# EDGAR Filing Document

**Accession Number:** 0000917469
**File Stem:** 0001752724-23-046212
**Filing Date:** 2023-2
**Character Count:** 166698
**Document Hash:** df7adf7650ec828f0683ea4795e6d58c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046212.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046212

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **CENTRAL INDEX KEY:** 0000917469
- **IRS NUMBER:** 043219179
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08282
- **FILM NUMBER:** 23682087

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles Global Bond Fund (Series ID: S000006641)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000018127 | Institutional Class | LSGBX           |
| C000018128 | Retail Class        | LSGLX           |
| C000125494 | Class N             | LSGNX           |

## Nport-Ex

**PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)** 

**Loomis Sayles Global Bond Fund** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** |  | **Description** | **Value (†)** |
| **Bonds and Notes – 96.6% of Net Assets** | **Bonds and Notes – 96.6% of Net Assets** | **Bonds and Notes – 96.6% of Net Assets** |  |
|  |  | **Australia – 2.2%** | **Australia – 2.2%** |
| 3840000 |  | Australia Government Bond, Series 164, <br>0.500%, 9/21/2026, (AUD) | $2334821 |
| 430000 |  | Glencore Capital Finance DAC, EMTN, <br>0.750%, 3/01/2029, (EUR) | 353966 |
| 4845000 |  | New South Wales Treasury Corp., Series 26, <br>4.000%, 5/20/2026, (AUD) | 3299221 |
| 8485000 |  | Queensland Treasury Corp., Series 27, <br>2.750%, 8/20/2027, 144A, (AUD) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5447412 |
|  |  |  | 11435420 |
|  |  | **Belgium – 0.4%** | **Belgium – 0.4%** |
| 305000 |  | Anheuser-Busch InBev Finance, Inc., <br>4.700%, 2/01/2036 | 288055 |
| 2485000 |  | Kingdom of Belgium Government Bond, Series 88, <br>1.700%, 6/22/2050, 144A, (EUR) | 1877161 |
|  |  |  | 2165216 |
|  |  | **Brazil – 1.6%** | **Brazil – 1.6%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020000 |  | Banco do Brasil S.A., <br>4.625%, 1/15/2025, 144A | 996540 |
| 22836 | (††) | Brazil Notas do Tesouro Nacional, Series NTNF, <br>10.000%, 1/01/2027, (BRL) | 3993960 |
| 3525000 |  | Brazilian Government International Bond, <br>4.625%, 1/13/2028 | 3375178 |
|  |  |  | 8365678 |
|  |  | **Canada – 2.0%** | **Canada – 2.0%** |
| 11030000 |  | Canadian Government Bond, <br>0.500%, 12/01/2030, (CAD) | 6573684 |
| 460015 |  | CNH Capital Canada Receivables Trust, Series 2021-1A, Class A2, <br>1.001%, 11/16/2026, 144A, (CAD) | 324345 |
| 286349 |  | Ford Auto Securitization Trust, Series 2019-AA, Class A3, <br>2.552%, 9/15/2024, 144A, (CAD) | 209942 |
| 1260000 |  | Province of Manitoba Canada, MTN, <br>4.400%, 9/05/2025, (CAD) | 938207 |
| 5245000 |  | Province of Ontario Canada, <br>1.900%, 12/02/2051, (CAD) | 2375164 |
|  |  |  | 10421342 |
|  |  | **China – 7.0%** | **China – 7.0%** |
| 42910000 |  | China Development Bank, Series 2103, <br>3.300%, 3/03/2026, (CNY) | 6326009 |
| 41870000 |  | China Development Bank, Series 2115, <br>3.120%, 9/13/2031, (CNY) | 6081305 |
| 34470000 |  | China Government Bond, <br>1.990%, 4/09/2025, (CNY) | 4930654 |
| 33010000 |  | China Government Bond, <br>3.270%, 11/19/2030, (CNY) | 4923812 |
| 49010000 |  | China Government Bond, <br>3.280%, 12/03/2027, (CNY) | 7273462 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **China – continued** | **China – continued** | **China – continued** |
| 20670000 | China Government Bond, <br>3.720%, 4/12/2051, (CNY) | $| 3239097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17610000 | China Government Bond, Series INBK, <br>3.320%, 4/15/2052, (CNY) |  | 2597339 |
| 1450000 | NXP BV/NXP Funding LLC/NXP USA, Inc., <br>5.000%, 1/15/2033 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1369366 |
|  |  |  | 36741044 |
|  | **Colombia – 0.8%** | **Colombia – 0.8%** | **Colombia – 0.8%** |
| 19798100000 | Colombian TES, Series B, <br>7.500%, 8/26/2026, (COP) |  | 3486693 |
| 835000 | EcoPetrol S.A., <br>4.625%, 11/02/2031 |  | 637806 |
|  |  |  | 4124499 |
|  | **France – 1.8%** | **France – 1.8%** | **France – 1.8%** |
| 300000 | Electricite de France S.A., <br>5.000%, 9/21/2048, 144A |  | 242211 |
| 300000 | Electricite de France S.A., EMTN, <br>2.000%, 12/09/2049, (EUR) |  | 193086 |
| 300000 | Electricite de France S.A., EMTN, <br>5.125%, 9/22/2050, (GBP) |  | 316465 |
| 3275000 | French Republic Government Bond OAT, <br>0.500%, 6/25/2044, 144A, (EUR) |  | 2041186 |
| 6685000 | French Republic Government Bond OAT, Zero Coupon, <br>2.371%, 5/25/2032, (EUR)(a) |  | 5415054 |
| 1600000 | Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres Et Salaries De L Industrie Et Du Commerce (MACIF), (fixed rate to 3/21/2032, variable rate thereafter), <br>2.125%, 6/21/2052, (EUR) |  | 1158860 |
|  |  |  | 9366862 |
|  | **Germany – 12.5%** | **Germany – 12.5%** | **Germany – 12.5%** |
| 7675000 | Bundesrepublik Deutschland Bundesanleihe, <br>Zero Coupon, 0.000%-1.110%, 8/15/2026, (EUR)(b) |  | 7521605 |
| 9395000 | Bundesrepublik Deutschland Bundesanleihe, <br>Zero Coupon, 1.755%-1.883%, 2/15/2030, (EUR)(b) |  | 8467947 |
| 7605000 | Bundesrepublik Deutschland Bundesanleihe, <br>0.250%, 8/15/2028, (EUR) |  | 7207315 |
| 4835000 | Bundesrepublik Deutschland Bundesanleihe, <br>0.500%, 8/15/2027, (EUR) |  | 4736161 |
| 16400000 | Bundesrepublik Deutschland Bundesanleihe, <br>1.000%, 8/15/2024, (EUR) |  | 17132077 |
| 1710000 | Bundesrepublik Deutschland Bundesanleihe, <br>1.000%, 8/15/2025, (EUR) |  | 1760215 |
| 2345000 | Bundesrepublik Deutschland Bundesanleihe, <br>1.250%, 8/15/2048, (EUR) |  | 1952437 |
| 1975000 | Bundesrepublik Deutschland Bundesanleihe, <br>1.500%, 5/15/2023, (EUR) |  | 2111157 |
| 555000 | Bundesrepublik Deutschland Bundesanleihe, Series 08, <br>4.750%, 7/04/2040, (EUR) |  | 772630 |
| 2660000 | Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, <br>0.308%, 8/15/2050, (EUR)(a) |  | 1487777 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Germany – continued** |  |
| 1680000 | Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, <br>1.365%, 8/15/2052, (EUR)(a) | $898376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1805000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), <br>3.742%, 1/07/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1281867 |
| 815000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), <br>3.729%, 1/14/2032 | 597569 |
| 2100000 | Deutsche Bank AG, EMTN, (fixed rate to 3/24/2027, variable rate thereafter), <br>4.000%, 6/24/2032, (EUR) | 1988859 |
| 4330000 | Fraport AG Frankfurt Airport Services Worldwide, <br>1.875%, 3/31/2028, (EUR) | 3976425 |
| 211000 | Fraport AG Frankfurt Airport Services Worldwide, <br>2.125%, 7/09/2027, (EUR) | 201948 |
| 32680000 | Kreditanstalt fuer Wiederaufbau, EMTN, <br>1.250%, 8/28/2023, (NOK) | 3290116 |
|  |  | 65384481 |
|  | **Indonesia – 0.7%** |  |
| 18722000000 | Indonesia Treasury Bond, Series FR78, <br>8.250%, 5/15/2029, (IDR) | 1294705 |
| 38485000000 | Indonesia Treasury Bond, Series FR87, <br>6.500%, 2/15/2031, (IDR) | 2399209 |
|  |  | 3693914 |
|  | **Ireland – 0.9%** |  |
| 400000 | Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), <br>2.029%, 9/30/2027, 144A | 337523 |
| 3205000 | Ireland Government Bond, <br>1.000%, 5/15/2026, (EUR) | 3251423 |
| 1310000 | Ireland Government Bond, Zero Coupon, <br>0.029%, 10/18/2031, (EUR)(a) | 1080797 |
|  |  | 4669743 |
|  | **Israel – 0.2%** |  |
| 3425000 | State of Israel, Series 0330, <br>1.000%, 3/31/2030, (ILS) | 812200 |
|  | **Italy – 2.6%** |  |
| 1600000 | Enel Finance International NV, <br>6.000%, 10/07/2039, 144A | 1455797 |
| 1420000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), <br>4.198%, 6/01/2032, 144A | 1046639 |
| 2625000 | Intesa Sanpaolo SpA, EMTN, <br>5.148%, 6/10/2030, (GBP) | 2582050 |
| 6085000 | Italy Buoni Poliennali Del Tesoro, <br>1.350%, 4/01/2030, (EUR) | 5349143 |
| 300000 | UniCredit SpA, (fixed rate to 1/15/2027, variable rate thereafter), <br>2.731%, 1/15/2032, (EUR) | 269767 |
| 605000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), <br>7.296%, 4/02/2034, 144A | 554478 |
| 200000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), <br>5.459%, 6/30/2035, 144A | 162490 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** |  | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  |  | **Italy – continued** |  |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2355000 |  | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), <br>5.459%, 6/30/2035 | $1918342 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;13338706 |
|  |  | **Japan – 4.7%** |  |
| 565000000 |  | Japan Government Five Year Bond, Series 139, <br>0.100%, 3/20/2024, (JPY) | 4309524 |
| 389700000 |  | Japan Government Thirty Year Bond, Series 26, <br>2.400%, 3/20/2037, (JPY) | 3532985 |
| 468600000 |  | Japan Government Thirty Year Bond, Series 41, <br>1.700%, 12/20/2043, (JPY) | 3813284 |
| 480200000 |  | Japan Government Thirty Year Bond, Series 51, <br>0.300%, 6/20/2046, (JPY) | 2845672 |
| 724400000 |  | Japan Government Thirty Year Bond, Series 62, <br>0.500%, 3/20/2049, (JPY) | 4314110 |
| 731750000 |  | Japan Government Two Year Bond, Series 436, <br>0.005%, 5/01/2024, (JPY) | 5574715 |
|  |  |  | 24390290 |
|  |  | **Korea – 1.2%** |  |
| 9400000000 |  | Korea Treasury Bond, Series 3006, <br>1.375%, 6/10/2030, (KRW) | 6265989 |
|  |  | **Luxembourg – 1.3%** |  |
| 345000 |  | Blackstone Property Partners Europe Holdings S.a.r.l., <br>3.625%, 10/29/2029, (EUR) | 299183 |
| 1015000 |  | Blackstone Property Partners Europe Holdings S.a.r.l., EMTN, <br>1.000%, 5/04/2028, (EUR) | 791954 |
| 1960000 |  | Blackstone Property Partners Europe Holdings S.a.r.l., EMTN, <br>1.625%, 4/20/2030, (EUR) | 1432272 |
| 1270000 |  | Blackstone Property Partners Europe Holdings S.a.r.l., EMTN, <br>1.750%, 3/12/2029, (EUR) | 991150 |
| 1810000 |  | Logicor Financing S.a.r.l., EMTN, <br>0.875%, 1/14/2031, (EUR) | 1253723 |
| 2785000 |  | Logicor Financing S.a.r.l., EMTN, <br>1.625%, 1/17/2030, (EUR) | 2167107 |
| 100000 |  | Logicor Financing S.a.r.l., EMTN, <br>2.000%, 1/17/2034, (EUR) | 67620 |
|  |  |  | 7003009 |
|  |  | **Malaysia – 0.3%** |  |
| 7770000 |  | Malaysia Government Bond, Series 0119, <br>3.906%, 7/15/2026, (MYR) | 1770246 |
|  |  | **Mexico – 1.3%** |  |
| 405000 |  | America Movil SAB de CV, <br>2.875%, 5/07/2030 | 343820 |
| 996320 | (†††) | Mexican Fixed Rate Bonds, Series M 20, <br>8.500%, 5/31/2029, (MXN) | 4967667 |
| 1450000 |  | Mexico Government International Bond, <br>3.500%, 2/12/2034 | 1160390 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Mexico – continued** |  |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330000 | Orbia Advance Corp. SAB de CV, <br>5.875%, 9/17/2044, 144A | $286688 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6758565 |
|  | **New Zealand – 1.3%** |  |
| 1045000 | New Zealand Government Bond, Series 0423, <br>5.500%, 4/15/2023, (NZD) | 664970 |
| 9580000 | New Zealand Government Bond, Series 0427, <br>4.500%, 4/15/2027, (NZD) | 6064643 |
|  |  | 6729613 |
|  | **Norway – 1.3%** |  |
| 320000 | Aker BP ASA, <br>3.750%, 1/15/2030, 144A | 281502 |
| 2755000 | Aker BP ASA, <br>4.000%, 1/15/2031, 144A | 2414473 |
| 2000000 | City of Oslo Norway, <br>2.300%, 3/14/2024, (NOK) | 200441 |
| 2000000 | City of Oslo Norway, <br>2.350%, 9/04/2024, (NOK) | 199042 |
| 1000000 | City of Oslo Norway, <br>3.650%, 11/08/2023, (NOK) | 101858 |
| 4100000 | Norway Government Bond, Series 476, <br>3.000%, 3/14/2024, 144A, (NOK) | 417751 |
| 33565000 | Norway Government Bond, Series 477, <br>1.750%, 3/13/2025, 144A, (NOK) | 3328337 |
|  |  | 6943404 |
|  | **Portugal – 0.3%** |  |
| 1085000 | EDP Finance BV, <br>1.710%, 1/24/2028, 144A | 898879 |
| 405000 | EDP Finance BV, <br>3.625%, 7/15/2024, 144A | 390793 |
| 230000 | EDP Finance BV, EMTN, <br>0.375%, 9/16/2026, (EUR) | 217290 |
|  |  | 1506962 |
|  | **Singapore – 0.4%** |  |
| 2780000 | Singapore Government Bond, <br>2.125%, 6/01/2026, (SGD) | 2026573 |
|  | **South Africa – 1.7%** |  |
| 440000 | Anglo American Capital PLC, <br>5.625%, 4/01/2030, 144A | 436804 |
| 180540000 | Republic of South Africa Government Bonds, Series R213, <br>7.000%, 2/28/2031, (ZAR) | 8570503 |
|  |  | 9007307 |
|  | **Spain – 2.0%** |  |
| 2100000 | Abertis Infraestructuras Finance BV, (fixed rate to 11/24/2025, variable rate thereafter), <br>3.248%, (EUR)(c) | 1897265 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Spain – continued** |  |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400000 | Banco Santander S.A., <br>4.250%, 4/11/2027 | $379738 |
| 2600000 | Banco Santander S.A., <br>5.179%, 11/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2567110 |
| 2460000 | Spain Government Bond, <br>1.950%, 7/30/2030, 144A, (EUR) | 2394702 |
| 2835000 | Spain Government Bond, <br>4.200%, 1/31/2037, 144A, (EUR) | 3179669 |
|  |  | 10418484 |
|  | **Supranationals – 1.6%** |  |
| 2665000 | Inter-American Development Bank, Series 112, <br>4.400%, 1/26/2026, (CAD) | 1989086 |
| 18000000 | Nordic Investment Bank, EMTN, <br>0.200%, 1/16/2023, (SEK) | 1723450 |
| 44510000 | Nordic Investment Bank, EMTN, <br>1.500%, 3/13/2025, (NOK) | 4370620 |
|  |  | 8083156 |
|  | **Sweden – 0.6%** |  |
| 2410000 | Heimstaden Bostad Treasury BV, EMTN, <br>0.750%, 9/06/2029, (EUR) | 1723306 |
| 805000 | Heimstaden Bostad Treasury BV, EMTN, <br>1.625%, 10/13/2031, (EUR) | 548492 |
| 9900000 | Kommuninvest I Sverige AB, Series 2505, <br>1.000%, 5/12/2025, (SEK) | 894430 |
|  |  | 3166228 |
|  | **Switzerland – 0.2%** |  |
| 715000 | Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), <br>3.091%, 5/14/2032, 144A | 494027 |
| 460000 | Credit Suisse Group AG, EMTN, (fixed rate to 4/02/2025, variable rate thereafter), <br>3.250%, 4/02/2026, (EUR) | 441506 |
| 195000 | Credit Suisse Group AG, EMTN,(fixed rate to 1/14/2027, variable rate thereafter), <br>0.650%, 1/14/2028, (EUR) | 155654 |
|  |  | 1091187 |
|  | **Thailand – 0.4%** |  |
| 74870000 | Thailand Government Bond, <br>1.600%, 12/17/2029, (THB) | 2066875 |
|  | **United Arab Emirates – 0.3%** |  |
| 1180000 | DP World Ltd., EMTN, <br>4.700%, 9/30/2049 | 991932 |
| 800000 | DP World Ltd., EMTN, <br>5.625%, 9/25/2048 | 748947 |
|  |  | 1740879 |
|  | **United Kingdom – 4.8%** |  |
| 1030000 | Aviva PLC, (fixed rate to 3/03/2035, variable rate thereafter), <br>4.000%, 6/03/2055, (GBP) | 952727 |
| 1050000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), <br>3.564%, 9/23/2035 | 798992 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **United Kingdom – continued** | **United Kingdom – continued** | **United Kingdom – continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;635000 | Barclays PLC, EMTN, (fixed rate to 2/07/2023, variable rate thereafter), <br>2.000%, 2/07/2028, (EUR) | $| 674311 |
| 267089 | Brass PLC, Series 8A, Class A1, <br>3-month LIBOR + 0.700%, 5.344%, 11/16/2066, 144A(d) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267031 |
| 1055000 | Channel Link Enterprises Finance PLC, Series A8, (fixed rate to 6/20/2027, variable rate thereafter), <br>2.706%, 6/30/2050, (EUR) |  | 1008520 |
| 3350000 | CK Hutchison International 19 Ltd., <br>3.625%, 4/11/2029, 144A |  | 3092425 |
| 114000 | Lanark Master Issuer PLC, Series 2020-1A, Class 2A, <br>SONIA Index + 0.570%, 3.848%, 12/22/2069, 144A, (GBP)(d) |  | 137873 |
| 1720000 | Legal & General Group PLC, (fixed rate to 11/01/2030, variable rate thereafter), <br>4.500%, 11/01/2050, (GBP) |  | 1795428 |
| 490000 | Legal & General Group PLC, EMTN, (fixed rate to 11/26/2029, variable rate thereafter), <br>3.750%, 11/26/2049, (GBP) |  | 494260 |
| 885000 | National Grid Electricity Distribution South Wales PLC, EMTN, <br>1.625%, 10/07/2035, (GBP) |  | 685216 |
| 175000 | National Grid Electricity Transmission PLC, EMTN, <br>1.125%, 7/07/2028, (GBP) |  | 168248 |
| 630000 | National Grid Electricity Transmission PLC, EMTN, <br>2.750%, 2/06/2035, (GBP) |  | 568399 |
| 4110000 | United Kingdom Gilt, <br>2.250%, 9/07/2023, (GBP) |  | 4922174 |
| 3670000 | United Kingdom Gilt, <br>4.250%, 12/07/2055, (GBP) |  | 4736999 |
| 3090000 | United Kingdom Gilt, <br>4.750%, 12/07/2030, (GBP) |  | 4027326 |
| 600000 | Virgin Money U.K. PLC, EMTN (fixed rate to 5/19/2026, variable rate thereafter), <br>2.625%, 8/19/2031, (GBP) |  | 593407 |
|  |  |  | 24923336 |
|  | **United States – 40.2%** | **United States – 40.2%** | **United States – 40.2%** |
| 750000 | AES Corp. (The), <br>3.950%, 7/15/2030, 144A |  | 661500 |
| 290000000 | Aflac, Inc., <br>0.932%, 1/25/2027, (JPY) |  | 2194268 |
| 390000000 | Aflac, Inc., (fixed rate to 10/23/2027, variable rate thereafter), <br>2.108%, 10/23/2047, (JPY) |  | 2990228 |
| 275000 | Ally Financial, Inc., <br>3.875%, 5/21/2024 |  | 267685 |
| 310000 | Ally Financial, Inc., <br>4.625%, 3/30/2025 |  | 303056 |
| 105000 | Ally Financial, Inc., <br>5.800%, 5/01/2025 |  | 104449 |
| 1879585 | Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class A, <br>2.798%, 1/15/2047, 144A |  | 1512830 |
| 1240000 | Ares Capital Corp., <br>2.875%, 6/15/2028 |  | 994268 |
| 2325000 | AT&T, Inc., <br>3.650%, 6/01/2051 |  | 1637526 |
| 595000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, <br>4.000%, 3/20/2025, 144A |  | 584954 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **United States – continued** |  |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165000 | Boeing Co. (The), <br>2.196%, 2/04/2026 | $149913 |
| 85000 | Boeing Co. (The), <br>2.250%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76517 |
| 10000 | Boeing Co. (The), <br>3.250%, 2/01/2035 | 7605 |
| 120000 | Boeing Co. (The), <br>3.550%, 3/01/2038 | 88412 |
| 40000 | Boeing Co. (The), <br>3.625%, 3/01/2048 | 26171 |
| 210000 | Boeing Co. (The), <br>3.750%, 2/01/2050 | 144753 |
| 195000 | Boeing Co. (The), <br>3.825%, 3/01/2059 | 124663 |
| 235000 | Boeing Co. (The), <br>3.850%, 11/01/2048 | 161303 |
| 390000 | Boeing Co. (The), <br>3.900%, 5/01/2049 | 273844 |
| 175000 | Boeing Co. (The), <br>3.950%, 8/01/2059 | 117516 |
| 1385000 | BPR Trust, Series 2022-OANA, Class A, <br>1-month SOFR + 1.898%, 6.234%, 4/15/2037, 144A(d) | 1351756 |
| 1484000 | Broadcom, Inc., <br>3.187%, 11/15/2036, 144A | 1065939 |
| 215000 | Centene Corp., <br>2.450%, 7/15/2028 | 181471 |
| 1345000 | Centene Corp., <br>2.500%, 3/01/2031 | 1052426 |
| 2566000 | Centene Corp., <br>4.625%, 12/15/2029 | 2344903 |
| 150000 | CF Industries, Inc., <br>4.950%, 6/01/2043 | 128329 |
| 380000 | CF Industries, Inc., <br>5.150%, 3/15/2034 | 359668 |
| 310000 | CF Industries, Inc., <br>5.375%, 3/15/2044 | 278510 |
| 1185000 | Charter Communications Operating LLC/Charter Communications Operating Capital, <br>3.700%, 4/01/2051 | 720560 |
| 210000 | Charter Communications Operating LLC/Charter Communications Operating Capital, <br>4.800%, 3/01/2050 | 152449 |
| 1440000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., <br>5.050%, 3/30/2029 | 1354806 |
| 1225171 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, <br>6.228%, 11/25/2070, 144A(e) | 1205711 |
| 2930000 | Citigroup, Inc., Series MPLE, <br>4.090%, 6/09/2025, (CAD) | 2094171 |
| 1100000 | Continental Resources, Inc., <br>2.875%, 4/01/2032, 144A | 814757 |
| 1725000 | Continental Resources, Inc., <br>4.375%, 1/15/2028 | 1580548 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **United States – continued** | **United States – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1510000 | Continental Resources, Inc., <br>5.750%, 1/15/2031, 144A | $1405599 |
| 600000000 | Corning, Inc., <br>0.698%, 8/09/2024, (JPY) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4527842 |
| 2990000 | Delta Air Lines, Inc./SkyMiles IP Ltd., <br>4.750%, 10/20/2028, 144A | 2810520 |
| 1690000 | Digital Dutch Finco BV, <br>1.000%, 1/15/2032, (EUR) | 1264066 |
| 865000 | Energy Transfer LP, <br>5.300%, 4/15/2047 | 719670 |
| 1205000 | EQT Corp., <br>3.625%, 5/15/2031, 144A | 1021161 |
| 190000 | EQT Corp., <br>3.900%, 10/01/2027 | 175401 |
| 580000 | EQT Corp., <br>5.000%, 1/15/2029 | 544480 |
| 585000 | Ferguson Finance PLC, <br>3.250%, 6/02/2030, 144A | 495999 |
| 6611535 | FHLMC, <br>2.500%, 12/01/2051 | 5596829 |
| 23565048 | FNMA, <br>2.000%, with various maturities from 2051 to 2052(f) | 19209549 |
| 5176043 | FNMA, <br>2.500%, 5/01/2052 | 4384180 |
| 9481537 | FNMA, <br>3.000%, with various maturities from 2046 to 2051(f) | 8325486 |
| 5107301 | FNMA, <br>3.500%, with various maturities from 2045 to 2052(f) | 4663421 |
| 6256497 | FNMA, <br>4.000%, with various maturities from 2048 to 2050(f) | 5958919 |
| 8283528 | FNMA, <br>4.500%, with various maturities from 2043 to 2052(f) | 7991343 |
| 2976181 | FNMA, <br>5.000%, 8/01/2052 | 2938012 |
| 5060000 | HCA, Inc., <br>2.375%, 7/15/2031 | 3938847 |
| 1782305 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, <br>6.250%, 11/25/2059, 144A(e) | 1779130 |
| 1553827 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, <br>2.882%, 10/25/2059, 144A(e) | 1542251 |
| 55000 | Lennar Corp., <br>4.750%, 5/30/2025 | 54649 |
| 420000 | Lennar Corp., <br>5.000%, 6/15/2027 | 408465 |
| 2300104 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, <br>2.771%, 11/15/2046, 144A(e) | 1931976 |
| 472000 | Ovintiv, Inc., <br>6.500%, 8/15/2034 | 474949 |
| 87000 | Ovintiv, Inc., <br>7.375%, 11/01/2031 | 92602 |
| 525000 | Owl Rock Capital Corp., <br>2.875%, 6/11/2028 | 412216 |
| 530000000 | Prologis Yen Finance LLC, <br>0.972%, 9/25/2028, (JPY) | 3920118 |

---

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| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **United States – continued** | **United States – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1678058 | PRPM LLC, Series 2021-1, Class A1, <br>2.115%, 1/25/2026, 144A(e) | $1568997 |
| 955683 | PRPM LLC, Series 2021-10, Class A1, <br>2.487%, 10/25/2026, 144A(e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;866398 |
| 593000 | PulteGroup, Inc., <br>5.000%, 1/15/2027 | 586185 |
| 305000 | Santander Holdings USA, Inc., <br>3.244%, 10/05/2026 | 283060 |
| 625000 | T-Mobile USA, Inc., <br>3.300%, 2/15/2051 | 417089 |
| 350000 | T-Mobile USA, Inc., <br>3.400%, 10/15/2052 | 235182 |
| 2020000 | T-Mobile USA, Inc., <br>3.875%, 4/15/2030 | 1829746 |
| 840000 | T-Mobile USA, Inc., <br>4.375%, 4/15/2040 | 716856 |
| 1585000 | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, <br>1-month SOFR + 2.186%, 6.522%, 5/15/2037, 144A(d) | 1491393 |
| 1755000 | U.S. Treasury Bond, <br>1.250%, 5/15/2050 | 944478 |
| 7839000 | U.S. Treasury Bond, <br>1.625%, 11/15/2050 | 4664205 |
| 8510000 | U.S. Treasury Bond, <br>1.875%, 2/15/2041 | 6014841 |
| 985000 | U.S. Treasury Bond, <br>1.875%, 2/15/2051 | 626014 |
| 8075000 | U.S. Treasury Bond, <br>2.875%, 5/15/2043(g) | 6590903 |
| 11573332 | U.S. Treasury Inflation Indexed Note, <br>0.625%, 7/15/2032(h) | 10600208 |
| 20380000 | U.S. Treasury Note, <br>0.125%, 6/30/2023 | 19927819 |
| 3600000 | U.S. Treasury Note, <br>1.125%, 2/15/2031 | 2934141 |
| 8560000 | U.S. Treasury Note, <br>1.250%, 8/15/2031 | 6940956 |
| 10730000 | U.S. Treasury Note, <br>2.500%, 5/31/2024 | 10410196 |
| 2280000 | U.S. Treasury Note, <br>2.750%, 7/31/2027 | 2157183 |
| 1165000 | U.S. Treasury Note, <br>2.750%, 8/15/2032 | 1060878 |
| 6390000 | U.S. Treasury Note, <br>4.375%, 10/31/2024 | 6371779 |
| 786667 | United Airlines Pass Through Trust, Series 2016-1, Class B, <br>3.650%, 7/07/2027 | 711762 |
| 934826 | United Airlines Pass Through Trust, Series 2016-2, Class B, <br>3.650%, 4/07/2027 | 837455 |
| 2922073 | Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1, <br>1.868%, 8/25/2051, 144A(e) | 2521257 |
| 350000 | Verizon Communications, Inc., <br>2.850%, 9/03/2041 | 240870 |
| 1885000 | VMware, Inc., <br>2.200%, 8/15/2031 | 1430458 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **United States – continued** | **United States – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2610134 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, <br>1.893%, 2/27/2051, 144A(e) | $2348109 |
| 1168877 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, <br>2.240%, 4/25/2051, 144A(e) | 1028165 |
|  |  | 210051728 |
|  | Total Bonds and Notes <br>(Identified Cost $580,747,411) | 504462936 |
| **Short-Term Investments – 0.1%** | **Short-Term Investments – 0.1%** | **Short-Term Investments – 0.1%** |
| 439510 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $439,598 on 1/03/2023 collateralized by $467,100 U.S. Treasury Note, 3.250% due 6/30/2029 valued at $448,380 including accrued interest(i) <br>(Identified Cost $439,510) | 439510 |
|  | Total Investments – 96.7% <br>(Identified Cost $581,186,921) | 504902446 |
|  | Other assets less liabilities – 3.3% | 17304776 |
|  | Net Assets – 100.0% | $522207222 |

---

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| | |
|:---|:---|
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight.  |

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Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.

The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value ("NAV") is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

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| | |
|:---|:---|
| (‡) | Principal Amount stated in U.S. dollars unless otherwise noted.  |

---

---

| | |
|:---|:---|
| (††) | Amount shown represents units. One unit represents a principal amount of 1,000.  |

---

---

| | |
|:---|:---|
| (†††) | Amount shown represents units. One unit represents a principal amount of 100.  |

---

(a) Interest rate represents annualized yield at time of purchase; not a coupon rate.

(b) Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in
this security is comprised of various lots with differing annualized yields.

(c) Perpetual bond with no specified maturity date.

(d) Variable rate security. Rate as of December 31, 2022 is disclosed.

(e) Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest
rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or
caps. Rate as of December 31, 2022 is disclosed.

(f) The Fund's investment in mortgage related securities of Federal National Mortgage Association are
interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(g) Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(h) Treasury Inflation Protected Security (TIPS).

------

(i) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which
the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to
102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of
the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of
December 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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| | |
|:---|:---|
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $60,725,080 or 11.6% of net assets. |
| ABS | Asset-Backed Securities |
| EMTN | Euro Medium Term Note |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| LIBOR | London Interbank Offered Rate |
| MTN | Medium Term Note |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CNH | Chinese Yuan Renminbi Offshore |
| CNY | Chinese Yuan Renminbi |
| COP | Colombian Peso |
| EUR | Euro |
| GBP | British Pound |
| IDR | Indonesian Rupiah |
| ILS | Israeli Shekel |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| ZAR | South African Rand |

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**Forward Foreign Currency Contracts** 

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund's investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund's or counterparty's net obligations under the contracts.

------

At December 31, 2022, the Fund had the following open forward foreign currency contracts:

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Delivery<br>Date** | **Currency<br>Bought/<br>Sold (B/S)** | | **Units<br>of<br>Currency** | **In Exchange<br>for** | **Notional<br>Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  Bank of America, N.A. | 3/02/2023 | BRL | S | 27245000 | $5044249 | $5106110 | $(61861) |
|  BNP Paribas S.A. | 3/15/2023 | CNH | B | 28974000 | 4186438 | 4209369 | 22931 |
|  Citibank N.A. | 3/15/2023 | ZAR | S | 69001000 | 3978103 | 4036808 | (58705) |
|  HSBC Bank USA | 3/15/2023 | CAD | B | 6540000 | 4786720 | 4832839 | 46119 |
|  HSBC Bank USA | 3/15/2023 | SGD | B | 2816000 | 2085223 | 2104789 | 19566 |
|  Morgan Stanley Capital Services, Inc. | 3/15/2023 | GBP | S | 10757000 | 13396660 | 13027295 | 369365 |
|  Morgan Stanley Capital Services, Inc. | 3/15/2023 | JPY | B | 3647594000 | 26831484 | 28053884 | 1222400 |
|  Standard Chartered Bank | 3/15/2023 | EUR | S | 22595000 | 24217118 | 24302814 | (85696) |
|  UBS AG | 3/15/2023 | AUD | B | 4030000 | 2705541 | 2751572 | 46031 |
|  UBS AG | 3/15/2023 | CHF | B | 3258000 | 3502913 | 3550416 | 47503 |
|  UBS AG | 3/15/2023 | COP | S | 22072575000 | 4505232 | 4492183 | 13049 |
|  UBS AG | 3/15/2023 | IDR | S | 21947060000 | 1406231 | 1408514 | (2283) |
|  UBS AG | 3/15/2023 | MXN | S | 79373000 | 3943283 | 4021518 | (78235) |
|  UBS AG | 3/15/2023 | SEK | S | 7374000 | 728120 | 709492 | 18628 |
|  Total | Total | Total | Total | Total | Total | Total | $1518812 |

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At December 31, 2022, the Fund had the following open forward cross currency contracts:

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement<br>Date** | **Deliver/Units<br>of Currency** | **Deliver/Units<br>of Currency** | **Receive/Units<br>of Currency** | **Receive/Units<br>of Currency** | **Notional<br>Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  Barclays Bank plc | 3/15/2023 | EUR | 1157029 | PLN | 5502000 | $1248369 | $3888 |
|  HSBC Bank USA | 3/15/2023 | NOK | 115025000 | EUR | 10933499 | 11759893 | (16554) |
|  UBS AG | 3/15/2023 | ZAR | 45615000 | EUR | 2469648 | 2656314 | (12329) |
|  Total | Total | Total | Total | Total | Total | Total | $(24995) |

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**Futures Contracts** 

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At December 31, 2022, open long futures contracts were as follows:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial Futures** | **Expiration<br>Date** | **Contracts** | **Notional<br>Amount** | **Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 50 | $6775587 | $6715625 | $(59962) |
|  10 Year U.S. Treasury Note | 3/22/2023 | 65 | 7342980 | 7299297 | (43683) |
|  5 Year U.S. Treasury Note | 3/31/2023 | 190 | 20538773 | 20506641 | (32132) |
|  2 Year U.S. Treasury Note | 3/31/2023 | 175 | 35841138 | 35888672 | 47534 |
|  Euro-Buxl<sup>®</sup> 30 Year Bond | 3/08/2023 | 4 | 689204 | 579070 | (110134) |
|  German Euro Bund | 3/08/2023 | 42 | 6376130 | 5976384 | (399746) |
|  Total | Total | Total | Total | Total | $(598123) |

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------

At December 31, 2022, open short futures contracts were as follows:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial Futures** | **Expiration<br>Date** | **Contracts** | **Notional<br>Amount** | **Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  30 Year U.S. Treasury Bond | 3/22/2023 | 134 | $16925341 | $16796062 | $129279 |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 80 | 9526437 | 9462500 | 63937 |
|  UK Long Gilt | 3/29/2023 | 32 | 4056611 | 3864772 | 191839 |
|  Total | Total | Total | Total | Total | $385055 |

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**Fair Value Measurements** 

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — prices determined using other significant inputs that are observable either directly, or
indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable
inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best
information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

------

The following is a summary of the inputs used to value the Fund's investments as of December 31, 2022, at value:

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes\* | $— | $504462936 | $– $| 504462936 |
|  Short-Term Investments |  | 439510 | – | 439510 |
|  Total Investments |  | 504902446 | – | 504902446 |
|  Forward Foreign Currency Contracts (unrealized appreciation) |  | 1809480 | – | 1809480 |
|  Futures Contracts (unrealized appreciation) | 432589 |  | – | 432589 |
|  Total | $432589 | $506711926 | $– $| 507144515 |

---

**Liability Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Forward Foreign Currency Contracts (unrealized depreciation) | $— | $(315663) | $– $| (315663) |
|  Futures Contracts (unrealized depreciation) | (645657) |  | – | (645657) |
|  Total | $(645657) | $(315663) | $– $| (961320) |

---

\* Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

------

**Derivatives** 

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include forward foreign currency contracts and futures contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds' holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of December 31, 2022, the Fund engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund's investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of December 31, 2022, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2022:

---

| | | |
|:---|:---|:---|
| Assets | Unrealized<br>appreciation<br>on forward foreign<br>currency contracts | Unrealized appreciation<br>on futures<br>contracts |
|  Over-the-counter asset derivatives |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts | $1809480 | $— |
|  Exchange-traded asset derivatives |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 432589 |
|  Total asset derivatives | $1809480 | $432589 |

---

---

| | | |
|:---|:---|:---|
| Liabilities | Unrealized<br>depreciation<br>on forward foreign<br>currency contracts | Unrealized depreciation<br>on futures<br>contracts |
|  Over-the-counter liability derivatives |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts | $(315663) | $— |
|  Exchange-traded liability derivatives |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | (645657) |
|  Total liability derivatives | $(315663) | $(645657) |

---

The Fund's derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund's investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. ("ISDA") agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund's ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of December 31, 2022, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

---

| | | |
|:---|:---|:---|
| Counterparty | Derivatives | Collateral<br>Pledged |
|  Bank of America, N.A. | $(61861) | $— |
|  Citibank N.A. | (58705) | 90000 |
|  Standard Chartered Bank | (85696) |  |

---

Counterparty risk is managed based on policies and procedures established by the Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund's aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2022:

---

| | |
|:---|:---|
| Maximum Amount<br> of Loss - Gross | Maximum Amount<br> of Loss - Net |
| $6280535 | $6298123 |

---

------

Industry Summary at December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  Treasuries | 52.7% |
|  Mortgage Related | 11.2 |
|  Banking | 4.0 |
|  Government Owned - No Guarantee | 3.2 |
|  ABS Home Equity | 2.6 |
|  Local Authorities | 2.4 |
|  Other Investments, less than 2% each | 20.5 |
|  Short-Term Investments | 0.1 |
|  Total Investments | 96.7 |
|  Other assets less liabilities (including forward foreign currency and futures contracts) | 3.3 |
|  Net Assets | 100.0% |

---

------

Currency Exposure Summary at December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  United States Dollar | 43.1% |
|  Euro | 19.2 |
|  Japanese Yen | 7.4 |
|  Yuan Renminbi | 6.7 |
|  British Pound | 4.2 |
|  Canadian Dollar | 2.8 |
|  Norwegian Krone | 2.1 |
|  Australian Dollar | 2.1 |
|  Other, less than 2% each | 9.1 |
|  Total Investments | 96.7 |
|  Other assets less liabilities (including forward foreign currency and futures contracts) | 3.3 |
|  Net Assets | 100.0% |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LOOMIS SAYLES FUNDS I

- **b. Investment Company Act file number:** 811-08282

- **c. CIK number of Registrant:** 0000917469

- **d. LEI of Registrant:** 549300826G7KS737WZ11

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Global Bond Fund

- **b. EDGAR series identifier (if any):** S000006641

- **c. LEI of Series:** 549300SSY8500EZNEU95

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $524290378.02

**Total Liabilities:** $1105111.96

**Net Assets:** $523185266.06

**Cash Not Reported:** $13325141.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -199.57000000 | **1-Year:** -6080.79000000 | **5-Year:** -27163.20000000 | **10-Year:** -24442.35000000 | **30-Year:** -9135.14000000

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

- **3-Month:** -52.05000000 | **1-Year:** -3168.31000000 | **5-Year:** -12266.89000000 | **10-Year:** -9587.48000000 | **30-Year:** -1983.80000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018127 | -0.45%               | 5.40%                | 0.07%                |
| Class ID C000125494 | -0.45%               | 5.45%                | 0.07%                |
| Class ID C000018128 | -0.46%               | 5.35%                | 0.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4437085.31             | $2211331.90                                |
| Month 2  | $-6274266.20             | $32406326.17                               |
| Month 3  | $-768416.89              | $-1004151.16                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     6685000 | PA      | $5415054.16   | 1.04%             | 2032-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                | CF Industries Inc                                                                | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      150000 | PA      | $128328.87    | 0.02%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                             | Ferguson Finance PLC                                                             | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |      585000 | PA      | $495999.33    | 0.09%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1484000 | PA      | $1065939.14   | 0.20%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                   | EDP Finance BV                                                                   | CUSIP: 000000000<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |      230000 | PA      | $217289.75    | 0.04%             | 2026-09-16      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| NORWEGIAN GOVERNMENT                             | Norway Government Bond                                                           | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    33565000 | PA      | $3328337.30   | 0.64%             | 2025-03-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1755000 | PA      | $944477.93    | 0.18%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |      345000 | PA      | $299182.85    | 0.06%             | 2029-10-29      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      120000 | PA      | $88411.64     | 0.02%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                         | Electricite de France SA                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $193086.49    | 0.04%             | 2049-12-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          42 | NC      | $-399746.03   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| MANITOBA (PROVINCE OF)                           | Province of Manitoba Canada                                                      | CUSIP: 56344ZPH6<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |     1260000 | PA      | $938206.79    | 0.18%             | 2025-09-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BRASS PLC                                        | Brass NO 8 PLC                                                                   | CUSIP: 10554MAA8<br>LEI: 2138001JRCRN7WGSM347 | Long             | ABS-MBS          | CORP              | GB        |      267089 | PA      | $267030.56    | 0.05%             | 2066-11-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                            | Owl Rock Capital Corp                                                            | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |      525000 | PA      | $412216.51    | 0.08%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1165000 | PA      | $1060878.13   | 0.20%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CA        |           1 | NC      | $46119.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                    | UniCredit SpA                                                                    | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      605000 | PA      | $554477.75    | 0.11%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-85696.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Lanark Master Issuer plc                         | Lanark Master Issuer PLC                                                         | CUSIP: 000000000<br>LEI: 213800KIOPB5OYXIVY33 | Long             | ABS-MBS          | CORP              | GB        |      114000 | PA      | $137873.37    | 0.03%             | 2069-12-22      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FRAPORT AG                                       | Fraport AG Frankfurt Airport Services Worldwide                                  | CUSIP: 000000000<br>LEI: 5299001ERX0K10IZUL40 | Long             | DBT              | CORP              | DE        |     4330000 | PA      | $3976424.76   | 0.76%             | 2028-03-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                 | Deutsche Bank AG                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     2100000 | PA      | $1988858.79   | 0.38%             | 2032-06-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                        | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     3840000 | PA      | $2334821.40   | 0.45%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4586891 | PA      | $3738607.73   | 0.71%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     1450000 | PA      | $1369365.82   | 0.26%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 00973RAF0<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |      320000 | PA      | $281501.67    | 0.05%             | 2030-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OSLO KOMMUNE                                     | City of Oslo Norway                                                              | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGVU850 | Long             | DBT              | NUSS              | NO        |     2000000 | PA      | $199042.54    | 0.04%             | 2024-09-04      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                               | Ally Financial Inc                                                               | CUSIP: 02005NBA7<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      310000 | PA      | $303056.24    | 0.06%             | 2025-03-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LEGAL & GENERAL GROUP                            | Legal & General Group PLC                                                        | CUSIP: 000000000<br>LEI: 213800JH9QQWHLO99821 | Long             | DBT              | CORP              | GB        |      490000 | PA      | $494260.44    | 0.09%             | 2049-11-26      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8510000 | PA      | $6014841.45   | 1.15%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                                                     | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |      439510 | PA      | $439509.97    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDIC INVESTMENT BANK                           | Nordic Investment Bank                                                           | CUSIP: 000000000<br>LEI: 213800HYL1S7VAXG6Z48 | Long             | DBT              | NUSS              | XX        |    18000000 | PA      | $1723450.19   | 0.33%             | 2023-01-16      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3085937 | PA      | $2514755.59   | 0.48%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                         | EQT Corp                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      190000 | PA      | $175401.40    | 0.03%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                           | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     2785000 | PA      | $2167107.16   | 0.41%             | 2030-01-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3670000 | PA      | $4736999.56   | 0.91%             | 2055-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     9395000 | PA      | $8467947.39   | 1.62%             | 2030-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                        | Aflac Inc                                                                        | CUSIP: 001055AS1<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |   290000000 | PA      | $2194268.52   | 0.42%             | 2027-01-25      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    34470000 | PA      | $4930653.91   | 0.94%             | 2025-04-09      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust 2020-GSL             | Legacy Mortgage Asset Trust 2020-GS1                                             | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1553827 | PA      | $1542250.89   | 0.29%             | 2059-10-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| IRISH TSY 1% 2026                                | Ireland Government Bond                                                          | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     3205000 | PA      | $3251422.48   | 0.62%             | 2026-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                      | Ovintiv Inc                                                                      | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      472000 | PA      | $474948.74    | 0.09%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEGAL & GENERAL GROUP                            | Legal & General Group PLC                                                        | CUSIP: 000000000<br>LEI: 213800JH9QQWHLO99821 | Long             | DBT              | CORP              | GB        |     1720000 | PA      | $1795427.94   | 0.34%             | 2050-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1805000 | PA      | $1281866.98   | 0.25%             | 2033-01-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      865000 | PA      | $719670.19    | 0.14%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCVII LLC                                                                   | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1168877 | PA      | $1028165.33   | 0.20%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN                         | Anheuser-Busch InBev Finance Inc                                                 | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |      305000 | PA      | $288055.06    | 0.06%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XH4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2976181 | PA      | $2938011.95   | 0.56%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     1960000 | PA      | $1432271.78   | 0.27%             | 2030-04-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                           | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      715000 | PA      | $494026.70    | 0.09%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -134 | NC      | $129278.91    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                          | America Movil SAB de CV                                                          | CUSIP: 02364WBJ3<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |      405000 | PA      | $343820.46    | 0.07%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                        | Aflac Inc                                                                        | CUSIP: 000000000<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |   390000000 | PA      | $2990227.83   | 0.57%             | 2047-10-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8560000 | PA      | $6940956.29   | 1.33%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6007393 | PA      | $4888606.94   | 0.93%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CF0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      195000 | PA      | $124663.43    | 0.02%             | 2059-03-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                               | Ally Financial Inc                                                               | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104449.49    | 0.02%             | 2025-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      840000 | PA      | $716855.66    | 0.14%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          50 | NC      | $-59962.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-61860.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      985000 | PA      | $626013.68    | 0.12%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      175000 | PA      | $117516.03    | 0.02%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                              | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     3275000 | PA      | $2041185.65   | 0.39%             | 2044-06-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON INTL 19 LTD                         | CK Hutchison International 19 Ltd                                                | CUSIP: 12564CAB2<br>LEI: 254900FPY8WXG61CMU70 | Long             | DBT              | CORP              | KY        |     3350000 | PA      | $3092425.50   | 0.59%             | 2029-04-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FRAPORT AG                                       | Fraport AG Frankfurt Airport Services Worldwide                                  | CUSIP: 000000000<br>LEI: 5299001ERX0K10IZUL40 | Long             | DBT              | CORP              | DE        |      211000 | PA      | $201948.46    | 0.04%             | 2027-07-09      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     2460000 | PA      | $2394701.92   | 0.46%             | 2030-07-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     1270000 | PA      | $991149.42    | 0.19%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 18722000000 | PA      | $1294704.53   | 0.25%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                       | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     1885000 | PA      | $1430458.45   | 0.27%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -80 | NC      | $63936.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Banco Santander SA                               | Banco Santander SA                                                               | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $379738.26    | 0.07%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     2345000 | PA      | $1952436.72   | 0.37%             | 2048-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NORDIC INVESTMENT BANK                           | Nordic Investment Bank                                                           | CUSIP: 000000000<br>LEI: 213800HYL1S7VAXG6Z48 | Long             | DBT              | NUSS              | XX        |    44510000 | PA      | $4370619.58   | 0.84%             | 2025-03-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     7675000 | PA      | $7521604.67   | 1.44%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1205000 | PA      | $1021160.57   | 0.20%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     7605000 | PA      | $7207315.32   | 1.38%             | 2028-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| KOMMUNINVEST I SVERIGE                           | Kommuninvest I Sverige AB                                                        | CUSIP: 000000000<br>LEI: EV2XZWMLLXF2QRX0CD47 | Long             | DBT              | NUSS              | SE        |     9900000 | PA      | $894430.36    | 0.17%             | 2025-05-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $26170.61     | 0.01%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-2282.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1450000 | PA      | $1160389.54   | 0.22%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                     | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     2566000 | PA      | $2344902.71   | 0.45%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    99632000 | PA      | $4967667.42   | 0.95%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                         | Electricite de France SA                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $316465.17    | 0.06%             | 2050-09-22      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                                        | Aviva PLC                                                                        | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |     1030000 | PA      | $952726.71    | 0.18%             | 2055-06-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     1725000 | PA      | $1580548.50   | 0.30%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQBZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7397872 | PA      | $7122288.08   | 1.36%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                           | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      100000 | PA      | $67620.29     | 0.01%             | 2034-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $369364.56    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                    | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $162489.62    | 0.03%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GLENCORE CAP FIN DAC                             | Glencore Capital Finance DAC                                                     | CUSIP: 000000000<br>LEI: 213800HCUCI1HC7X6Q34 | Long             | DBT              | CORP              | IE        |      430000 | PA      | $353965.53    | 0.07%             | 2029-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD TRESRY                         | Heimstaden Bostad Treasury BV                                                    | CUSIP: 000000000<br>LEI: 549300ORG6UYMJBCV938 | Long             | DBT              | CORP              | NL        |      805000 | PA      | $548491.65    | 0.10%             | 2031-10-13      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust        | Taubman Centers Commercial Mortgage Trust 2022-DPM                               | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1585000 | PA      | $1491393.07   | 0.29%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                          | Inter-American Development Bank                                                  | CUSIP: 458182CZ3<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |     2665000 | PA      | $1989085.93   | 0.38%             | 2026-01-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          65 | NC      | $-43683.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-78234.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |           1 | NC      | $22931.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander SA                               | Banco Santander SA                                                               | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     2600000 | PA      | $2567110.00   | 0.49%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust            | PRPM 2021-1 LLC                                                                  | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1678058 | PA      | $1568996.97   | 0.30%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                      | Ovintiv Inc                                                                      | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       87000 | PA      | $92601.63     | 0.02%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| KFW                                              | Kreditanstalt fuer Wiederaufbau                                                  | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    32680000 | PA      | $3290116.24   | 0.63%             | 2023-08-28      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                               | Ally Financial Inc                                                               | CUSIP: 02005NBH2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      275000 | PA      | $267685.05    | 0.05%             | 2024-05-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3600000 | PA      | $2934140.62   | 0.56%             | 2031-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL (CAYMAN)                         | Banco do Brasil SA/Cayman                                                        | CUSIP: 05959LAF0<br>LEI: QE0Q0253K88YAGNPE356 | Long             | DBT              | CORP              | BR        |     1020000 | PA      | $996540.00    | 0.19%             | 2025-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EDP Finance BV                                   | EDP Finance BV                                                                   | CUSIP: 26835PAF7<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |      405000 | PA      | $390793.01    | 0.07%             | 2024-07-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC                                                                     | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      635000 | PA      | $674311.14    | 0.13%             | 2028-02-07      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                         | Spain Government Bond                                                            | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     2835000 | PA      | $3179668.81   | 0.61%             | 2037-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                             | Enel Finance International NV                                                    | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     1600000 | PA      | $1455797.30   | 0.28%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                           | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     1810000 | PA      | $1253722.70   | 0.24%             | 2031-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $814757.03    | 0.16%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10730000 | PA      | $10410195.68  | 1.99%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      625000 | PA      | $417089.08    | 0.08%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -32 | NC      | $191839.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES CAPITAL CORP                                | Ares Capital Corp                                                                | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $994268.01    | 0.19%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                                    | CUSIP: 172967JS1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2930000 | PA      | $2094170.97   | 0.40%             | 2025-06-09      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                            | Bank of Ireland Group PLC                                                        | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |      400000 | PA      | $337523.20    | 0.06%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                                                         | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    74870000 | PA      | $2066875.31   | 0.40%             | 2029-12-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 38485000000 | PA      | $2399209.41   | 0.46%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-58705.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PulteGroup Inc                                   | PulteGroup Inc                                                                   | CUSIP: 745867AX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      593000 | PA      | $586184.54    | 0.11%             | 2027-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 Trust                               | Aaset 2021-2 Trust                                                               | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1879585 | PA      | $1512830.32   | 0.29%             | 2047-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                     | DP World Ltd/United Arab Emirates                                                | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      800000 | PA      | $748947.20    | 0.14%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      350000 | PA      | $235182.13    | 0.04%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9884827 | PA      | $8067578.36   | 1.54%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS YEN FINANCE                             | Prologis Yen Finance LLC                                                         | CUSIP: 74346GAB8<br>LEI: 5493000T2SX5D8WRJG02 | Long             | DBT              | CORP              | US        |   530000000 | PA      | $3920118.10   | 0.75%             | 2028-09-25      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| CNH Capital Canada Receivables Trust             | CNH Capital Canada Receivables Trust                                             | CUSIP: 12614ADF4<br>LEI: 984500F690CEB062EF31 | Long             | ABS-O            | CORP              | CA        |      460015 | PA      | $324344.84    | 0.06%             | 2026-11-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1543714 | PA      | $1471355.55   | 0.28%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         190 | NC      | $-32132.23    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      595000 | PA      | $584954.38    | 0.11%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    20670000 | PA      | $3239097.45   | 0.62%             | 2051-04-12      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GYQS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63067 | PA      | $61314.44     | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      165000 | PA      | $149912.83    | 0.03%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5176043 | PA      | $4384179.55   | 0.84%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                           | China Development Bank                                                           | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |    42910000 | PA      | $6326009.00   | 1.21%             | 2026-03-03      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                         | Electricite de France SA                                                         | CUSIP: 268317AT1<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $242210.86    | 0.05%             | 2048-09-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    49010000 | PA      | $7273461.66   | 1.39%             | 2027-12-03      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                              | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1420000 | PA      | $1046639.40   | 0.20%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| OSLO KOMMUNE                                     | City of Oslo Norway                                                              | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGVU850 | Long             | DBT              | NUSS              | NO        |     2000000 | PA      | $200440.96    | 0.04%             | 2024-03-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4492546 | PA      | $4278140.53   | 0.82%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1052426.33   | 0.20%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust                   | Ford Auto Securitization Trust                                                   | CUSIP: 345213HC9<br>LEI: 549300UXPSVB9J11GQ87 | Long             | ABS-O            | CORP              | CA        |      286349 | PA      | $209941.95    | 0.04%             | 2024-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     2755000 | PA      | $2414473.57   | 0.46%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MUTUELLE ASSURANCE                               | Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres et Sal | CUSIP: 000000000<br>LEI: 969500QISBFB1NW4SX83 | Long             | DBT              | CORP              | FR        |     1600000 | PA      | $1158860.06   | 0.22%             | 2052-06-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     4110000 | PA      | $4922173.73   | 0.94%             | 2023-09-07      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED EUR / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |           1 | NC      | $-16553.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                           | China Development Bank                                                           | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |    41870000 | PA      | $6081304.87   | 1.16%             | 2031-09-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OSLO KOMMUNE                                     | City of Oslo Norway                                                              | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGVU850 | Long             | DBT              | NUSS              | NO        |     1000000 | PA      | $101857.75    | 0.02%             | 2023-11-08      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                         | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    22836000 | PA      | $3993960.11   | 0.76%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    16400000 | PA      | $17132076.55  | 3.27%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                           | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      195000 | PA      | $155653.88    | 0.03%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $13049.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                     | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      835000 | PA      | $637806.27    | 0.12%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NORWEGIAN GOVERNMENT                             | Norway Government Bond                                                           | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |     4100000 | PA      | $417750.69    | 0.08%             | 2024-03-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     2660000 | PA      | $1487777.24   | 0.28%             | 2050-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3090000 | PA      | $4027326.10   | 0.77%             | 2030-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                         | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4845000 | PA      | $3299221.30   | 0.63%             | 2026-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2325000 | PA      | $1637525.91   | 0.31%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6611535 | PA      | $5596829.12   | 1.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust            | PRPM 2021-10 LLC                                                                 | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      955683 | PA      | $866397.92    | 0.17%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                | CF Industries Inc                                                                | CUSIP: 12527GAE3<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      310000 | PA      | $278509.95    | 0.05%             | 2044-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ABERTIS FINANCE BV                               | Abertis Infraestructuras Finance BV                                              | CUSIP: 000000000<br>LEI: 5493007WHKI5H75YJ358 | Long             | DBT              | CORP              | NL        |     2100000 | PA      | $1897264.68   | 0.36%             | 2025-11-24      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |           1 | NC      | $1222399.54   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X9FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337849 | PA      | $332275.15    | 0.06%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1975000 | PA      | $2111156.81   | 0.40%             | 2023-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES Corp/The                                                                     | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      750000 | PA      | $661500.00    | 0.13%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                           | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      460000 | PA      | $441506.68    | 0.08%             | 2026-04-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |           1 | NC      | $46031.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    17610000 | PA      | $2597339.50   | 0.50%             | 2052-04-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                            | National Grid Electricity Transmission PLC                                       | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |      630000 | PA      | $568398.67    | 0.11%             | 2035-02-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2280000 | PA      | $2157182.81   | 0.41%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                           | Santander Holdings USA Inc                                                       | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      305000 | PA      | $283060.17    | 0.05%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Queensland Treasury Corp                         | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     8485000 | PA      | $5447412.09   | 1.04%             | 2027-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED EUR / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $-12329.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SG        |           1 | NC      | $19566.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (5 YEAR ISSUE)                             | Japan Government Five Year Bond                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   565000000 | PA      | $4309524.15   | 0.82%             | 2024-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 B PTT                          | United Airlines 2016-1 Class B Pass Through Trust                                | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      786667 | PA      | $711762.38    | 0.14%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      555000 | PA      | $772629.92    | 0.15%             | 2040-07-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   180540000 | PA      | $8570503.29   | 1.64%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (2 YEAR ISSUE)                             | Japan Government Two Year Bond                                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   731750000 | PA      | $5574715.04   | 1.07%             | 2024-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                | CF Industries Inc                                                                | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      380000 | PA      | $359667.72    | 0.07%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                | Israel Government Bond - Fixed                                                   | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     3425000 | PA      | $819540.70    | 0.16%             | 2030-03-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | Vericrest Opportunity Loan Transferee                                            | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2922073 | PA      | $2521256.64   | 0.48%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                           | New Zealand Government Bond                                                      | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1045000 | PA      | $664970.02    | 0.13%             | 2023-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCIII LLC                                                                   | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2610134 | PA      | $2348108.94   | 0.45%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 B PTT                          | United Airlines 2016-2 Class B Pass Through Trust                                | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      934826 | PA      | $837454.87    | 0.16%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220237 | PA      | $209421.73    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                              | Intesa Sanpaolo SpA                                                              | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     2625000 | PA      | $2582049.93   | 0.49%             | 2030-06-10      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                             | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 19798100000 | PA      | $3486692.56   | 0.67%             | 2026-08-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                                                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     7770000 | PA      | $1770246.39   | 0.34%             | 2026-07-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     1510000 | PA      | $1405599.08   | 0.27%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED PLN / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $3887.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5060000 | PA      | $3938847.00   | 0.75%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1440000 | PA      | $1354806.17   | 0.26%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      580000 | PA      | $544479.76    | 0.10%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         175 | NC      | $47534.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GQCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254204 | PA      | $231652.27    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                     | DP World Ltd/United Arab Emirates                                                | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     1180000 | PA      | $991931.60    | 0.19%             | 2049-09-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      815000 | PA      | $597569.22    | 0.11%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                              | Virgin Money UK PLC                                                              | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |      600000 | PA      | $593406.88    | 0.11%             | 2031-08-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC                       | Navigator Aircraft ABS Ltd                                                       | CUSIP: 63943BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2300104 | PA      | $1931976.33   | 0.37%             | 2046-11-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     2485000 | PA      | $1877161.39   | 0.36%             | 2050-06-22      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     4835000 | PA      | $4736161.12   | 0.91%             | 2027-08-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FMYR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366606 | PA      | $359411.89    | 0.07%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   468600000 | PA      | $3813284.27   | 0.73%             | 2043-12-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YTRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      710396 | PA      | $663899.89    | 0.13%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND MAR23                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           4 | NC      | $-110133.71   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      215000 | PA      | $181470.75    | 0.03%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                       | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      350000 | PA      | $240870.45    | 0.05%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      210000 | PA      | $144753.00    | 0.03%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1185000 | PA      | $720560.27    | 0.14%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     2990000 | PA      | $2810519.81   | 0.54%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                      | Legacy Mortgage Asset Trust 2019-GS7                                             | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1782305 | PA      | $1779130.13   | 0.34%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7604.98      | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023BR5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       85000 | PA      | $76516.56     | 0.01%             | 2026-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                           | Digital Dutch Finco BV                                                           | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |     1690000 | PA      | $1264065.95   | 0.24%             | 2032-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                   | EDP Finance BV                                                                   | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |     1085000 | PA      | $898879.10    | 0.17%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235041 | PA      | $210160.02    | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                           | Orbia Advance Corp SAB de CV                                                     | CUSIP: 59284BAE8<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      330000 | PA      | $286687.50    | 0.05%             | 2044-09-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1680000 | PA      | $898375.51    | 0.17%             | 2052-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                | National Grid Electricity Distribution South Wales PLC                           | CUSIP: 000000000<br>LEI: 549300RHOCSNK1FZ4116 | Long             | DBT              | CORP              | GB        |      885000 | PA      | $685215.82    | 0.13%             | 2035-10-07      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                                                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  9400000000 | PA      | $6271870.30   | 1.20%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                      | Lennar Corp                                                                      | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       55000 | PA      | $54648.66     | 0.01%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9246496 | PA      | $8115325.73   | 1.55%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CB9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      235000 | PA      | $161303.31    | 0.03%             | 2048-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Corning Inc                                      | Corning Inc                                                                      | CUSIP: 219350BC8<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   600000000 | PA      | $4527842.12   | 0.87%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11573332 | PA      | $10600207.71  | 2.03%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1710000 | PA      | $1760215.25   | 0.34%             | 2025-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                           | Brazilian Government International Bond                                          | CUSIP: 105756BZ2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     3525000 | PA      | $3375177.84   | 0.65%             | 2028-01-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $18628.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                       | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      440000 | PA      | $436803.84    | 0.08%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8075000 | PA      | $6590903.34   | 1.26%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                    | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      300000 | PA      | $269766.76    | 0.05%             | 2032-01-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| IRISH TSY 0% 2031                                | Ireland Government Bond                                                          | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     1310000 | PA      | $1080797.29   | 0.21%             | 2031-10-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                                                         | CUSIP: 135087L44<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    11030000 | PA      | $6573684.49   | 1.26%             | 2030-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    33010000 | PA      | $4923811.61   | 0.94%             | 2030-11-19      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CCK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20380000 | PA      | $19927818.75  | 3.81%             | 2023-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                            | Province of Ontario Canada                                                       | CUSIP: 68333ZAL1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     5245000 | PA      | $2375163.77   | 0.45%             | 2051-12-02      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   480200000 | PA      | $2845671.64   | 0.54%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2019-E                                             | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1225171 | PA      | $1205710.64   | 0.23%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                            | National Grid Electricity Transmission PLC                                       | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |      175000 | PA      | $168247.65    | 0.03%             | 2028-07-07      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738EBP9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1050000 | PA      | $798991.85    | 0.15%             | 2035-09-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $152449.30    | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4142701 | PA      | $3767868.66   | 0.72%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   389700000 | PA      | $3532985.04   | 0.68%             | 2037-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                             | Singapore Government Bond                                                        | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     2780000 | PA      | $2026573.09   | 0.39%             | 2026-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      390000 | PA      | $273844.33    | 0.05%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2020000 | PA      | $1829745.80   | 0.35%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $47502.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6390000 | PA      | $6371778.53   | 1.22%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                           | New Zealand Government Bond                                                      | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     9580000 | PA      | $6064643.11   | 1.16%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   724400000 | PA      | $4314110.00   | 0.82%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                    | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     2355000 | PA      | $1918342.42   | 0.37%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F7G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      118134 | PA      | $116054.38    | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                      | Lennar Corp                                                                      | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      420000 | PA      | $408464.75    | 0.08%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD TRESRY                         | Heimstaden Bostad Treasury BV                                                    | CUSIP: 000000000<br>LEI: 549300ORG6UYMJBCV938 | Long             | DBT              | CORP              | NL        |     2410000 | PA      | $1723305.55   | 0.33%             | 2029-09-06      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     6085000 | PA      | $5349142.47   | 1.02%             | 2030-04-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CHANNEL LINK                                     | Channel Link Enterprises Finance PLC                                             | CUSIP: 000000000<br>LEI: 213800BYHTDDUJYTT475 | Long             | DBT              | CORP              | GB        |     1055000 | PA      | $1008520.40   | 0.19%             | 2050-06-30      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | Blackstone Property Partners Europe Holdings Sarl                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     1015000 | PA      | $791954.39    | 0.15%             | 2028-05-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2022-OANA                                                              | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1385000 | PA      | $1351755.98   | 0.26%             | 2037-04-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7839000 | PA      | $4664205.00   | 0.89%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** LOOMIS SAYLES FUNDS I

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer