBev Worldwide, Inc.                                                           | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      669000 | PA      | $684940.18    | 0.07%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| European Financial Stability Facility                                             | European Financial Stability Facility                                                          | CUSIP: N/A<br>LEI: 222100OW6UHQXNHKN143       | Long             | DBT              | NUSS              | LU        |     1345000 | PA      | $1491466.02   | 0.16%             | 2037-04-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Belfius Bank SA                                                                   | Belfius Bank SA                                                                                | CUSIP: N/A<br>LEI: A5GWLFH3KM7YV2SFQL84       | Long             | DBT              | NUSS              | BE        |     1300000 | PA      | $1064881.37   | 0.11%             | 2034-04-06      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Zurich Finance Ireland Designated Activity Co.                                    | Zurich Finance Ireland Designated Activity Co.                                                 | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |      800000 | PA      | $605920.00    | 0.06%             | 2051-04-19      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5704.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                                          | PFP Ltd., Series 2021-8, Class B                                                               | CUSIP: 69357XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      812000 | PA      | $729721.66    | 0.08%             | 2037-08-09      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                           | Bath & Body Works, Inc.                                                                        | CUSIP: 501797AN4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     1330000 | PA      | $1224001.02   | 0.13%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12331160.55 | -1.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4496.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pernod Ricard SA                                                                  | Pernod Ricard SA                                                                               | CUSIP: N/A<br>LEI: 52990097YFPX9J0H5D87       | Long             | DBT              | CORP              | FR        |      500000 | PA      | $537336.71    | 0.06%             | 2032-11-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Global Aircraft Leasing Co. Ltd.                                                  | Global Aircraft Leasing Co. Ltd., Series 2021                                                  | CUSIP: 37960JAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1253862 | PA      | $1046930.42   | 0.11%             | 2024-09-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM                 | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3948102 | PA      | $272677.24    | 0.03%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $45844.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                                                   | DAE Funding LLC                                                                                | CUSIP: N/A<br>LEI: 635400SZTPQL3Y1P2C76       | Long             | DBT              | CORP              | US        |      850000 | PA      | $740795.40    | 0.08%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                         | HCA, Inc.                                                                                      | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      896000 | PA      | $798633.18    | 0.08%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                              | Ontario Teachers' Cadillac Fairview Properties Trust                                           | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      878000 | PA      | $685159.35    | 0.07%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6391601.18  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                     | Equinix, Inc.                                                                                  | CUSIP: N/A<br>LEI: 549300EVUN2BTLJ3GT74       | Long             | DBT              | CORP              | US        |     1665000 | PA      | $1307474.66   | 0.14%             | 2033-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Neste OYJ                                                                         | Neste OYJ                                                                                      | CUSIP: N/A<br>LEI: 5493009GY1X8GQ66AM14       | Long             | DBT              | CORP              | FI        |     1400000 | PA      | $1257471.46   | 0.13%             | 2028-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                 | Wells Fargo & Co.                                                                              | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1828000 | PA      | $1529469.03   | 0.16%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                                  | Credit Suisse AG                                                                               | CUSIP: N/A<br>LEI: ANGGYXNX0JLX3X63JN86       | Long             | DBT              | CORP              | CH        |      890000 | PA      | $881603.63    | 0.09%             | 2024-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Euro-Bobl                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -539 | NC      | $1084663.07   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Enbridge, Inc.                                                                    | Enbridge, Inc.                                                                                 | CUSIP: 29250NAT2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     1400000 | PA      | $957992.79    | 0.10%             | 2077-09-27      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                              | United Kingdom of Great Britain and Northern Ireland                                           | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    30892000 | PA      | $34003773.44  | 3.55%             | 2027-07-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NN Group NV                                                                       | NN Group NV                                                                                    | CUSIP: N/A<br>LEI: 724500OHYNDT9OY6Q215       | Long             | DBT              | CORP              | NL        |     1540000 | PA      | $1536724.38   | 0.16%             | 2048-01-13      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                                       | Apple, Inc.                                                                                    | CUSIP: 037833CR9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     2523000 | PA      | $2422127.43   | 0.25%             | 2027-05-11      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                         | Prosus NV                                                                                      | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      895000 | PA      | $668130.81    | 0.07%             | 2031-07-13      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $374.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                       | Toronto-Dominion Bank (The)                                                                    | CUSIP: 89115A2C5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     2190000 | PA      | $2114755.65   | 0.22%             | 2027-06-08      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Allegro CLO IV Ltd.                                                               | Allegro CLO IV Ltd., Series 2016-1A, Class BR2                                                 | CUSIP: 01749TAQ3<br>LEI: 635400THLJMIHHPCEN50 | Long             | ABS-CBDO         | CORP              | KY        |      855495 | PA      | $829885.76    | 0.09%             | 2030-01-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Holcim Sterling Finance Netherlands BV                                            | Holcim Sterling Finance Netherlands BV                                                         | CUSIP: N/A<br>LEI: 529900KU5LFL22MEGK07       | Long             | DBT              | CORP              | NL        |     1020000 | PA      | $867895.13    | 0.09%             | 2034-04-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-69007.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1062092.29  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority                                     | Massachusetts Educational Financing Authority                                                  | CUSIP: 57563RSU4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     2690000 | PA      | $2590077.53   | 0.27%             | 2038-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2019-FL2, Class AS                      | CUSIP: 03880VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $442070.10    | 0.05%             | 2034-09-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Mong Duong Finance Holdings BV                                                    | Mong Duong Finance Holdings BV                                                                 | CUSIP: N/A<br>LEI: 549300995KGQFMWSV879       | Long             | DBT              | CORP              | NL        |     1450000 | PA      | $1232500.00   | 0.13%             | 2029-05-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-27848.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $73268.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                 | Wells Fargo & Co.                                                                              | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2658000 | PA      | $2469005.70   | 0.26%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bonds                                                                            | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      590000 | PA      | $428648.83    | 0.04%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9389.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5711.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-84.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                                 | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                                    | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      632000 | PA      | $585724.96    | 0.06%             | 2038-12-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4017.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen International Finance NV                                               | Volkswagen International Finance NV                                                            | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $868776.13    | 0.09%             | 2031-03-28      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                          | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      312669 | PA      | $320254.29    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                                | DT Midstream, Inc.                                                                             | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3370000 | PA      | $2969307.00   | 0.31%             | 2029-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-87242.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $33841.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63588 | PA      | $55379.34     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                          | Electricite de France SA                                                                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |     1400000 | PA      | $1209177.21   | 0.13%             | 2026-12-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5424.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vonovia SE                                                                        | Vonovia SE                                                                                     | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |     1100000 | PA      | $638271.58    | 0.07%             | 2051-09-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                             | Mex Bonos Desarr Fix Rt                                                                        | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   265600000 | PA      | $12808791.96  | 1.34%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $53594.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                  | Deutsche Bank AG                                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |      700000 | PA      | $639139.02    | 0.07%             | 2028-02-23      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21578.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                                 | NatWest Group plc                                                                              | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |      630000 | PA      | $760879.27    | 0.08%             | 2033-06-06      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Low Income Investment Fund                                                        | Low Income Investment Fund, Series 2019                                                        | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $295749.64    | 0.03%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                                    | WP Carey, Inc.                                                                                 | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     1717000 | PA      | $1365233.45   | 0.14%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140QNWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      991603 | PA      | $849066.91    | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $240978.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $187532.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| City of Oslo Norway                                                               | City of Oslo Norway                                                                            | CUSIP: N/A<br>LEI: 5967007LIEEXZXGVU850       | Long             | DBT              | NUSS              | NO        |    26000000 | PA      | $2368458.25   | 0.25%             | 2029-05-18      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                    | Morgan Stanley                                                                                 | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3475000 | PA      | $3096773.95   | 0.32%             | 2031-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                                                   | Telefonaktiebolaget LM Ericsson                                                                | CUSIP: N/A<br>LEI: 549300W9JLPW15XIFM52       | Long             | DBT              | CORP              | SE        |     1390000 | PA      | $1248975.52   | 0.13%             | 2027-02-08      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Commerzbank AG                                                                    | Commerzbank AG                                                                                 | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $818086.43    | 0.09%             | 2028-03-21      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FS RIALTO                                                                         | FS RIALTO, Series 2021-FL2, Class AS                                                           | CUSIP: 30319YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2483500 | PA      | $2362372.25   | 0.25%             | 2038-05-16      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                      | Avolon Holdings Funding Ltd.                                                                   | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      773000 | PA      | $736163.22    | 0.08%             | 2024-07-01      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-482.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133BEW58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1624887 | PA      | $1439703.00   | 0.15%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                      | CaixaBank SA                                                                                   | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |      300000 | PA      | $317321.61    | 0.03%             | 2033-02-23      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                                | Republic of Panama                                                                             | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     2309000 | PA      | $1895383.29   | 0.20%             | 2033-01-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FORT CRE Issuer LLC                                                               | FORT CRE Issuer LLC, Series 2022-FL3, Class AS                                                 | CUSIP: 34706CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      990500 | PA      | $946228.61    | 0.10%             | 2039-02-23      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                                  | CCO Holdings LLC                                                                               | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3360000 | PA      | $2830800.00   | 0.30%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bonds                                                                            | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12359000 | PA      | $9237387.01   | 0.96%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150902 | PA      | $141163.70    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Australia 10 Year Bond                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -110 | NC      | $-57270.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25025.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                          | MF1 Ltd., Series 2021-FL6, Class B                                                             | CUSIP: 55283TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3576539.48   | 0.37%             | 2036-07-16      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| VICI Properties LP                                                                | VICI Properties LP                                                                             | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1767000 | PA      | $1670438.86   | 0.17%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Krung Thai Bank PCL                                                               | Krung Thai Bank PCL                                                                            | CUSIP: N/A<br>LEI: 54930007ZQMYCRFQGE36       | Long             | DBT              | CORP              | TH        |     1500000 | PA      | $1282500.00   | 0.13%             | 2026-03-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                  | Brixmor Operating Partnership LP                                                               | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      947000 | PA      | $827615.54    | 0.09%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| VGP NV                                                                            | VGP NV                                                                                         | CUSIP: N/A<br>LEI: 315700NENYPIXFR94T49       | Long             | DBT              | CORP              | BE        |     1500000 | PA      | $1038679.96   | 0.11%             | 2029-04-08      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                             | Bank of America Corp.                                                                          | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2195000 | PA      | $2104634.94   | 0.22%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury Ultra Bond                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          62 | NC      | $37072.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Long Gilt                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          89 | NC      | $21566.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2811354.34  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Wabtec Transportation Netherlands BV                                              | Wabtec Transportation Netherlands BV                                                           | CUSIP: N/A<br>LEI: 213800W8WKL7DR8NFE48       | Long             | DBT              | CORP              | NL        |     1268000 | PA      | $1142797.05   | 0.12%             | 2027-12-03      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      925000 | PA      | $935970.48    | 0.10%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106305 | PA      | $91403.03     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPP-Distribucia A/S                                                               | SPP-Distribucia A/S                                                                            | CUSIP: N/A<br>LEI: 213800AGL5LRVQNANS48       | Long             | DBT              | CORP              | SK        |     1400000 | PA      | $950646.38    | 0.10%             | 2031-06-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-276407.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-176908.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                             | Bank of America Corp.                                                                          | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1746000 | PA      | $1414503.46   | 0.15%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                        | Anglo American Capital plc                                                                     | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      451000 | PA      | $448570.95    | 0.05%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73890 | PA      | $64673.94     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                                            | WEC Energy Group, Inc.                                                                         | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     1145000 | PA      | $904126.65    | 0.09%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Dar Al-Arkan Sukuk Co. Ltd.                                                       | Dar Al-Arkan Sukuk Co. Ltd.                                                                    | CUSIP: N/A<br>LEI: 5493000UYHRBXEIYUQ69       | Long             | DBT              | CORP              | KY        |     1500000 | PA      | $1396122.00   | 0.15%             | 2027-02-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                                    | AIA Group Ltd.                                                                                 | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |     2230000 | PA      | $1798014.00   | 0.19%             | 2033-09-09      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 2 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         167 | NC      | $71692.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK                                                                              | BANK, Series 2021-BN35, Class XA                                                               | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9493398 | PA      | $568621.29    | 0.06%             | 2064-06-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                                        | Australia & New Zealand Banking Group Ltd.                                                     | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     1133000 | PA      | $826361.06    | 0.09%             | 2035-11-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                                                       | Apple, Inc.                                                                                    | CUSIP: 037833BW9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      953000 | PA      | $962576.72    | 0.10%             | 2036-02-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class D                       | CUSIP: 03880XAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2200500.00   | 0.23%             | 2037-01-15      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                             | WMG Acquisition Corp.                                                                          | CUSIP: N/A<br>LEI: 549300NAS11NXI33CP80       | Long             | DBT              | CORP              | US        |     1460000 | PA      | $1172121.44   | 0.12%             | 2031-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $53641.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12015 | PA      | $11736.00     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1036134 | PA      | $887059.60    | 0.09%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury Long Bond                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -40 | NC      | $-21085.48    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-119373.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74591 | PA      | $61452.33     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                     | Federative Republic of Brazil                                                                  | CUSIP: 105756BY5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      400000 | PA      | $329583.00    | 0.03%             | 2047-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                     | Comcast Corp.                                                                                  | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      861000 | PA      | $719450.61    | 0.08%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                          | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      413729 | PA      | $415225.33    | 0.04%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $260282.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                    | Morgan Stanley Capital I Trust, Series 2021-L5, Class XA                                       | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5717445 | PA      | $401228.01    | 0.04%             | 2054-05-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133ARXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26719 | PA      | $22972.98     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                          | UnitedHealth Group, Inc.                                                                       | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1031000 | PA      | $1012081.50   | 0.11%             | 2035-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                                           | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                                               | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      387671 | PA      | $343135.41    | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Japan                                                                             | Japan Government Bond                                                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3180900000 | PA      | $25195197.35  | 2.63%             | 2044-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ACREC Ltd.                                                                        | ACREC Ltd., Series 2021-FL1, Class C                                                           | CUSIP: 00500RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2557500 | PA      | $2395998.73   | 0.25%             | 2036-10-16      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Republic of the Philippines                                                       | Republic of Philippines                                                                        | CUSIP: 718286CR6<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      759000 | PA      | $683912.11    | 0.07%             | 2032-09-29      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                             | United Mexican States                                                                          | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1049000 | PA      | $985263.97    | 0.10%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                        | Anglo American Capital plc                                                                     | CUSIP: N/A<br>LEI: TINT358G1SSHR3L3PW36       | Long             | DBT              | CORP              | GB        |      610000 | PA      | $646285.74    | 0.07%             | 2032-09-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Segro Capital Sarl                                                                | Segro Capital Sarl                                                                             | CUSIP: N/A<br>LEI: 549300HY425AKJLQVX75       | Long             | DBT              | CORP              | LU        |      850000 | PA      | $640429.63    | 0.07%             | 2031-09-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                            | CUSIP: 912796XY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5380000 | PA      | $5214446.64   | 0.54%             | 2023-08-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                      | Discovery Communications LLC                                                                   | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     1860000 | PA      | $1637481.47   | 0.17%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                | T-Mobile USA, Inc.                                                                             | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      582000 | PA      | $534529.27    | 0.06%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                                      | KazMunayGas National Co. JSC                                                                   | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     1097000 | PA      | $877582.45    | 0.09%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                                       | Business Jet Securities LLC, Series 2020-1A, Class A                                           | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      358944 | PA      | $325325.27    | 0.03%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                                    | EPR Properties                                                                                 | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      694000 | PA      | $508838.09    | 0.05%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                      | Barclays plc                                                                                   | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |      750000 | PA      | $935410.80    | 0.10%             | 2032-11-14      | Variable      | 8.41%                 | No            |                  2 | On Loan: No      |
| SES SA                                                                            | SES SA                                                                                         | CUSIP: N/A<br>LEI: 5493008JPA4HYMH1HX51       | Long             | DBT              | CORP              | LU        |     1040000 | PA      | $1006818.97   | 0.11%             | 2029-01-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kingdom of Morocco                                                                | Kingdom of Morocco                                                                             | CUSIP: N/A<br>LEI: 529900F3MBW9XY5K1X07       | Long             | DBT              | NUSS              | MA        |      650000 | PA      | $514917.00    | 0.05%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                                         | BXMT Ltd., Series 2021-FL4, Class B                                                            | CUSIP: 05609GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     2995500 | PA      | $2798908.03   | 0.29%             | 2038-05-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| United Overseas Bank Ltd.                                                         | United Overseas Bank Ltd.                                                                      | CUSIP: 91127KAE2<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | DBT              | CORP              | SG        |     1000000 | PA      | $873722.08    | 0.09%             | 2031-10-14      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $181549.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| People's Republic of China                                                        | People's Republic of China                                                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |   128100000 | PA      | $18240503.32  | 1.90%             | 2026-03-11      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K738, Class XAM                 | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1517000 | PA      | $76031.43     | 0.01%             | 2027-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                                                        | Michigan Finance Authority                                                                     | CUSIP: 59447TXX6<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     1040000 | PA      | $826256.70    | 0.09%             | 2040-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                    | Morgan Stanley                                                                                 | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1343496.92   | 0.14%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Holding d'Infrastructures de Transport SASU                                       | Holding d'Infrastructures de Transport SASU                                                    | CUSIP: N/A<br>LEI: 9695004S3RCE0Q5V8G28       | Long             | DBT              | CORP              | FR        |     1400000 | PA      | $1166538.42   | 0.12%             | 2031-01-18      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9234.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mastercard, Inc.                                                                  | Mastercard, Inc.                                                                               | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     1960000 | PA      | $1887436.88   | 0.20%             | 2027-03-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-48700.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                    | Morgan Stanley                                                                                 | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1950000 | PA      | $1829060.49   | 0.19%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                                      | Fiserv, Inc.                                                                                   | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      669000 | PA      | $551395.37    | 0.06%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18283.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                                                   | Telefonaktiebolaget LM Ericsson                                                                | CUSIP: N/A<br>LEI: 549300W9JLPW15XIFM52       | Long             | DBT              | CORP              | SE        |     1830000 | PA      | $1448987.98   | 0.15%             | 2029-05-26      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                       | Bundesrepublik Deutschland                                                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     7282375 | PA      | $4540079.24   | 0.47%             | 2052-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EnBW International Finance BV                                                     | EnBW International Finance BV                                                                  | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |      250000 | PA      | $265260.91    | 0.03%             | 2029-11-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                                       | Raytheon Technologies Corp.                                                                    | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     1987000 | PA      | $1362289.15   | 0.14%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-130643.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XFTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5127414 | PA      | $4389758.70   | 0.46%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enel SpA                                                                          | Enel SpA, Series 9.5Y                                                                          | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |     1395000 | PA      | $1039819.68   | 0.11%             | 2030-06-08      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140QPCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1124998 | PA      | $963154.97    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Uzbek Industrial and Construction Bank ATB                                        | Uzbek Industrial and Construction Bank ATB                                                     | CUSIP: N/A<br>LEI: 213800C2NIFPFTXYIU69       | Long             | DBT              | CORP              | UZ        |     1930000 | PA      | $1770775.00   | 0.18%             | 2024-12-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49568 | PA      | $40898.10     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM                 | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1901519 | PA      | $139165.52    | 0.01%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Oman Government International Bond                                                | Sultanate of Oman Government Bond                                                              | CUSIP: N/A<br>LEI: 549300SZ20F0QTKNQC75       | Long             | DBT              | NUSS              | OM        |     2550000 | PA      | $2378135.10   | 0.25%             | 2051-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-151.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $129332.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance Canada, Inc.                                                | Mercedes-Benz Finance Canada, Inc.                                                             | CUSIP: N/A<br>LEI: 549300G6QKWRPOX3M965       | Long             | DBT              | CORP              | CA        |      580000 | PA      | $601825.48    | 0.06%             | 2027-02-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $34348.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                                | Credit Agricole SA                                                                             | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $721786.14    | 0.08%             | 2027-11-29      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Clearway Energy Operating LLC                                                     | Clearway Energy Operating LLC                                                                  | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     3480000 | PA      | $2948221.20   | 0.31%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                       | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class C                          | CUSIP: 55282XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      645000 | PA      | $599686.82    | 0.06%             | 2036-07-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                          | International Flavors & Fragrances, Inc.                                                       | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      917000 | PA      | $766358.98    | 0.08%             | 2027-10-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140X7XH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22295 | PA      | $18446.63     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ubisoft Entertainment SA                                                          | Ubisoft Entertainment SA                                                                       | CUSIP: N/A<br>LEI: 969500I7C8V1LBIMSM05       | Long             | DBT              | CORP              | FR        |      700000 | PA      | $555839.82    | 0.06%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140JPLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167260 | PA      | $156675.75    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 10 Year Ultra Note                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -92 | NC      | $-18586.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| National Grid Electricity Transmission plc                                        | National Grid Electricity Transmission plc                                                     | CUSIP: N/A<br>LEI: 5XJXCCYG4SDKFJ5WLB02       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $766517.31    | 0.08%             | 2040-04-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELO SACA                                                                          | ELO SACA                                                                                       | CUSIP: N/A<br>LEI: 969500ASEC557H5A4F22       | Long             | DBT              | CORP              | FR        |      800000 | PA      | $782775.96    | 0.08%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-195166.43   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Zurich Insurance Co. Ltd.                                                         | Zurich Insurance Co. Ltd.                                                                      | CUSIP: N/A<br>LEI: 50ZCTKCMUDIABGHX3R52       | Long             | DBT              | CORP              | NL        |     1230000 | PA      | $1129133.15   | 0.12%             | 2049-02-19      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2022-C18, Class AS                                                | CUSIP: 054975AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1004922 | PA      | $1056461.03   | 0.11%             | 2055-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      267420 | PA      | $237422.42    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| P3 Group SARL                                                                     | P3 Group SARL                                                                                  | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |     1160000 | PA      | $996582.54    | 0.10%             | 2026-01-26      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Engie Energia Chile SA                                                            | Engie Energia Chile SA                                                                         | CUSIP: N/A<br>LEI: 5493000FIKCC3ZDWTO77       | Long             | DBT              | CORP              | CL        |      858000 | PA      | $821535.00    | 0.09%             | 2025-01-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                            | Standard Chartered plc                                                                         | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |      910000 | PA      | $759198.81    | 0.08%             | 2029-11-17      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                                          | PFP Ltd., Series 2021-7, Class C                                                               | CUSIP: 69290LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      468477 | PA      | $433764.84    | 0.05%             | 2038-04-14      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Virgin Media Finance plc                                                          | Virgin Media Finance plc                                                                       | CUSIP: N/A<br>LEI: 2138001LVYC87DDHT482       | Long             | DBT              | CORP              | GB        |     2950000 | PA      | $2436783.45   | 0.25%             | 2030-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                    | Broadcom, Inc.                                                                                 | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1876000 | PA      | $1524306.60   | 0.16%             | 2033-04-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4699.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Grand City Properties SA                                                          | Grand City Properties SA                                                                       | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | DBT              | CORP              | LU        |     1200000 | PA      | $549536.70    | 0.06%             | 2026-03-11      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                   | Goldman Sachs Group, Inc. (The)                                                                | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1439000 | PA      | $1090095.34   | 0.11%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $181556.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                                      | Canadian Pacific Railway Co.                                                                   | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      906000 | PA      | $755042.18    | 0.08%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $735.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                         | KREF Ltd., Series 2021-FL2, Class B                                                            | CUSIP: 48275RAE7<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     2155000 | PA      | $1993415.95   | 0.21%             | 2039-02-15      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133B93H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      387874 | PA      | $332546.61    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                       | Rogers Communications, Inc.                                                                    | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      821000 | PA      | $726823.94    | 0.08%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Euro-Schatz                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -762 | NC      | $422148.57    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                                               | Societe Generale SA                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | DBT              | CORP              | FR        |      700000 | PA      | $740581.71    | 0.08%             | 2027-11-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      255714 | PA      | $220017.59    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3136197 | PA      | $3053857.23   | 0.32%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61497 | PA      | $53624.14     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                        | AerCap Ireland Capital DAC                                                                     | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      299000 | PA      | $219334.37    | 0.02%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Star Energy Geothermal Wayang Windu Ltd.                                          | Star Energy Geothermal Wayang Windu Ltd.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |      810800 | PA      | $759507.70    | 0.08%             | 2033-04-24      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-75115.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bouygues SA                                                                       | Bouygues SA                                                                                    | CUSIP: N/A<br>LEI: 969500MOCLNQFNZN0D63       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $662015.16    | 0.07%             | 2032-06-07      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Investor AB                                                                       | Investor AB                                                                                    | CUSIP: N/A<br>LEI: 549300VEBQPHRZBKUX38       | Long             | DBT              | CORP              | SE        |      295000 | PA      | $294053.27    | 0.03%             | 2032-06-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      482906 | PA      | $398414.16    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                                            | CTP NV                                                                                         | CUSIP: N/A<br>LEI: 3157000YTVO4TN65UM14       | Long             | DBT              | CORP              | NL        |     1140000 | PA      | $712567.59    | 0.07%             | 2031-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ziggo Bond Co. BV                                                                 | Ziggo Bond Co. BV                                                                              | CUSIP: N/A<br>LEI: 213800JYI4P7V5QDOG59       | Long             | DBT              | CORP              | NL        |     3175000 | PA      | $2523357.46   | 0.26%             | 2030-02-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TI Automotive Finance plc                                                         | TI Automotive Finance plc                                                                      | CUSIP: N/A<br>LEI: 549300MZ54ZRN8UFQS35       | Long             | DBT              | CORP              | GB        |     2590000 | PA      | $2082006.48   | 0.22%             | 2029-04-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39764 | PA      | $38756.18     | 0.00%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $38741.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                                 | Galaxy Pipeline Assets Bidco Ltd.                                                              | CUSIP: N/A<br>LEI: 549300L82YB0C6JQIC26       | Long             | DBT              | CORP              | JE        |      811990 | PA      | $750165.43    | 0.08%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-239037.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      304787 | PA      | $308795.21    | 0.03%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                                       | Dick's Sporting Goods, Inc.                                                                    | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     1054000 | PA      | $838871.53    | 0.09%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                                      | Verizon Communications, Inc.                                                                   | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1237147.17   | 0.13%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $474958.73    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MOL Hungarian Oil & Gas plc                                                       | MOL Hungarian Oil & Gas plc                                                                    | CUSIP: N/A<br>LEI: 213800R83KX5FQFGXS67       | Long             | DBT              | CORP              | HU        |      600000 | PA      | $515846.24    | 0.05%             | 2027-10-08      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                                        | Warnermedia Holdings, Inc.                                                                     | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1563000 | PA      | $1326985.67   | 0.14%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                                   | Nordstrom, Inc.                                                                                | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      597000 | PA      | $463594.38    | 0.05%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      755295 | PA      | $664063.80    | 0.07%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                                                         | Aon Corp.                                                                                      | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      204000 | PA      | $166997.30    | 0.02%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Republic of Croatia                                                               | Republic of Croatia                                                                            | CUSIP: N/A<br>LEI: 74780000O00QGQ7CER13       | Long             | DBT              | NUSS              | HR        |     3172000 | PA      | $2589934.54   | 0.27%             | 2033-03-04      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                                    | Southern California Edison Co.                                                                 | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1010000 | PA      | $753626.16    | 0.08%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Millicom International Cellular SA                                                | Millicom International Cellular SA                                                             | CUSIP: N/A<br>LEI: 549300CTHC1CP86P2G96       | Long             | DBT              | CORP              | LU        |      720000 | PA      | $651088.80    | 0.07%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust II                              | Navistar Financial Dealer Note Master Owner Trust II, Series 2022-1, Class A                   | CUSIP: 63938PBR9<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |      947000 | PA      | $948238.49    | 0.10%             | 2027-05-25      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                      | Avolon Holdings Funding Ltd.                                                                   | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1336000 | PA      | $1214437.99   | 0.13%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163546 | PA      | $145596.46    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2021-B27, Class XA                                            | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20286010 | PA      | $1452922.57   | 0.15%             | 2054-07-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                          | MF1 Ltd., Series 2021-FL6, Class AS                                                            | CUSIP: 55283TAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2364068.75   | 0.25%             | 2036-07-16      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                      | Sabine Pass Liquefaction LLC                                                                   | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1093000 | PA      | $1032751.12   | 0.11%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91742 | PA      | $79166.20     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Housing Finance Agency                                              | Massachusetts Housing Finance Agency                                                           | CUSIP: 57587GTN5<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |     1855000 | PA      | $1869653.39   | 0.20%             | 2052-12-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                            | Arab Republic of Egypt                                                                         | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     1900000 | PA      | $1302636.20   | 0.14%             | 2050-05-29      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-35570.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Money UK plc                                                               | Virgin Money UK plc                                                                            | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |      960000 | PA      | $1067892.38   | 0.11%             | 2030-12-11      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| MV24 Capital BV                                                                   | MV24 Capital BV                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |     1244460 | PA      | $1103298.28   | 0.12%             | 2034-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                                   | Microsoft Corp.                                                                                | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     1695000 | PA      | $1145524.71   | 0.12%             | 2060-06-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                                    | JBS USA LUX SA                                                                                 | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1595000 | PA      | $1315875.00   | 0.14%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                 | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1436426 | PA      | $105911.13    | 0.01%             | 2053-04-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1397265 | PA      | $1297793.77   | 0.14%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                                           | Arrow Electronics, Inc.                                                                        | CUSIP: 042735BG4<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |      506000 | PA      | $486052.05    | 0.05%             | 2024-09-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class XAM                 | CUSIP: 3137F4D82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    46151000 | PA      | $692408.07    | 0.07%             | 2028-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                    | Broadcom, Inc.                                                                                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       50000 | PA      | $36415.58     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                                           | Boston Scientific Corp.                                                                        | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     2680000 | PA      | $2313041.75   | 0.24%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Kingdom of Morocco                                                                | Kingdom of Morocco                                                                             | CUSIP: N/A<br>LEI: 529900F3MBW9XY5K1X07       | Long             | DBT              | NUSS              | MA        |     1600000 | PA      | $1296004.87   | 0.14%             | 2030-09-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10497.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $969286.76    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                         | Republic of Serbia                                                                             | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |     1028000 | PA      | $694066.64    | 0.07%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2356.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6360.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2406532.35  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Mastercard, Inc.                                                                  | Mastercard, Inc.                                                                               | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      691000 | PA      | $602804.00    | 0.06%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2021-B28, Class XA                                            | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21012479 | PA      | $1504804.51   | 0.16%             | 2054-08-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Ltd.                                                      | ACRES Commercial Realty Ltd., Series 2021-FL2, Class AS                                        | CUSIP: 00500JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1595500 | PA      | $1503267.81   | 0.16%             | 2037-01-15      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Province of Alberta Canada                                                        | Province of Alberta                                                                            | CUSIP: 013051DB0<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      760000 | PA      | $594524.92    | 0.06%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2021-C9, Class XA                                                 | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15133075 | PA      | $1391808.59   | 0.15%             | 2054-02-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                                     | UniCredit SpA                                                                                  | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |      510000 | PA      | $545236.73    | 0.06%             | 2027-11-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| RAC Bond Co. plc                                                                  | RAC Bond Co. plc                                                                               | CUSIP: N/A<br>LEI: 2138008FCM2SUNLC7B21       | Long             | DBT              | CORP              | GB        |      557000 | PA      | $611690.52    | 0.06%             | 2026-05-06      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Q-Park Holding I BV                                                               | Q-Park Holding I BV                                                                            | CUSIP: N/A<br>LEI: 2549003839B7HE3NDP48       | Long             | DBT              | CORP              | NL        |     3400000 | PA      | $2978145.19   | 0.31%             | 2027-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Ltd.                                                      | ACRES Commercial Realty Ltd., Series 2021-FL2, Class B                                         | CUSIP: 00500JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2479000 | PA      | $2345857.37   | 0.24%             | 2037-01-15      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-53668.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                         | Republic of Serbia                                                                             | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |      896000 | PA      | $562283.37    | 0.06%             | 2036-09-23      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                             | Kraft Heinz Foods Co.                                                                          | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     1624000 | PA      | $1566120.90   | 0.16%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $353648.11    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                         | KREF Ltd., Series 2021-FL2, Class AS                                                           | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2321587.50   | 0.24%             | 2039-02-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2999999 | PA      | $2838439.75   | 0.30%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12035.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133B9KD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      946724 | PA      | $811289.86    | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133BJNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26470 | PA      | $21831.99     | 0.00%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.                                         | Westinghouse Air Brake Technologies Corp.                                                      | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     2467000 | PA      | $2369696.09   | 0.25%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                  | Deutsche Bank AG                                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $385771.24    | 0.04%             | 2028-05-24      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1318.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freeport Indonesia PT                                                             | Freeport Indonesia PT                                                                          | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |      755000 | PA      | $698375.00    | 0.07%             | 2032-04-14      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL1, Class C                       | CUSIP: 03881CAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      204000 | PA      | $189972.35    | 0.02%             | 2035-12-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                         | Republic of Cote d'Ivoire                                                                      | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     2600000 | PA      | $2063038.22   | 0.22%             | 2040-10-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                                    | Thermo Fisher Scientific, Inc.                                                                 | CUSIP: 883556CK6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     1863000 | PA      | $1593552.00   | 0.17%             | 2028-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                           | Hyundai Capital America                                                                        | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     1680000 | PA      | $1715809.00   | 0.18%             | 2030-04-08      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class XA                               | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9362738 | PA      | $788256.40    | 0.08%             | 2054-04-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2020-B18, Class XA                                            | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12916814 | PA      | $1033018.31   | 0.11%             | 2053-07-15      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-104869.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                                           | Kingdom of Saudi Arabia                                                                        | CUSIP: 80413TAZ2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1300000 | PA      | $937822.60    | 0.10%             | 2051-11-17      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| People's Republic of China                                                        | People's Republic of China                                                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    80220000 | PA      | $11479721.72  | 1.20%             | 2029-11-21      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2476.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-77215.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      961208 | PA      | $865020.69    | 0.09%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-77854.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Senegal                                                               | Republic of Senegal                                                                            | CUSIP: N/A<br>LEI: 549300NP14ZLQGWIUZ97       | Long             | DBT              | NUSS              | SN        |     1400000 | PA      | $1169000.00   | 0.12%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                          | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33748 | PA      | $33000.16     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                               | Triton Container International Ltd.                                                            | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |     1009000 | PA      | $795770.07    | 0.08%             | 2031-06-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                                        | Southern Gas Corridor CJSC                                                                     | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |     1420000 | PA      | $1451808.00   | 0.15%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                  | Deutsche Bank AG                                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |      700000 | PA      | $657690.42    | 0.07%             | 2032-06-24      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, 30 Year, Single Family                                                                   | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1450000 | PA      | $1482503.36   | 0.15%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                           | Hyundai Capital America                                                                        | CUSIP: 44891ABX4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     1492000 | PA      | $1207654.51   | 0.13%             | 2028-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                              | Anheuser-Busch InBev Worldwide, Inc.                                                           | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     1112000 | PA      | $1018116.92   | 0.11%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDS                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |    57140000 | PA      | $-145188.47   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10381.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK                                                                              | BANK, Series 2022-BNK41, Class AS                                                              | CUSIP: 06540MBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2344000 | PA      | $1996957.20   | 0.21%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                              | U.K. Treasury                                                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     4675000 | PA      | $3893625.25   | 0.41%             | 2041-10-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-29928.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38151.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| La Banque Postale SA                                                              | La Banque Postale SA                                                                           | CUSIP: N/A<br>LEI: 96950066U5XAAIRCPA78       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $417559.48    | 0.04%             | 2034-03-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Adani Transmission Step-One Ltd.                                                  | Adani Transmission Step-One Ltd.                                                               | CUSIP: N/A<br>LEI: 335800Z8CGS7O7D72N41       | Long             | DBT              | CORP              | IN        |     1098500 | PA      | $808360.85    | 0.08%             | 2036-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18917.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM                 | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7523890 | PA      | $810992.58    | 0.08%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                                | Kingdom of Belgium                                                                             | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    11191000 | PA      | $7872422.80   | 0.82%             | 2040-06-22      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                   | French Republic                                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     6644200 | PA      | $4283111.89   | 0.45%             | 2053-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC                                            | Ardagh Metal Packaging Finance USA LLC                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1395444.61   | 0.15%             | 2029-09-01      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      675000 | PA      | $574382.81    | 0.06%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Galp Energia SGPS SA                                                              | Galp Energia SGPS SA                                                                           | CUSIP: N/A<br>LEI: 2138003319Y7NM75FG53       | Long             | DBT              | CORP              | PT        |     2000000 | PA      | $1933942.63   | 0.20%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Canpack SA                                                                        | Canpack SA                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1290000.00   | 0.13%             | 2025-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                        | AT&T, Inc.                                                                                     | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      335000 | PA      | $236549.89    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Standard Industries, Inc.                                                         | Standard Industries, Inc.                                                                      | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     1770000 | PA      | $1604177.55   | 0.17%             | 2028-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $96838.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-637.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $612.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXOR NV                                                                           | EXOR NV                                                                                        | CUSIP: N/A<br>LEI: 5493002ENHZ6NYET7405       | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $908583.25    | 0.09%             | 2030-04-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| New Enterprise Stone & Lime Co., Inc.                                             | New Enterprise Stone & Lime Co., Inc.                                                          | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2208200.00   | 0.23%             | 2028-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                              | LoanCore Issuer Ltd., Series 2021-CRE5, Class B                                                | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1395500 | PA      | $1289320.59   | 0.13%             | 2036-07-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| TriNet Group, Inc.                                                                | TriNet Group, Inc.                                                                             | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $2992500.00   | 0.31%             | 2029-03-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                        | AerCap Ireland Capital DAC                                                                     | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      375000 | PA      | $298863.63    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                         | Prosus NV                                                                                      | CUSIP: N/A<br>LEI: 635400Z5LQ5F9OLVT688       | Long             | DBT              | CORP              | NL        |      840000 | PA      | $658857.64    | 0.07%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Crown Castle International Corp.                                                  | Crown Castle International Corp.                                                               | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     2033000 | PA      | $1936417.52   | 0.20%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                     | Enel Finance International NV                                                                  | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      505000 | PA      | $444717.56    | 0.05%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2808520.90   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-25011.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toll Road Investors Partnership II LP                                             | Toll Road Investors Partnership II LP                                                          | CUSIP: 88948ABC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1754000 | PA      | $1297278.68   | 0.14%             | 2027-02-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4982.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                          | Electricite de France SA                                                                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |     1000000 | PA      | $988305.00    | 0.10%             | 2029-01-22      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Albion Financing 1 SARL                                                           | Albion Financing 1 SARL                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | LU        |     2370000 | PA      | $2198286.73   | 0.23%             | 2026-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-24727.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AA Bond Co. Ltd.                                                                  | AA Bond Co. Ltd.                                                                               | CUSIP: N/A<br>LEI: 2138002EPF6QVRZBMC58       | Long             | DBT              | CORP              | JE        |      980000 | PA      | $890539.44    | 0.09%             | 2028-07-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1333039.37   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                                        | Axalta Coating Systems LLC                                                                     | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2373780.50   | 0.25%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B                       | CUSIP: 03880KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1205000 | PA      | $1094026.73   | 0.11%             | 2034-08-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-56067.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $562222.40    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bonds                                                                            | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    50884000 | PA      | $32317303.10  | 3.37%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10941.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3575224 | PA      | $3274127.52   | 0.34%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class B                       | CUSIP: 03881EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      418000 | PA      | $390977.55    | 0.04%             | 2036-05-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                  | Boeing Co. (The)                                                                               | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1427000 | PA      | $1346309.00   | 0.14%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Logicor Financing SARL                                                            | Logicor Financing SARL                                                                         | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      970000 | PA      | $698270.29    | 0.07%             | 2031-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                            | Credit Suisse Group AG                                                                         | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |      600000 | PA      | $615305.54    | 0.06%             | 2029-03-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $33087.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toledo Hospital (The)                                                             | Toledo Hospital (The), Series AGMC                                                             | CUSIP: 889184AG2<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |      675000 | PA      | $652658.51    | 0.07%             | 2048-11-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25000 | PA      | $23653.72     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                                           | Waste Connections, Inc.                                                                        | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     1896000 | PA      | $1790605.15   | 0.19%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                                       | Business Jet Securities LLC, Series 2021-1A, Class A                                           | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      441543 | PA      | $384328.28    | 0.04%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Coeur Mining, Inc.                                                                | Coeur Mining, Inc.                                                                             | CUSIP: 192108BC1<br>LEI: 5493003AVK173D48DR70 | Long             | DBT              | CORP              | US        |     2955000 | PA      | $2301147.15   | 0.24%             | 2029-02-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                                    | NiSource, Inc.                                                                                 | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     1406000 | PA      | $1232723.58   | 0.13%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                             | Targa Resources Corp.                                                                          | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      118000 | PA      | $103188.62    | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Unibail-Rodamco-Westfield SE                                                      | Unibail-Rodamco-Westfield SE                                                                   | CUSIP: N/A<br>LEI: 969500SHQITWXSIS7N89       | Long             | DBT              | CORP              | FR        |     1000000 | PA      | $895020.07    | 0.09%             | 2023-07-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-29099.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140XGY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123034 | PA      | $105332.93    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      103822 | PA      | $92966.41     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38776.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3217.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                       | Rogers Communications, Inc.                                                                    | CUSIP: 775109BP5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      532000 | PA      | $376445.71    | 0.04%             | 2049-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                                                    | Corporate Office Properties LP                                                                 | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      946000 | PA      | $714778.03    | 0.07%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1903.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                  | Deutsche Bank AG                                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $611223.47    | 0.06%             | 2032-02-17      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                                     | UniCredit SpA                                                                                  | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |     2250000 | PA      | $2027025.75   | 0.21%             | 2028-01-18      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                                               | American Transmission Systems, Inc.                                                            | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1316000 | PA      | $1074654.69   | 0.11%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20955.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class X3                  | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21590988 | PA      | $833900.09    | 0.09%             | 2049-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58220 | PA      | $56615.20     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                                 | HSBC Holdings plc                                                                              | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |      800000 | PA      | $858636.53    | 0.09%             | 2032-11-16      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6569053 | PA      | $5816727.71   | 0.61%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                                | Credit Agricole SA                                                                             | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $316141.57    | 0.03%             | 2034-11-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                       | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class B                          | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2542500 | PA      | $2402964.55   | 0.25%             | 2036-07-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Canada 10 Year Bond                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         704 | NC      | $420038.89    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Massachusetts Educational Financing Authority                                     | Massachusetts Educational Financing Authority                                                  | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     1060000 | PA      | $962869.66    | 0.10%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA                                                                                           | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      272520 | PA      | $246249.65    | 0.03%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eskom Holdings SOC Ltd.                                                           | Eskom Holdings SOC Ltd.                                                                        | CUSIP: N/A<br>LEI: 3789001900ED06F65111       | Long             | DBT              | NUSS              | ZA        |     1200000 | PA      | $1125396.00   | 0.12%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| New Jersey Economic Development Authority                                         | New Jersey Economic Development Authority                                                      | CUSIP: 645913AA2<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |      890000 | PA      | $961877.65    | 0.10%             | 2029-02-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| ContourGlobal Power Holdings SA                                                   | ContourGlobal Power Holdings SA                                                                | CUSIP: N/A<br>LEI: 549300O5AGIFK0PQ1516       | Long             | DBT              | CORP              | LU        |     2300000 | PA      | $2094207.52   | 0.22%             | 2026-01-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                                 | Duke Energy Corp.                                                                              | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1238000 | PA      | $1018212.75   | 0.11%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                    | BNP Paribas SA                                                                                 | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1460000 | PA      | $1184226.54   | 0.12%             | 2027-01-12      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-59020.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                                           | America Movil SAB de CV                                                                        | CUSIP: 02364WBK0<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |      658000 | PA      | $635785.92    | 0.07%             | 2032-07-21      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Republic of Croatia                                                               | Republic of Croatia                                                                            | CUSIP: N/A<br>LEI: 74780000O00QGQ7CER13       | Long             | DBT              | NUSS              | HR        |     3075000 | PA      | $2993193.91   | 0.31%             | 2032-04-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS                                                                                           | CUSIP: 3133KNQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      608717 | PA      | $501540.64    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87639 | PA      | $76676.04     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arion Banki HF                                                                    | Arion Banki HF                                                                                 | CUSIP: N/A<br>LEI: RIL4VBPDB0M7Z3KXSF19       | Long             | DBT              | CORP              | IS        |     1650000 | PA      | $1659278.55   | 0.17%             | 2024-12-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Credit Index Swaption                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   110380000 | PA      | $331624.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SBB Treasury OYJ                                                                  | SBB Treasury OYJ                                                                               | CUSIP: N/A<br>LEI: 5493003HHOCW6FIMH724       | Long             | DBT              | CORP              | FI        |      580000 | PA      | $363854.95    | 0.04%             | 2029-11-26      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS                                                                                           | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59324 | PA      | $51709.98     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Engie Energia Chile SA                                                            | Engie Energia Chile SA                                                                         | CUSIP: 268270AD7<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |      620000 | PA      | $593650.00    | 0.06%             | 2025-01-29      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Vulcan Materials Co.                                                              | Vulcan Materials Co.                                                                           | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |     1618000 | PA      | $1441465.38   | 0.15%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1671.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco De Reservas De La Republica Dominicana Banco De Servicios Multiples SA      | Banco De Reservas De La Republica Dominicana Banco De Servicios Multiples SA                   | CUSIP: N/A<br>LEI: 549300CKQT0JZ2EGNC56       | Long             | DBT              | NUSS              | DO        |      700000 | PA      | $698250.00    | 0.07%             | 2023-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** MFS Series Trust X

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer