# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0000896435-26-000186
**Filing Date:** 2026-3
**Character Count:** 395563
**Document Hash:** 99710ec94f8a939f3112080927c8f22e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000896435-26-000186.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000896435-26-000186

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07452
- **FILM NUMBER:** 26708482

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS
- **DATE OF NAME CHANGE:** 20000719

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### Invesco V.I. Global Strategic Income Fund (Series ID: S000064661)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000209369 | Series II    |  |
| C000209370 | Series I     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

- **b. Investment Company Act file number:** 811-07452

- **c. CIK number of Registrant:** 0000896435

- **d. LEI of Registrant:** FC4UULIMJMGKBDUARB13

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco V.I. Global Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000064661

- **c. LEI of Series:** 549300NCC31DI84NL880

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

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

- **b. Date as of which information is reported:** 2025-12-31

**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:** $733979704.46

**Total Liabilities:** $87463537.01

**Net Assets:** $646516167.45

**Amount of Assets Invested in Other Investment Companies:** $2182033.15

**Delayed Delivery Securities:** $276031.25

**Cash Not Reported:** $26214266.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1531.15306980 | **1-Year:** -13773.60248961 | **5-Year:** 37655.30486634 | **10-Year:** -34602.79432136 | **30-Year:** -15392.93122636

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

- **3-Month:** -4625.89858583 | **1-Year:** -5491.99424058 | **5-Year:** -23496.88121937 | **10-Year:** -8578.76508717 | **30-Year:** -436.58537734

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000209370 | 1.10%                | 0.89%                | 1.11%                |
| Class ID C000209369 | 1.01%                | 0.86%                | 1.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1389932.79              | $2583145.95                                |
| Month 2  | $2583728.90              | $-434711.10                                |
| Month 3  | $2491221.13              | $-2687691.36                               |

**Designated Index Information**

- **Index Name:** N/A

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PetSmart LLC / PetSmart Finance Corp.                               | PetSmart LLC / PetSmart Finance Corp.                                                | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $280194.59    | 0.04%             | 2032-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -29400000 | NC      | $-24.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -56020000 | NC      | $-117175.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                    | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E          | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     885000 | PA      | $1198609.80   | 0.19%             | 2053-07-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| J. M. Smucker Co. (The)                                             | J. M. Smucker Co. (The)                                                              | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    1352000 | PA      | $1416989.04   | 0.22%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EnerSys                                                             | EnerSys                                                                              | CUSIP: 29275YAF9<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |     113000 | PA      | $117738.20    | 0.02%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2518 | PA      | $247.99       | 0.00%             | 2032-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38384XRJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    9625252 | PA      | $275773.08    | 0.04%             | 2054-10-20      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC    | Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC                     | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40000 | PA      | $39433.64     | 0.01%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                    | Brazil Notas do Tesouro Nacional, Class NTNF                                         | CUSIP: ZP2084801<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  206000000 | PA      | $33036300.54  | 5.11%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38385GPN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   25448269 | PA      | $289405.35    | 0.04%             | 2055-04-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                   | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                    | CUSIP: 00253XAA9<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     468333 | PA      | $469242.57    | 0.07%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -22050000 | NC      | $-459985.05   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Province of Ontario                                                 | Province of Ontario                                                                  | CUSIP: 683234SL3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    6200000 | PA      | $5179171.61   | 0.80%             | 2033-03-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-195433.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   18666667 | NC      | $1165152.63   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                  | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     128000 | PA      | $120447.07    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -6190000 | NC      | $-41563.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VoltaGrid LLC                                                       | VoltaGrid LLC                                                                        | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |     239000 | PA      | $236904.15    | 0.04%             | 2030-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                               | Kioxia Holdings Corp.                                                                | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |     250000 | PA      | $260193.91    | 0.04%             | 2033-07-24      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                 | Newgate Funding PLC, Series 2006-2, Class CB                                         | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |     444007 | PA      | $484193.04    | 0.07%             | 2050-12-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                 | American Axle & Manufacturing, Inc.                                                  | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |     244000 | PA      | $248669.83    | 0.04%             | 2033-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK NC PLC                                                  | Eurosail-UK NC PLC, Series 2007-1X, Class D1A                                        | CUSIP: BCC0VXRD6<br>LEI: 213800HEU63KH3XHB844 | Long             | ABS-MBS          | CORP              | GB        |    1166000 | PA      | $1181541.76   | 0.18%             | 2045-03-13      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-48634.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                      | Aircastle Ltd.                                                                       | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     465000 | PA      | $465945.86    | 0.07%             | N/A             | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $151540.11    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                          | Allison Transmission, Inc.                                                           | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     522000 | PA      | $491884.19    | 0.08%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Starz Capital Holdings 1, Inc.                                      | Starz Capital Holdings 1, Inc.                                                       | CUSIP: 535939AA0<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |     323000 | PA      | $309676.25    | 0.05%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      54984 | PA      | $5213.38      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                              | GFL Environmental Inc.                                                               | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     497000 | PA      | $490501.35    | 0.08%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                     | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class AS                           | CUSIP: 92890PAG9<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      66702 | PA      | $65572.15     | 0.01%             | 2046-06-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 36208T6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5159 | PA      | $5232.37      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1750000 | NC      | $57349.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACNR Holdings, Inc.                                                 | ACNR Holdings, Inc., Term Loan                                                       | CUSIP: 02522YAD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      25872 | PA      | $25861.56     | 0.00%             | 2029-12-11      | Floating      | 13.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    4593000 | NC      | $27288.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $195297.78    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $277265.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10408.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -30700000 | NC      | $-123456.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133T7ZF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        121 | PA      | $120.83       | 0.00%             | 2026-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3450000 | NC      | $78349.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2836.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                               | NextEra Energy Capital Holdings, Inc.                                                | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1796000 | PA      | $1918335.46   | 0.30%             | 2054-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | U.S. Treasury 2 Year Notes Future                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1384 | NC      | $181708.13    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2024-HQA1, Class M2                                              | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | USGSE             | US        |    1670900 | PA      | $1683624.24   | 0.26%             | 2044-03-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Navient Corp.                                                       | Navient Corp.                                                                        | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      81000 | PA      | $90085.80     | 0.01%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                                   | Sonic Capital LLC, Series 2020-1A, Class A2I                                         | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     875667 | PA      | $867104.14    | 0.13%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-278.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $92941.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26787.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2            | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2, Series 2024-NQM2, Class A3 | CUSIP: 61776HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1217610 | PA      | $1234567.71   | 0.19%             | 2069-05-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      21718 | PA      | $2891.35      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                     | TransDigm, Inc.                                                                      | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     306000 | PA      | $313429.68    | 0.05%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings, Inc.                                         | Endo Finance Holdings, Inc.                                                          | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     231000 | PA      | $244442.12    | 0.04%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-3529911.00  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3670000 | NC      | $19218.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31396KV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      76934 | PA      | $4119.48      | 0.00%             | 2036-09-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     152000 | PA      | $150388.77    | 0.02%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A2                                    | CUSIP: 67448PAB9<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     434015 | PA      | $438920.13    | 0.07%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                    | Argentine Republic Government International Bond                                     | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1411200 | PA      | $1203048.00   | 0.19%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 3140QPRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6342504 | PA      | $6249200.80   | 0.97%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       7009 | PA      | $6921.71      | 0.00%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1427.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VMED 02 UK Financing I PLC                                          | VMED 02 UK Financing I PLC                                                           | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $99228.52     | 0.02%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                 | Ludgate Funding PLC, Series 2007-1, Class MA                                         | CUSIP: BCC0YN9Q6<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     667478 | PA      | $855094.98    | 0.13%             | 2061-01-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $26511.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                          | Sensata Technologies, Inc.                                                           | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     262000 | PA      | $246032.67    | 0.04%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-31797.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-139976.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3240000 | NC      | $276812.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust, Series 2025-NQM4, Class A2                               | CUSIP: 46660HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820484 | PA      | $820969.65    | 0.13%             | 2066-03-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| IM Pastor 4, FTA                                                    | IM Pastor 4, FTA, Series B                                                           | CUSIP: BCC0QWGY0<br>LEI: 95980020140005262912 | Long             | ABS-MBS          | CORP              | ES        |    1000000 | PA      | $847788.10    | 0.13%             | 2044-03-22      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2025-DNA2, Class A1                                              | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |     479375 | PA      | $480698.46    | 0.07%             | 2045-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                | FREMF Mortgage Trust, Series 2017-K62, Class B                                       | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $278202.96    | 0.04%             | 2050-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $63412.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Aberdeen Group PLC                                                  | Aberdeen Group PLC                                                                   | CUSIP: AP5373554<br>LEI: 0TMBS544NMO7GLCE7H90 | Long             | DBT              | CORP              | GB        |     675000 | PA      | $664973.06    | 0.10%             | 2028-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO     | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   18347921 | PA      | $486539.15    | 0.08%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                  | Berry Global, Inc.                                                                   | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     767000 | PA      | $799582.18    | 0.12%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Cougar JV Subsidiary, LLC                                           | Cougar JV Subsidiary, LLC                                                            | CUSIP: 22208WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     236000 | PA      | $253183.40    | 0.04%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Sociedad Quimica y Minera de Chile S.A.                             | Sociedad Quimica y Minera de Chile S.A.                                              | CUSIP: 833636AP8<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |    1905000 | PA      | $1932203.40   | 0.30%             | 2034-09-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                                                    | WULF Compute LLC                                                                     | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     232000 | PA      | $239193.96    | 0.04%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| M&G PLC                                                             | M&G PLC                                                                              | CUSIP: AU5739852<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1897675.99   | 0.29%             | 2051-10-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                              | BP Capital Markets PLC                                                               | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     435000 | PA      | $433089.98    | 0.07%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-191483.91   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-501486.19   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5427.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2005-2, Class 1A3                              | CUSIP: 17307GRB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     107904 | PA      | $105460.93    | 0.02%             | 2035-05-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class C                       | CUSIP: 78437XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $301003.14    | 0.05%             | 2031-04-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                              | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDW7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101435.60    | 0.02%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Macro S.A.                                                    | Banco Macro S.A., Class B                                                            | CUSIP: N/A<br>LEI: 579100KKDKKIFEBKK040       | Long             | EC               | CORP              | AR        |     369464 | NS      | $3456214.42   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -55490000 | NC      | $-186395.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Saks Global Enterprises LLC                                         | Saks Global Enterprises LLC                                                          | CUSIP: 79380MAB1<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |     156450 | PA      | $10951.50     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| CMA CGM S.A.                                                        | CMA CGM S.A.                                                                         | CUSIP: YK5572341<br>LEI: 969500BZJ49IICIBZZ08 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $229742.71    | 0.04%             | 2032-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc.                                             | RB Global Holdings Inc.                                                              | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     343000 | PA      | $351198.36    | 0.05%             | 2028-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-133037.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2025-1                    | Newday Funding Master Issuer PLC - Series 2025-1, Series 2025-1X, Class E            | CUSIP: BCC3LFVV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    1510000 | PA      | $2054448.52   | 0.32%             | 2033-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                   | Barclays Bank PLC                                                                    | CUSIP: 06738C828<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    3470000 | PA      | $3671260.00   | 0.57%             | N/A             | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -9330000 | NC      | $-24304.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association, IO                                         | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      62793 | PA      | $4251.91      | 0.00%             | 2041-04-16      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-486.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      83870 | PA      | $7564.92      | 0.00%             | 2035-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11383.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                     | TransDigm, Inc.                                                                      | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1528000 | PA      | $1556827.14   | 0.24%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13374.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                               | OneMain Finance Corp.                                                                | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     109000 | PA      | $113032.35    | 0.02%             | 2029-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                               | Westlake Automobile Receivables Trust, Series 2024-3A, Class D                       | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1519582.20   | 0.24%             | 2030-04-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      51990 | PA      | $1977.13      | 0.00%             | 2035-05-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                               | Claire's Holdings LLC, Class S                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        235 | NS      | $24.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $304101.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Telecom Italia Capital S.A.                                         | Telecom Italia Capital S.A.                                                          | CUSIP: 87927VAF5<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     229000 | PA      | $241113.40    | 0.04%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Sunrise FinCo I B.V.                                                | Sunrise FinCo I B.V.                                                                 | CUSIP: N/A<br>LEI: 213800MNFBDEQRS6HZ22       | Long             | DBT              | CORP              | NL        |     250000 | PA      | $297334.35    | 0.05%             | 2032-05-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Voyager Parent, LLC                                                 | Voyager Parent, LLC                                                                  | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |     219000 | PA      | $232519.09    | 0.04%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                     | Sinclair Television Group, Inc.                                                      | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      46000 | PA      | $48075.52     | 0.01%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                              | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR16, Class 1A1                  | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1938 | PA      | $1776.42      | 0.00%             | 2035-12-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                           | Hera Financing 2024-1 DAC, Series 2024-1A, Class A                                   | CUSIP: BCC3H4L87<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     996163 | PA      | $1345679.44   | 0.21%             | 2034-11-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                               | OneMain Finance Corp.                                                                | CUSIP: 682691AK6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     148000 | PA      | $153945.22    | 0.02%             | 2032-09-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Sempra                                                              | Sempra                                                                               | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     812000 | PA      | $830193.10    | 0.13%             | 2056-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                                               | Switch ABS Issuer LLC, Series 2025-2A, Class A22                                     | CUSIP: 871044AU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1120000 | PA      | $1117836.50   | 0.17%             | 2055-10-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                            | Studio City Finance Ltd.                                                             | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |     323000 | PA      | $312165.91    | 0.05%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Banco BBVA Argentina S.A.                                           | Banco BBVA Argentina S.A.                                                            | CUSIP: N/A<br>LEI: 579100KKDBKJFDKKD024       | Long             | EC               | CORP              | AR        |     341702 | NS      | $2174168.07   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust           | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                            | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     450000 | PA      | $472067.44    | 0.07%             | 2055-03-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                                       | Univision Communications Inc.                                                        | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      97000 | PA      | $104326.22    | 0.02%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2023-HQA3, Class M2                                              | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3246650.46   | 0.50%             | 2043-11-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   19600000 | NC      | $1555341.48   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-293251.27   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexican Bonos                                                       | Mexican Bonos, Series M                                                              | CUSIP: YR0988158<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  514000000 | PA      | $28635818.15  | 4.43%             | 2030-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2780000 | NC      | $348611.21    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-51132.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      12147 | PA      | $1631.05      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                               | Claire's Stores, Inc., Term Loan                                                     | CUSIP: 17958DAL1<br>LEI: 549300N5HNYXI6JY7625 | Long             | LON              | CORP              | US        |      71011 | PA      | $4793.22      | 0.00%             | 2026-12-18      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      67428 | PA      | $5617.86      | 0.00%             | 2035-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                   | Rocket Cos., Inc.                                                                    | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     235000 | PA      | $243049.72    | 0.04%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                           | Jupiter Mortgage No.1 PLC, Series 1A, Class ER                                       | CUSIP: BCC3D7YQ0<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |    1379000 | PA      | $1861314.58   | 0.29%             | 2055-07-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2770000 | NC      | $649104.36    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2023-HQA2, Class M1                                              | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $928702.98    | 0.14%             | 2043-06-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                  | Newell Brands Inc.                                                                   | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     110000 | PA      | $109752.37    | 0.02%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Argentum Netherlands BV for Swiss Re Ltd.                           | Argentum Netherlands BV for Swiss Re Ltd.                                            | CUSIP: LW2260898<br>LEI: 724500RPEZI5VVQQWE89 | Long             | DBT              | CORP              | NL        |     207000 | PA      | $209477.61    | 0.03%             | 2052-08-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                    | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6A, Class F          | CUSIP: BCC3FJ063<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     950000 | PA      | $1282467.41   | 0.20%             | 2053-07-20      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $241037.10    | 0.04%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -36070000 | NC      | $-3343345.25  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                    | CMS Energy Corp.                                                                     | CUSIP: 125896BY5<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    2629000 | PA      | $2704820.36   | 0.42%             | 2055-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -36400000 | NC      | $-12294.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Europe, B.V.                                             | Telefonica Europe, B.V.                                                              | CUSIP: ZN3747385<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1783770.73   | 0.28%             | N/A             | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Grupo Financiero Galicia S.A.                                       | Grupo Financiero Galicia S.A., Class B                                               | CUSIP: N/A<br>LEI: 5299008H3AXIXV5G3C23       | Long             | EC               | CORP              | AR        |     780353 | NS      | $4430092.15   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Treasury Portfolio                                          | Invesco Treasury Portfolio, Institutional Class                                      | CUSIP: 825252406<br>LEI: 5493004B3TM8ZIDDDC39 | Long             | STIV             | RF                | US        |   10673662 | NS      | $10673662.44  | 1.65%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7571.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Summit Midstream Holdings, LLC                                      | Summit Midstream Holdings, LLC                                                       | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     232000 | PA      | $240718.10    | 0.04%             | 2029-10-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust, Series 2025-NQM4, Class A3                               | CUSIP: 46660HAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820484 | PA      | $820177.72    | 0.13%             | 2066-03-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1042500 | NC      | $6400.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                        | Diversified Healthcare Trust                                                         | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102373.80    | 0.02%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31393Y5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      73189 | PA      | $8558.09      | 0.00%             | 2033-10-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAD0<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     357000 | PA      | $363508.11    | 0.06%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                  | Vale Overseas Ltd.                                                                   | CUSIP: 91911TAT0<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     980000 | PA      | $981274.00    | 0.15%             | 2056-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   18666667 | NC      | $771501.19    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                           | Seagate Data Storage Technology Pte. Ltd.                                            | CUSIP: 81180LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     376000 | PA      | $359070.60    | 0.06%             | 2031-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV3 Trust                                                | GCAT 2024-INV3 Trust, Series 2024-INV3, Class A17                                    | CUSIP: 36830FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152107 | PA      | $156273.65    | 0.02%             | 2054-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                | Muthoot Finance Ltd.                                                                 | CUSIP: 62828M2C4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |    1350000 | PA      | $1382049.12   | 0.21%             | 2028-02-14      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140242.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HL4V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   33895907 | PA      | $1046797.13   | 0.16%             | 2055-05-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| GMR Hyderabad International Airport Ltd.                            | GMR Hyderabad International Airport Ltd.                                             | CUSIP: AP5111855<br>LEI: 335800NSPGIN89SVOU83 | Long             | DBT              | CORP              | IN        |    1800000 | PA      | $1769873.92   | 0.27%             | 2027-10-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                            | Republic of South Africa Government Bond, Series 2048                                | CUSIP: EJ2359143<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  138090000 | PA      | $8019964.09   | 1.24%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                    | LCM Investments Holdings II, LLC                                                     | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     229000 | PA      | $242350.35    | 0.04%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class M1                                    | CUSIP: 67448PAD5<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $311215.57    | 0.05%             | 2064-07-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14000000 | NC      | $-9352.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3000000 | NC      | $9414.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       8137 | PA      | $875.92       | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Caturus Energy, LLC                                                 | Caturus Energy, LLC                                                                  | CUSIP: 49446BAA2<br>LEI: 254900LM244SIFQ1QY31 | Long             | DBT              | CORP              | US        |     236000 | PA      | $245962.50    | 0.04%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | J.P. Morgan Securities LLC                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  138720000 | NC      | $4019568.75   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-381.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                        | Eurosail PLC, Series 2006-2X, Class E1C                                              | CUSIP: BCC0T5HQ2<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |    1830000 | PA      | $2239855.35   | 0.35%             | 2044-12-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                      | British Telecommunications PLC                                                       | CUSIP: 11102AAF8<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    4150000 | PA      | $4115413.49   | 0.64%             | 2081-11-23      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Information Management Services, Inc.                 | Iron Mountain Information Management Services, Inc.                                  | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     116000 | PA      | $110810.16    | 0.02%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14000000 | NC      | $-30327.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                          | Cloud Software Group, Inc.                                                           | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     212000 | PA      | $221665.13    | 0.03%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      15673 | PA      | $1529.44      | 0.00%             | 2032-12-18      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                    | CVS Health Corp.                                                                     | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     425000 | PA      | $444091.00    | 0.07%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: —       |
| AES Corp. (The)                                                     | AES Corp. (The)                                                                      | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    2003000 | PA      | $2041263.31   | 0.32%             | 2055-01-15      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-33204.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       3693 | PA      | $483.36       | 0.00%             | 2033-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Alba PLC                                                            | Alba PLC, Series 2007-1, Class F                                                     | CUSIP: BCC0XU0N7<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |     533532 | PA      | $667002.20    | 0.10%             | 2039-03-17      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 10 Year Ultra Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -8 | NC      | $1174.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4648.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2022-R04, Class 1M2                 | CUSIP: 20753YCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770000 | PA      | $789049.42    | 0.12%             | 2042-03-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Vista Energy Argentina S.A.U                                        | Vista Energy Argentina S.A.U                                                         | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     700000 | PA      | $700371.00    | 0.11%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -19390000 | NC      | $-863495.20   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38381NB64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   13771655 | PA      | $575251.65    | 0.09%             | 2055-07-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A3                                    | CUSIP: 67448PAC7<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     218690 | PA      | $220877.66    | 0.03%             | 2064-07-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1243 | PA      | $117.18       | 0.00%             | 2032-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49773.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                  | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-J4, Class A7         | CUSIP: 126694RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147722 | PA      | $121805.06    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1799.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                    | Argentine Republic Government International Bond                                     | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    2100000 | PA      | $1458450.00   | 0.23%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Viatris Inc.                                                        | Viatris Inc.                                                                         | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     746000 | PA      | $572958.53    | 0.09%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2251 | PA      | $236.47       | 0.00%             | 2032-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1356727.46   | 0.21%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13990000 | NC      | $-204799.61   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31393AHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      28964 | PA      | $4621.54      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Pampa Energia S.A.                                                  | Pampa Energia S.A., ADR                                                              | CUSIP: 697660207<br>LEI: 254900QNIK0CVURGML24 | Long             | EC               | CORP              | AR        |      16000 | NS      | $1416160.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: —       |
| Enbridge Inc.                                                       | Enbridge Inc.                                                                        | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2857000 | PA      | $2945104.17   | 0.46%             | 2083-01-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: —       |
| Whirlpool Corp.                                                     | Whirlpool Corp.                                                                      | CUSIP: 963320AW6<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |     240000 | PA      | $237368.26    | 0.04%             | 2029-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG, LLC                                 | Venture Global Plaquemines LNG, LLC                                                  | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101892.44    | 0.02%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -22050000 | NC      | $-534271.50   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fideicomiso Financiero Invernea Proteina 2                          | Fideicomiso Financiero Invernea Proteina 2, Serie II                                 | CUSIP: BCC37HGV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AR        |  133500000 | PA      | $719971.06    | 0.11%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Volkswagen International Finance N.V.                               | Volkswagen International Finance N.V.                                                | CUSIP: EK1313726<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     560000 | PA      | $660049.43    | 0.10%             | N/A             | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FASW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      15368 | PA      | $1712.94      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7750000 | NC      | $-258524.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5            | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5, Series 2024-NQM5, Class A3 | CUSIP: 61777QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717822 | PA      | $725138.89    | 0.11%             | 2069-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-233876.92   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                         | ONEOK, Inc.                                                                          | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1487000 | PA      | $1558898.12   | 0.24%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392X3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       5725 | PA      | $5784.61      | 0.00%             | 2032-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                | Clear Channel Outdoor Holdings, Inc., Term Loan B                                    | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |     285646 | PA      | $286768.23    | 0.04%             | 2028-08-23      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     228000 | PA      | $238136.05    | 0.04%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                     | CoreWeave, Inc., Conv.                                                               | CUSIP: 21873SAD0<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      80000 | PA      | $75900.00     | 0.01%             | 2031-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG, LLC                                 | Venture Global Plaquemines LNG, LLC                                                  | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     251000 | PA      | $257214.85    | 0.04%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -36070000 | NC      | $-4736886.98  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10386 | PA      | $968.73       | 0.00%             | 2039-12-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Zurich Finance (Ireland) DAC                                        | Zurich Finance (Ireland) DAC                                                         | CUSIP: BN4784409<br>LEI: 549300E0FVHYR37EGX65 | Long             | DBT              | CORP              | IE        |    2800000 | PA      | $2546239.64   | 0.39%             | 2051-04-19      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M1                 | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169827 | PA      | $170158.27    | 0.03%             | 2043-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Treasury Corp. of Victoria                                          | Treasury Corp. of Victoria                                                           | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |    7395000 | PA      | $4998715.68   | 0.77%             | 2026-11-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hawaiian Electric Co., Inc.                                         | Hawaiian Electric Co., Inc.                                                          | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |     362000 | PA      | $367214.25    | 0.06%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| U.S. Treasury Bills                                                 | U.S. Treasury Bills                                                                  | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31307000 | PA      | $30908643.82  | 4.78%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $110977.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Antero Midstream Partners L.P./ Antero Midstream Finance Corp.      | Antero Midstream Partners L.P./ Antero Midstream Finance Corp.                       | CUSIP: 03690AAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     233000 | PA      | $234874.69    | 0.04%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392BKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       7801 | PA      | $8029.71      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-173074.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -11760000 | NC      | $-47291.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Alba PLC                                                            | Alba PLC, Series 2006-2, Class F                                                     | CUSIP: BCC0TR7H5<br>LEI: 2138004SAGUH3UKKW934 | Long             | ABS-MBS          | CORP              | GB        |     370656 | PA      | $457534.96    | 0.07%             | 2038-12-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Eurobank S.A.                                                       | Eurobank S.A.                                                                        | CUSIP: ZG2610597<br>LEI: 213800KGF4EFNUQKAT69 | Long             | DBT              | CORP              | GR        |     675000 | PA      | $856289.26    | 0.13%             | 2029-11-28      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -41075000 | NC      | $-134267.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                            | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     238000 | PA      | $245346.58    | 0.04%             | 2030-01-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2024-DNA1, Class M2                                              | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |    1550000 | PA      | $1566795.18   | 0.24%             | 2044-02-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   27740000 | NC      | $124580.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6213193 | PA      | $6218505.51   | 0.96%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-NQM3, Class A2                      | CUSIP: 36274TAB5<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |     475858 | PA      | $478150.43    | 0.07%             | 2065-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Antero Midstream Partners L.P./ Antero Midstream Finance Corp.      | Antero Midstream Partners L.P./ Antero Midstream Finance Corp.                       | CUSIP: 03690AAK2<br>LEI: 529900HFO1BDEIT4QU11 | Long             | DBT              | CORP              | US        |     233000 | PA      | $241310.91    | 0.04%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -15750000 | NC      | $-99.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $3631518.57   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $230687.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                          | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      71000 | PA      | $62413.97     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                   | CD Mortgage Trust, Series 2017-CD6, Class XA                                         | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1608422 | PA      | $18550.09     | 0.00%             | 2050-11-13      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $417358.83    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Orazul Energy Peru S.A.                                             | Orazul Energy Peru S.A.                                                              | CUSIP: 685948AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     512000 | PA      | $520966.14    | 0.08%             | 2032-09-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                 | Egypt Government International Bond                                                  | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1095000 | PA      | $1218189.12   | 0.19%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       6735 | PA      | $352.07       | 0.00%             | 2038-07-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-173812.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AECOM                                                               | AECOM                                                                                | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     234000 | PA      | $239950.62    | 0.04%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing, LLC                                              | Directv Financing, LLC                                                               | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      61000 | PA      | $61795.69     | 0.01%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Telenet Finance Luxembourg Notes S.a.r.l.                           | Telenet Finance Luxembourg Notes S.a.r.l.                                            | CUSIP: AQ2322842<br>LEI: 2138007RI9GLJPCC3E25 | Long             | DBT              | CORP              | LU        |    1600000 | PA      | $1595853.31   | 0.25%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-90970.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                               | United Airlines, Inc.                                                                | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1391000 | PA      | $1390096.96   | 0.22%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -8920000 | NC      | $-31232.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EnerSys                                                             | EnerSys                                                                              | CUSIP: 29275YAC6<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |     245000 | PA      | $244144.61    | 0.04%             | 2027-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                 | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                                     | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |     444337 | PA      | $448922.41    | 0.07%             | 2055-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2936.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -55960000 | NC      | $-1797.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 313921R34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       8302 | PA      | $807.90       | 0.00%             | 2031-11-18      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2080000 | NC      | $38995.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392JDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      24986 | PA      | $2693.97      | 0.00%             | 2033-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                          | Rogers Communications Inc.                                                           | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     852000 | PA      | $891963.91    | 0.14%             | 2055-04-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: —       |
| Amneal Pharmaceuticals LLC                                          | Amneal Pharmaceuticals LLC                                                           | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |     257000 | PA      | $271792.92    | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   17340000 | NC      | $428211.30    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -20850000 | NC      | $-1005303.60  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-227443.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple  | FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple                   | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     940982 | PA      | $990647.04    | 0.15%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties L.P./ RHP Finance Corp.                        | RHP Hotel Properties L.P./ RHP Finance Corp.                                         | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     232000 | PA      | $242107.54    | 0.04%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $435606.54    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                         | ONEOK, Inc.                                                                          | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1198198.38   | 0.19%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV1 Mortgage Loan Trust                                  | COLT 2024-INV1 Mortgage Loan Trust, Series 2024-INV1, Class A3                       | CUSIP: 12672RAC6<br>LEI: 213800D3JCL6LSBI3544 | Long             | ABS-MBS          | CORP              | US        |     335105 | PA      | $337982.32    | 0.05%             | 2068-12-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                         | Clarios Global L.P./ Clarios US Finance Co.                                          | CUSIP: 18060TAD7<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |     297000 | PA      | $310828.32    | 0.05%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392KGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       6458 | PA      | $6524.20      | 0.00%             | 2032-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CPI Property Group S.A.                                             | CPI Property Group S.A.                                                              | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |    1300000 | PA      | $1458473.90   | 0.23%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Murray Energy Corp.                                                 | Murray Energy Corp.                                                                  | CUSIP: N/A<br>LEI: 549300WM5IIFYHZYTT63       | Long             | EC               | CORP              | US        |        478 | NS      | $48576.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                              | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                   | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10517 | PA      | $10160.41     | 0.00%             | 2033-10-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   48330000 | NC      | $26871.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                 | Newgate Funding PLC, Series 2007-3X, Class CB                                        | CUSIP: BCC11HRV2<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     300298 | PA      | $340021.19    | 0.05%             | 2050-12-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $502994.79    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley & Co. International PLC                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   54850000 | NC      | $19662.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -17540000 | NC      | $-711843.36   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                 | Rate Mortgage Trust, Series 2024-J3, Class A2                                        | CUSIP: 75409UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365914 | PA      | $369652.60    | 0.06%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-44728.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2022-DNA3, Class M1                                              | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3076215.60   | 0.48%             | 2042-04-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                    | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F          | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     620000 | PA      | $836978.73    | 0.13%             | 2053-07-20      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Pavillion Consumer 2025-1 PLC                                       | Pavillion Consumer 2025-1 PLC, Series 2025-1A, Class D                               | CUSIP: BCC3PRM86<br>LEI: 213800XK4G6W1NHSJJ12 | Long             | ABS-O            | CORP              | GB        |    1400000 | PA      | $1883186.61   | 0.29%             | 2036-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SC Germany S.A. Compartment Consumer Trust                          | SC Germany S.A. Compartment Consumer Trust, Series 2021-1, Class E                   | CUSIP: BCC32SYK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |    2913710 | PA      | $3403794.17   | 0.53%             | 2035-11-14      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   13870000 | NC      | $405877.81    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                             | NESCO Holdings II, Inc.                                                              | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |     244000 | PA      | $240549.03    | 0.04%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Argentina Treasury Bond BONTE                                       | Argentina Treasury Bond BONTE                                                        | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        | 4015000000 | PA      | $3041331.38   | 0.47%             | 2027-04-27      | Fixed         | 29.50%                | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                   | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     541000 | PA      | $548922.92    | 0.08%             | 2030-09-16      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| African Development Bank                                            | African Development Bank                                                             | CUSIP: ZP3697759<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | CORP              | CI        |   78000000 | PA      | $570559.87    | 0.09%             | 2050-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Kingdom Gilt                                                 | United Kingdom Gilt                                                                  | CUSIP: ZF2680865<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2570000 | PA      | $3037837.71   | 0.47%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Banco de Credito e Inversiones S.A.                                 | Banco de Credito e Inversiones S.A.                                                  | CUSIP: 05890MAC7<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |     775000 | PA      | $838445.38    | 0.13%             | N/A             | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria S.A.                                | Banco Bilbao Vizcaya Argentaria S.A.                                                 | CUSIP: BK4220673<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    3400000 | PA      | $4006152.64   | 0.62%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc.                                | Acrisure LLC / Acrisure Finance Inc.                                                 | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     342000 | PA      | $357550.19    | 0.06%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Weir Group Inc.                                                     | Weir Group Inc.                                                                      | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |     569000 | PA      | $584892.30    | 0.09%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                     | Solventum Corp.                                                                      | CUSIP: 83444MAN1<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     656000 | PA      | $665698.47    | 0.10%             | 2027-02-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                    | Fideicomiso Dorrego y Libertador                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AR        |   33994486 | PA      | $22249.23     | 0.00%             | 2043-12-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M1                 | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238191 | PA      | $239179.09    | 0.04%             | 2043-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Pavillion Consumer 2025-1 PLC                                       | Pavillion Consumer 2025-1 PLC, Series 2025-1A, Class C                               | CUSIP: BCC3PRM78<br>LEI: 213800XK4G6W1NHSJJ12 | Long             | ABS-O            | CORP              | GB        |    2800000 | PA      | $3774118.00   | 0.58%             | 2036-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                       | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                              | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2099628 | PA      | $28371.85     | 0.00%             | 2050-11-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31339WXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      42645 | PA      | $1539.37      | 0.00%             | 2032-04-15      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      29873 | PA      | $1945.26      | 0.00%             | 2035-01-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                         | PHINIA Inc.                                                                          | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     105000 | PA      | $108804.36    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1376162.64   | 0.21%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Medline Borrower, L.P.                                              | Medline Borrower, L.P.                                                               | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     249000 | PA      | $243274.01    | 0.04%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                            | Celanese US Holdings LLC                                                             | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     225000 | PA      | $237890.49    | 0.04%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                 | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                        | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4550437 | PA      | $62522.55     | 0.01%             | 2050-10-12      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Roller Bearing Co. of America, Inc.                                 | Roller Bearing Co. of America, Inc.                                                  | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |     365000 | PA      | $359579.86    | 0.06%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CEMEX S.A.B. de C.V.                                                | CEMEX S.A.B. de C.V.                                                                 | CUSIP: 151290CA9<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |     965000 | PA      | $965484.82    | 0.15%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      80209 | PA      | $11124.84     | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                               | Cheniere Energy, Inc.                                                                | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     773000 | PA      | $802254.81    | 0.12%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                 | COMM Mortgage Trust, Series 2019-GC44, Class AM                                      | CUSIP: 12655TBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $936582.80    | 0.14%             | 2057-08-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                  | Iron Mountain Inc.                                                                   | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     262000 | PA      | $249939.46    | 0.04%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                       | Auburn 15 PLC, Series F                                                              | CUSIP: BCC3FPT01<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     749000 | PA      | $993876.05    | 0.15%             | 2045-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Cipher Compute LLC                                                  | Cipher Compute LLC                                                                   | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     235000 | PA      | $239637.23    | 0.04%             | 2030-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                           | Ivory Coast Government International Bond                                            | CUSIP: AR6697171<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1000000 | PA      | $1183900.15   | 0.18%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                            | Comstock Resources, Inc.                                                             | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     244000 | PA      | $244709.06    | 0.04%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Ltd.                                          | Melco Resorts Finance Ltd.                                                           | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $200692.31    | 0.03%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AP Grange Holdings, LLC                                             | AP Grange Holdings, LLC                                                              | CUSIP: 00187RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     195000 | PA      | $204928.23    | 0.03%             | 2045-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Versant Media Group, Inc.                                           | Versant Media Group, Inc.                                                            | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |     238000 | PA      | $245676.53    | 0.04%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-478427.65   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-4731381.02  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392HMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      30783 | PA      | $31116.73     | 0.00%             | 2032-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  109540000 | NC      | $972643.01    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Sitios Latinoamerica, S.A.B. de C.V.                                | Sitios Latinoamerica, S.A.B. de C.V.                                                 | CUSIP: 03217KAB4<br>LEI: 984500D2C0CDC0BFDD35 | Long             | DBT              | CORP              | MX        |    2024000 | PA      | $2034627.84   | 0.31%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1370000 | NC      | $169819.17    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                           | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     250000 | PA      | $264911.80    | 0.04%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Aethon United BR L.P./ Aethon United Finance Corp.                  | Aethon United BR L.P./ Aethon United Finance Corp.                                   | CUSIP: 00810GAD6<br>LEI: 5493007HPG2M9K9X5V41 | Long             | DBT              | CORP              | US        |     220000 | PA      | $230600.92    | 0.04%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1714849.54   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14000000 | NC      | $-141008.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                           | Ford Motor Credit Co. LLC                                                            | CUSIP: 345397C84<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $3810858.97   | 0.59%             | 2026-06-05      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                    | Brazil Notas do Tesouro Nacional, Series B                                           | CUSIP: EK6971114<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   10490000 | PA      | $7681364.80   | 1.19%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO     | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    2232871 | PA      | $4819.43      | 0.00%             | 2026-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -9950000 | NC      | $-722636.15   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-76316.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   10240000 | NC      | $121543.88    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     120844 | PA      | $13119.46     | 0.00%             | 2042-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                    | Clarivate Science Holdings Corp.                                                     | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     383000 | PA      | $362477.29    | 0.06%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Nissan Motor Acceptance Corp.                                       | Nissan Motor Acceptance Corp.                                                        | CUSIP: 65480CAF2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     360000 | PA      | $373645.55    | 0.06%             | 2028-09-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9826.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                      | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                            | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1571139 | PA      | $20846.81     | 0.00%             | 2050-12-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                  | State Street Corp., Series I                                                         | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1325984.14   | 0.21%             | N/A             | Variable      | 6.70%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3470000 | NC      | $83273.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMC Networks Inc.                                                   | AMC Networks Inc.                                                                    | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      45000 | PA      | $49754.50     | 0.01%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                   | Lamar Media Corp.                                                                    | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     735000 | PA      | $735543.24    | 0.11%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $1885684.79   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                       | Discovery Communications, LLC                                                        | CUSIP: 25470DCA5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     253000 | PA      | $244696.54    | 0.04%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -55490000 | NC      | $-384086.24   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                 | MASTR Asset Backed Securities Trust, Series 2006-WMC3, Class A3                      | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629815 | PA      | $213706.45    | 0.03%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38385ES39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   40209940 | PA      | $624717.71    | 0.10%             | 2055-04-20      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                 | Frontier Issuer LLC, Series 2023-1, Class A2                                         | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     325500 | PA      | $328583.17    | 0.05%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Brundage-Bone Concrete Pumping Holdings, Inc.                       | Brundage-Bone Concrete Pumping Holdings, Inc.                                        | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     239000 | PA      | $244097.63    | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13800000 | NC      | $-126932.40   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   27900000 | NC      | $6551788.18   | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EnPro Inc.                                                          | EnPro Inc.                                                                           | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     468000 | PA      | $484097.33    | 0.07%             | 2033-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                  | State Street Corp.                                                                   | CUSIP: 857477CS0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    2867000 | PA      | $2972459.73   | 0.46%             | N/A             | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati             | Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                              | CUSIP: 63890CAA2<br>LEI: 213800YLNAGERZ4C3M60 | Long             | DBT              | CORP              | UZ        |     620000 | PA      | $642567.40    | 0.10%             | 2028-10-17      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                    | Gray Media, Inc.                                                                     | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      65000 | PA      | $67504.02     | 0.01%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1820000 | NC      | $201989.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Genesis Energy L.P. / Genesis Energy Finance Corp.                  | Genesis Energy L.P. / Genesis Energy Finance Corp.                                   | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      59000 | PA      | $62354.21     | 0.01%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -7415000 | NC      | $-403263.21   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      30122 | PA      | $3639.34      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Corp.                                                       | Navient Corp.                                                                        | CUSIP: 63938CAK4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     182000 | PA      | $182514.88    | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer      | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                       | CUSIP: 01883LAF0<br>LEI: 5493006Q26653NF8SI73 | Long             | DBT              | CORP              | US        |     362000 | PA      | $375815.88    | 0.06%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1730000 | NC      | $77685.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7687 | PA      | $8078.09      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Constellation Software Inc.                                         | Constellation Software Inc.                                                          | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |     526000 | PA      | $536697.15    | 0.08%             | 2029-02-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | McDermott International Inc., Wrts. 2027-06-30                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |      35496 | NS      | $1064.88      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392GDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      17222 | PA      | $17213.28     | 0.00%             | 2032-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $373.71       | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | McDermott International Inc., Wrts. 2027-06-30                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |      31946 | NS      | $958.38       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Prairie ECI Acquiror L.P.                                           | Prairie ECI Acquiror L.P., Term Loan                                                 | CUSIP: 73955HAF1<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |     314432 | PA      | $317150.20    | 0.05%             | 2029-08-01      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31396XUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      99334 | PA      | $8003.20      | 0.00%             | 2037-06-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $127.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                            | Angel Oak Mortgage Trust, Series 2024-12, Class A3                                   | CUSIP: 034932AC7<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     484236 | PA      | $488101.56    | 0.08%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1638 | PA      | $172.09       | 0.00%             | 2032-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -12290000 | NC      | $-61373.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $28545.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-183903.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HK5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   22221789 | PA      | $758660.75    | 0.12%             | 2055-03-25      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2025-2, Class A10                              | CUSIP: 17292BAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717941 | PA      | $728146.27    | 0.11%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -20190000 | NC      | $-387796.69   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -17340000 | NC      | $-28940.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chile Electricity Lux MPC II S.a.r.l.                               | Chile Electricity Lux MPC II S.a.r.l.                                                | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     659816 | PA      | $677179.04    | 0.10%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $63567.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Minerva Luxembourg S.A.                                             | Minerva Luxembourg S.A.                                                              | CUSIP: 603374AH2<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |     700000 | PA      | $765738.40    | 0.12%             | 2033-09-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   14000000 | NC      | $76798.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                          | Mars, Inc.                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     511000 | PA      | $522326.74    | 0.08%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $769642.89    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $28322.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                     | TransDigm, Inc., Term Loan L                                                         | CUSIP: 89364MCD4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     534240 | PA      | $536983.29    | 0.08%             | 2032-01-19      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M2                 | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     490000 | PA      | $504098.48    | 0.08%             | 2043-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                | Mexico Government International Bond                                                 | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $197500.00    | 0.03%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                 | Lithia Motors, Inc.                                                                  | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     263000 | PA      | $252946.19    | 0.04%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FMC Corp.                                                           | FMC Corp.                                                                            | CUSIP: 302491AU9<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44378.49     | 0.01%             | 2029-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $77338.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-INV6                                            | PMT Loan Trust 2025-INV6, Series 2025-INV6, Class A8                                 | CUSIP: 69382MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218531 | PA      | $222450.35    | 0.03%             | 2056-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Windstream Services, LLC                                            | Windstream Services, LLC                                                             | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |     210000 | PA      | $215451.16    | 0.03%             | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HJXV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   11050505 | PA      | $602024.90    | 0.09%             | 2055-02-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -92480000 | NC      | $-526245.42   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1714849.54  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   69360000 | NC      | $170806.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Walker & Dunlop, Inc.                                               | Walker & Dunlop, Inc.                                                                | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     232000 | PA      | $239134.93    | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                             | Level 3 Financing, Inc.                                                              | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     273500 | PA      | $282080.23    | 0.04%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -369920000 | NC      | $-535492.49   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                         | Sunoco L.P.                                                                          | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     201000 | PA      | $201076.68    | 0.03%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-83833.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R04, Class 1M1                 | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     672070 | PA      | $684993.68    | 0.11%             | 2043-05-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-366.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      18225 | PA      | $21637.59     | 0.00%             | 2035-08-15      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                          | Charles Schwab Corp. (The)                                                           | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    1543000 | PA      | $1632596.22   | 0.25%             | 2029-11-17      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7136.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2022-HQA2, Class M1                                              | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1568005.95   | 0.24%             | 2042-07-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                 | Viking Cruises Ltd.                                                                  | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     355000 | PA      | $360663.32    | 0.06%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-18240.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $1763751.49   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                  | Dell International LLC / EMC Corp.                                                   | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    2485000 | PA      | $2657358.11   | 0.41%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10659.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                               | Claire's Holdings LLC, Pfd.                                                          | CUSIP: 179584917<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         71 | NS      | $35.86        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3240000 | NC      | $543153.37    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2022-HQA3, Class M1                                              | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1560994.20   | 0.24%             | 2042-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                     | BRAVO Residential Funding Trust, Series 2023-NQM7, Class A2                          | CUSIP: 10569HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1361367 | PA      | $1376748.11   | 0.21%             | 2063-09-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      32127 | PA      | $3480.09      | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      26251 | PA      | $3259.85      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                         | L3Harris Technologies, Inc.                                                          | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1212652.21   | 0.19%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                      | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |     161707 | PA      | $145806.24    | 0.02%             | 2027-01-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -54000000 | NC      | $-45471.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        495 | PA      | $496.05       | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos. Inc.                                             | Bausch Health Cos. Inc.                                                              | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      73000 | PA      | $75672.89     | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2502425 | PA      | $2550776.92   | 0.39%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133THBY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      29357 | PA      | $29340.65     | 0.00%             | 2028-12-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       7219 | PA      | $866.73       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9344.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                               | Clydesdale Acquisition Holdings, Inc.                                                | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     117000 | PA      | $120386.50    | 0.02%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                  | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        320 | PA      | $14.50        | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $24369.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -69360000 | NC      | $-40106.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      16380 | PA      | $15776.56     | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      22760 | PA      | $1439.29      | 0.00%             | 2035-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      30133 | PA      | $4027.22      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-168596.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3132DN2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5817428 | PA      | $5734440.80   | 0.89%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prosil Acquisition S.A.                                             | Prosil Acquisition S.A., Series 2019-1, Class A                                      | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-MBS          | CORP              | LU        |     899682 | PA      | $871556.47    | 0.13%             | 2039-10-31      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2023-HQA1, Class M1                                              | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |    2885325 | PA      | $3024472.11   | 0.47%             | 2043-05-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                                       | Freedom Mortgage Holdings LLC                                                        | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     121000 | PA      | $127466.22    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1001.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC    | California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC                     | CUSIP: 13005HAA8<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |     280000 | PA      | $281067.92    | 0.04%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Prosus N.V.                                                         | Prosus N.V.                                                                          | CUSIP: ZP4820434<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     700000 | PA      | $672312.68    | 0.10%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19453.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                      | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |     111176 | PA      | $105339.95    | 0.02%             | 2026-07-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Benchmark Mortgage Trust                                            | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                   | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3580672 | PA      | $35370.23     | 0.01%             | 2051-01-15      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                   | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     525000 | PA      | $530030.71    | 0.08%             | 2028-09-16      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133TJC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        892 | PA      | $891.81       | 0.00%             | 2029-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KPXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5884935 | PA      | $5903582.24   | 0.91%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   69900000 | NC      | $32573.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                  | Iron Mountain Inc.                                                                   | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     211000 | PA      | $216876.56    | 0.03%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31339MYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       1398 | PA      | $11.40        | 0.00%             | 2026-12-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38381PV26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   82864689 | PA      | $1019799.15   | 0.16%             | 2055-08-20      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Aeropuertos Dominicanos Siglo XXI, S.A.                             | Aeropuertos Dominicanos Siglo XXI, S.A.                                              | CUSIP: 007866AE6<br>LEI: 254900KJA5MXNPYB4W32 | Long             | DBT              | CORP              | DO        |     925000 | PA      | $975824.13    | 0.15%             | 2034-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14000000 | NC      | $-41258.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                               | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      51000 | PA      | $52855.72     | 0.01%             | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 3136BUWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   20028005 | PA      | $732938.86    | 0.11%             | 2054-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-66880.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $57252.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Excelerate Energy L.P.                                              | Excelerate Energy L.P.                                                               | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |     226000 | PA      | $239618.31    | 0.04%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Associates L.P./ PFG Finance Corp.                | Provident Funding Associates L.P./ PFG Finance Corp.                                 | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     331000 | PA      | $349375.13    | 0.05%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                        | Eurosail PLC, Series 2006-4X, Class E1C                                              | CUSIP: BCC0UB5E7<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |    1608336 | PA      | $1924700.05   | 0.30%             | 2044-12-10      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $100390.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 1A1                            | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23743 | PA      | $23073.74     | 0.00%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                        | Mattel, Inc.                                                                         | CUSIP: 577081AU6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     693000 | PA      | $701373.26    | 0.11%             | 2040-10-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -18635000 | NC      | $-303784.04   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust                 | Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1       | CUSIP: 251511AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17076 | PA      | $15781.61     | 0.00%             | 2036-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                            | Celanese US Holdings LLC                                                             | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      63000 | PA      | $64047.40     | 0.01%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $8062.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                         | PHINIA Inc.                                                                          | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     129000 | PA      | $134058.08    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1            | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1, Series 2025-NQM1, Class A3 | CUSIP: 617932AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1042346 | PA      | $1055980.00   | 0.16%             | 2069-11-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                            | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     128000 | PA      | $101178.97    | 0.02%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Adjustable Rate Mortgage Trust                         | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1                 | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6063 | PA      | $5882.86      | 0.00%             | 2036-02-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies, Inc.                                            | Lumen Technologies, Inc.                                                             | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      46000 | PA      | $46287.50     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2760000 | NC      | $32214.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. L.P./ PTL Finance Corp.                    | Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                     | CUSIP: 709599BW3<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |    2867000 | PA      | $2990400.44   | 0.46%             | 2028-08-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -92480000 | NC      | $-1090661.96  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2801.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                              | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                  | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4080 | PA      | $3289.91      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-167051.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1500000 | NC      | $4515.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                | Beignet Investor LLC                                                                 | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     112000 | PA      | $118429.77    | 0.02%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| GGAM Finance Ltd.                                                   | GGAM Finance Ltd.                                                                    | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     471000 | PA      | $489692.11    | 0.08%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       6805 | PA      | $6877.69      | 0.00%             | 2032-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Getty Images, Inc.                                                  | Getty Images, Inc.                                                                   | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63568.45     | 0.01%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    6060000 | NC      | $121083.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   14000000 | NC      | $146314.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hiscox Ltd.                                                         | Hiscox Ltd.                                                                          | CUSIP: YN0550619<br>LEI: 5493007JXOLJ0QCY2D70 | Long             | DBT              | CORP              | BM        |     700000 | PA      | $753937.84    | 0.12%             | 2036-06-11      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    6940000 | NC      | $196117.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.      | Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.                       | CUSIP: 87470LAL5<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |     245000 | PA      | $254139.24    | 0.04%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                           | BPCE S.A.                                                                            | CUSIP: ZM4787812<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3300000 | PA      | $4076618.41   | 0.63%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36199 | PA      | $37366.38     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1655499.81   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -39200000 | NC      | $-480365.95   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco del Estado de Chile                                           | Banco del Estado de Chile                                                            | CUSIP: 05957AAC3<br>LEI: 5493004R4EJC0W0XVQ72 | Long             | DBT              | CORP              | CL        |     426000 | PA      | $452806.05    | 0.07%             | N/A             | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -56020000 | NC      | $-54742.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                             | Level 3 Financing, Inc.                                                              | CUSIP: 527298CQ4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107660.45    | 0.02%             | 2036-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-109240.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1400000 | NC      | $302.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-18197.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -17340000 | NC      | $-144979.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1390000 | NC      | $300.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HMMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   20896129 | PA      | $977397.64    | 0.15%             | 2055-08-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Northriver Midstream Finance L.P.                                   | Northriver Midstream Finance L.P.                                                    | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |     232000 | PA      | $236586.30    | 0.04%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TKAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      23254 | PA      | $854.82       | 0.00%             | 2029-03-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                   | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     215000 | PA      | $219583.08    | 0.03%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $384197.55    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ION Platform Finance S.a. r.l.                                      | ION Platform Finance S.a. r.l.                                                       | CUSIP: YK3683686<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $225170.79    | 0.03%             | 2032-09-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $9638.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       9199 | PA      | $744.70       | 0.00%             | 2032-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                      | Element Fleet Management Corp.                                                       | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    1426000 | PA      | $1504593.08   | 0.23%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                     | CoreWeave, Inc.                                                                      | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      46000 | PA      | $42817.15     | 0.01%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                             | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                  | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        833 | PA      | $801.78       | 0.00%             | 2035-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1370000 | NC      | $101301.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                     | FirstCash, Inc.                                                                      | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     334000 | PA      | $347844.87    | 0.05%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2080000 | NC      | $31553.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| B.A.T Capital Corp.                                                 | B.A.T Capital Corp.                                                                  | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1048000 | PA      | $1122542.98   | 0.17%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Petrobras Global Finance B.V.                                       | Petrobras Global Finance B.V.                                                        | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     700000 | PA      | $722207.50    | 0.11%             | 2033-07-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                         | Freddie Mac, Series 2024-DNA2, Class M2                                              | CUSIP: 35564NDA8<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |     387500 | PA      | $389908.86    | 0.06%             | 2044-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     700000 | NC      | $40649.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1939.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                 | Lithia Motors, Inc.                                                                  | CUSIP: 536797AJ2<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     114000 | PA      | $114861.41    | 0.02%             | 2030-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-15992.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                          | Cloud Software Group, Inc.                                                           | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     130000 | PA      | $135486.05    | 0.02%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                       | Iliad Holding                                                                        | CUSIP: 449691AC8<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      17000 | PA      | $17226.08     | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                  | Greystar Real Estate Partners, LLC                                                   | CUSIP: 39807UAD8<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |     107000 | PA      | $112864.14    | 0.02%             | 2030-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                       | Iliad Holding                                                                        | CUSIP: 449691AF1<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |     550000 | PA      | $592294.45    | 0.09%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Invesco Private Prime Fund                                          | Invesco Private Prime Fund                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   15086646 | NS      | $15086645.64  | 2.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                  | Ares Capital Corp.                                                                   | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    1915000 | PA      | $1965059.59   | 0.30%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| WarnerMedia Holdings, Inc.                                          | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     167000 | PA      | $117943.75    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -6940000 | NC      | $-66394.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-NQM3, Class A1                      | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |    1903432 | PA      | $1909522.33   | 0.30%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                  | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10559 | PA      | $1176.02      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alhambra SME Funding DAC                                            | Alhambra SME Funding DAC, Series 2019-1, Class D                                     | CUSIP: BCC2KKGU6<br>LEI: 635400YAJGI5TGJENW90 | Long             | ABS-CBDO         | CORP              | IE        |      47534 | PA      | $52301.90     | 0.01%             | 2028-11-30      | Floating      | 11.15%                | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                            | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     337000 | PA      | $348356.03    | 0.05%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6061.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Media Secured Finance PLC                                    | Virgin Media Secured Finance PLC                                                     | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     630000 | PA      | $621055.01    | 0.10%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                       | Entergy Corp.                                                                        | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $2111833.41   | 0.33%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2940000 | NC      | $907422.18    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Co.                                                  | General Motors Co.                                                                   | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    2867000 | PA      | $2985912.27   | 0.46%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       4452 | PA      | $281.90       | 0.00%             | 2035-02-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                         | DaVita Inc.                                                                          | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     113000 | PA      | $117696.96    | 0.02%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                 | Petroleos Mexicanos                                                                  | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2100000 | PA      | $2252715.00   | 0.35%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       5092 | PA      | $5091.45      | 0.00%             | 2032-10-18      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                            | Angel Oak Mortgage Trust, Series 2025-6, Class A3                                    | CUSIP: 034937AC6<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-MBS          | CORP              | US        |    1094493 | PA      | $1106485.52   | 0.17%             | 2070-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                         | Sunoco L.P.                                                                          | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     164000 | PA      | $168072.54    | 0.03%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                         | DaVita Inc.                                                                          | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     118000 | PA      | $122445.41    | 0.02%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                  | Vodafone Group PLC                                                                   | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     539000 | PA      | $504645.54    | 0.08%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -20970000 | NC      | $-247236.30   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       1648 | PA      | $97.06        | 0.00%             | 2029-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       3510 | PA      | $293.80       | 0.00%             | 2031-10-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 3140XKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6048813 | PA      | $6170491.73   | 0.95%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      26588 | PA      | $2997.18      | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade | Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade                  | CUSIP: 87945BAA8<br>LEI: 254900OVY0XI1DFYC092 | Long             | DBT              | CORP              | RS        |     730000 | PA      | $731280.23    | 0.11%             | 2029-10-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.           | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      49000 | PA      | $49315.07     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mexican Udibonos                                                    | Mexican Udibonos, Series S                                                           | CUSIP: YQ3788144<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  155976966 | PA      | $8596699.39   | 1.33%             | 2029-08-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                       | Auburn 15 PLC, Series E                                                              | CUSIP: BCC3FPSY8<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     629000 | PA      | $834043.29    | 0.13%             | 2045-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                | FREMF Mortgage Trust, Series 2016-K54, Class C                                       | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810000 | PA      | $1803864.46   | 0.28%             | 2048-04-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1528 | PA      | $155.46       | 0.00%             | 2031-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -98025000 | NC      | $-2727129.02  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                   | Lamar Media Corp.                                                                    | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $223806.89    | 0.03%             | 2033-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury Long Bond Future                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        162 | NC      | $-115453.67   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3821.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                           | Seagate Data Storage Technology Pte. Ltd.                                            | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     531200 | PA      | $603353.57    | 0.09%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      16740 | PA      | $2240.55      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                  | Vail Resorts, Inc.                                                                   | CUSIP: 91879QAQ2<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |     236000 | PA      | $240662.18    | 0.04%             | 2030-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                  | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-17, Class 1A8        | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82266 | PA      | $81899.00     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $18742.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                              | Sequoia Mortgage Trust, Series 2025-8, Class A4                                      | CUSIP: 81749WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1503261 | PA      | $1512789.50   | 0.23%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                     | TransDigm, Inc.                                                                      | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     280000 | PA      | $289105.31    | 0.04%             | 2029-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Tidewater Inc.                                                      | Tidewater Inc.                                                                       | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |     223000 | PA      | $239446.04    | 0.04%             | 2030-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-31003.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31394KL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      28971 | PA      | $1995.85      | 0.00%             | 2033-10-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                          | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      69000 | PA      | $45633.15     | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-723861.31   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                | Muthoot Finance Ltd.                                                                 | CUSIP: 62828L2D4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |    2800000 | PA      | $2844516.14   | 0.44%             | 2029-04-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       6434 | PA      | $6501.37      | 0.00%             | 2032-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $33105.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305000 | PA      | $259623.42    | 0.04%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                      | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |      89374 | PA      | $89189.14     | 0.01%             | 2026-01-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Reinsurance Group of America, Inc.                                  | Reinsurance Group of America, Inc.                                                   | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |     305000 | PA      | $316332.89    | 0.05%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2100000 | NC      | $74114.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2100000 | NC      | $171418.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                             | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    1240000 | PA      | $1235573.20   | 0.19%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Telefonica Europe, B.V.                                             | Telefonica Europe, B.V.                                                              | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1822014.89   | 0.28%             | N/A             | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                               | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     185000 | PA      | $189856.34    | 0.03%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Global Aircraft Leasing Co., Ltd.                                   | Global Aircraft Leasing Co., Ltd.                                                    | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     331000 | PA      | $343676.97    | 0.05%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2096 | PA      | $2117.80      | 0.00%             | 2032-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| AP Grange Holdings, LLC                                             | AP Grange Holdings, LLC                                                              | CUSIP: 00187RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      14956 | PA      | $14956.13     | 0.00%             | 2045-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG, LLC                                 | Venture Global Plaquemines LNG, LLC                                                  | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92227.50     | 0.01%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2100000 | NC      | $18831.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 3136BUPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   14123745 | PA      | $664147.94    | 0.10%             | 2055-01-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-547.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-61957.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                           | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     315000 | PA      | $315284.91    | 0.05%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| New Enterprise Stone & Lime Co, Inc.                                | New Enterprise Stone & Lime Co, Inc.                                                 | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |     235000 | PA      | $235583.43    | 0.04%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-172414.43   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                           | OBX Trust, Series 2022-NQM7, Class A2                                                | CUSIP: 67117DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515366 | PA      | $515441.37    | 0.08%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class M1                       | CUSIP: 36272NAB0<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $291513.57    | 0.05%             | 2055-10-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  369920000 | NC      | $1086902.64   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.           | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      31000 | PA      | $31700.66     | 0.00%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                   | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     171000 | PA      | $177639.42    | 0.03%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $99522.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -14000000 | NC      | $-10388.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    4160000 | NC      | $377452.05    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                               | Dominican Republic International Bond                                                | CUSIP: ZP6620006<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     305000 | PA      | $298595.00    | 0.05%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                 | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                                     | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |     302399 | PA      | $306511.19    | 0.05%             | 2055-05-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                 | Petroleos Mexicanos                                                                  | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     120000 | PA      | $113947.56    | 0.02%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Windstream Services, LLC, Wrts.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |        176 | NS      | $3784.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Forvia SE                                                           | Forvia SE                                                                            | CUSIP: 31209DAA3<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     212000 | PA      | $227431.06    | 0.04%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| India Government Bond                                               | India Government Bond                                                                | CUSIP: YW7593752<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |  275000000 | PA      | $2986242.12   | 0.46%             | 2054-08-05      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                        | Eurosail PLC, Series 2006-2X, Class D1A                                              | CUSIP: BCC0T5HN9<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |    2700000 | PA      | $2980052.51   | 0.46%             | 2044-12-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                         | Sunoco L.P.                                                                          | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      37000 | PA      | $37290.34     | 0.01%             | 2031-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-73595.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  138720000 | NC      | $5091477.61   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26801.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley & Co. LLC                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   58910000 | NC      | $157661.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                        | Vistra Corp.                                                                         | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     119000 | PA      | $122452.45    | 0.02%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Wynn Macau, Ltd.                                                    | Wynn Macau, Ltd.                                                                     | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     490000 | PA      | $496746.96    | 0.08%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co. Inc.                                  | Hilton Domestic Operating Co. Inc.                                                   | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     473000 | PA      | $488427.37    | 0.08%             | 2033-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer, LLC                                    | Vantage Data Centers Issuer, LLC, Series 2025-2A, Class A2                           | CUSIP: 92212KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     980000 | PA      | $972455.76    | 0.15%             | 2055-11-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   17340000 | NC      | $7082.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M2                 | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280000 | PA      | $285028.60    | 0.04%             | 2043-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       2123 | PA      | $2216.34      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-244.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Co.                                                         | Carvana Co.                                                                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     230850 | PA      | $260654.78    | 0.04%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| International Finance Corp.                                         | International Finance Corp.                                                          | CUSIP: AM4724424<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $36775.50     | 0.01%             | 2029-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31368HLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47494 | PA      | $48119.38     | 0.01%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                             | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAB7<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     250000 | PA      | $250153.00    | 0.04%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| M&G PLC                                                             | M&G PLC                                                                              | CUSIP: AU5739902<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |     375000 | PA      | $390390.94    | 0.06%             | 2048-10-20      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42370.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUB International Ltd.                                              | HUB International Ltd.                                                               | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     344000 | PA      | $361365.15    | 0.06%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-214248.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                              | Colombia Government International Bond                                               | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     720000 | PA      | $719280.00    | 0.11%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -136510000 | NC      | $-1939281.14  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| MPT Operating Partnership L.P./ MPT Finance Corp.                   | MPT Operating Partnership L.P./ MPT Finance Corp.                                    | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      44000 | PA      | $47021.85     | 0.01%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    5870000 | NC      | $64598.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TransCanada Trust                                                   | TransCanada Trust, Series 16-A                                                       | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    1391000 | PA      | $1397967.52   | 0.22%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                          | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class B                 | CUSIP: 46643GAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680000 | PA      | $649375.79    | 0.10%             | 2047-11-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Global Partners L.P./ GLP Finance Corp.                             | Global Partners L.P./ GLP Finance Corp.                                              | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $245315.52    | 0.04%             | 2033-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $497962.18    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Sempra                                                              | Sempra                                                                               | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    4158000 | PA      | $4089733.96   | 0.63%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Beazley Insurance DAC                                               | Beazley Insurance DAC                                                                | CUSIP: ZR4409044<br>LEI: 549300WWULDAFCPEU084 | Long             | DBT              | CORP              | IE        |    1120000 | PA      | $1138109.52   | 0.18%             | 2029-09-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -92480000 | NC      | $-446304.78   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                  | Southern Co. (The), Series 21-A                                                      | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2020000 | PA      | $1998942.91   | 0.31%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                      | Element Fleet Management Corp.                                                       | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    2738000 | PA      | $2785819.17   | 0.43%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 5 Year Notes Future                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -52 | NC      | $-79.04       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-1768789.46  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                           | Hera Financing 2024-1 DAC, Series 2024-1A, Class B                                   | CUSIP: BCC3H4L95<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |    1395400 | PA      | $1884500.58   | 0.29%             | 2034-11-17      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3039.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                           | OBX Trust, Series 2025-HE2, Class A1                                                 | CUSIP: 67121YAA6<br>LEI: 2549004JS8G77DOXE933 | Long             | ABS-MBS          | CORP              | US        |    1654832 | PA      | $1658162.13   | 0.26%             | 2055-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                | Energy Transfer L.P.                                                                 | CUSIP: 29273VBC3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4148000 | PA      | $4259091.78   | 0.66%             | 2054-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Mcdermott International, Ltd.                                       | Mcdermott International, Ltd.                                                        | CUSIP: N/A<br>LEI: 54930004RAXI4B3L4752       | Long             | EC               | CORP              | BM        |        312 | NS      | $6509.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Grand Vacations Trust                                        | Hilton Grand Vacations Trust, Series 2025-2A, Class A                                | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     472779 | PA      | $475422.03    | 0.07%             | 2044-05-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                              | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDV9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20604.38     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nemak, S.A.B. de C.V.                                               | Nemak, S.A.B. de C.V.                                                                | CUSIP: 64045DAC8<br>LEI: 5493000MY3DAIB0BP706 | Long             | DBT              | CORP              | MX        |    1195000 | PA      | $1037083.33   | 0.16%             | 2031-06-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2080000 | NC      | $94257.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                            | Angel Oak Mortgage Trust, Series 2024-8, Class A3                                    | CUSIP: 03465QAC8<br>LEI: 254900BM1HTLL3SKQ481 | Long             | ABS-MBS          | CORP              | US        |     952650 | PA      | $958061.88    | 0.15%             | 2069-05-27      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati             | Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                              | CUSIP: 63890CAC8<br>LEI: 213800YLNAGERZ4C3M60 | Long             | DBT              | CORP              | UZ        |     938000 | PA      | $982208.44    | 0.15%             | 2030-05-14      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                         | BNP Paribas                                                                          | CUSIP: BP5476422<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2700000 | PA      | $3603677.94   | 0.56%             | 2031-05-24      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       3185 | PA      | $215.54       | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10111 | PA      | $9756.40      | 0.00%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -54620000 | NC      | $-760342.52   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      41707 | PA      | $3313.43      | 0.00%             | 2038-05-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                      | Opal Bidco SAS                                                                       | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     280000 | PA      | $286977.25    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2022-HQA3, Class M2                                              | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    1605000 | PA      | $1711851.91   | 0.26%             | 2042-08-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Sabine Oil & Gas Holdings, Inc.                                     | Sabine Oil & Gas Holdings, Inc.                                                      | CUSIP: 78532M104<br>LEI: 2MNR4Q42DBL85U7RD221 | Long             | EC               | CORP              | US        |        837 | NS      | $58.59        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Univision Communications Inc.                                       | Univision Communications Inc.                                                        | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     127000 | PA      | $131627.88    | 0.02%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-212682.58   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       6584 | PA      | $6653.18      | 0.00%             | 2032-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GC Treasury Center Co., Ltd.                                        | GC Treasury Center Co., Ltd.                                                         | CUSIP: 36830AAB3<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |     569000 | PA      | $576552.64    | 0.09%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                          | Allison Transmission, Inc.                                                           | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     122000 | PA      | $123837.59    | 0.02%             | 2033-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $358372.24    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-NQM4, Class A2                      | CUSIP: 36272UAB4<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |     749780 | PA      | $752535.46    | 0.12%             | 2065-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                         | Sunoco L.P.                                                                          | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      71000 | PA      | $72990.84     | 0.01%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                      | Ecopetrol S.A.                                                                       | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1400000 | PA      | $1501495.80   | 0.23%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO     | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     248392 | PA      | $44.04        | 0.00%             | 2026-02-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                            | Republic of South Africa Government Bond, Series 2040                                | CUSIP: EK7733067<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  135000000 | PA      | $8174241.44   | 1.26%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1655499.81  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Great Lakes Dredge & Dock Corp.                                     | Great Lakes Dredge & Dock Corp.                                                      | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |     241000 | PA      | $236174.46    | 0.04%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HC5W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    9945240 | PA      | $577509.13    | 0.09%             | 2054-04-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                       | Iliad Holding                                                                        | CUSIP: 449691AG9<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      33000 | PA      | $34052.80     | 0.01%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1201.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                   | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     350000 | PA      | $357100.50    | 0.06%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   13870000 | NC      | $109878.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -92480000 | NC      | $-233332.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      13574 | PA      | $13812.65     | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury Ultra Bonds Future                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -10 | NC      | $14669.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   10100000 | NC      | $67134.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-180317.24   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -369920000 | NC      | $-530657.64   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                         | Clarios Global L.P./ Clarios US Finance Co.                                          | CUSIP: 18060TAE5<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51879.38     | 0.01%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2470.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16673 | PA      | $17155.00     | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-90663.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $56341.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class D                       | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $301593.36    | 0.05%             | 2031-09-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| South Bow Canadian infrastructure Holdings Ltd.                     | South Bow Canadian infrastructure Holdings Ltd.                                      | CUSIP: 836720AG7<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |    1481000 | PA      | $1549314.09   | 0.24%             | 2055-03-01      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-45185.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $73529.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5761.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                             | Hyundai Capital America                                                              | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2867000 | PA      | $2912571.57   | 0.45%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Jefferies Finance LLC / JFIN Co-Issuer Corp.                        | Jefferies Finance LLC / JFIN Co-Issuer Corp.                                         | CUSIP: 47232MAF9<br>LEI: 549300SKVB18YSSIDT75 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192707.90    | 0.03%             | 2028-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-76724.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31392FJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      30783 | PA      | $31116.06     | 0.00%             | 2032-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                           | OBX Trust, Series 2022-NQM7, Class A3                                                | CUSIP: 67117DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267990 | PA      | $267789.36    | 0.04%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Santander Consumo 8 Fondo de Titulizacion                           | Santander Consumo 8 Fondo de Titulizacion, Series 8E                                 | CUSIP: BCC3M1R32<br>LEI: 529900MNYVA8N0FZJK96 | Long             | ABS-O            | CORP              | ES        |    1500000 | PA      | $1780151.22   | 0.28%             | 2040-01-21      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                    | NRG Energy, Inc.                                                                     | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     367000 | PA      | $372052.99    | 0.06%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                               | Invesco Government & Agency Portfolio, Institutional Class                           | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |    5747357 | NS      | $5747356.63   | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer L.P.                                                | Energy Transfer L.P.                                                                 | CUSIP: 29273VAX8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     802000 | PA      | $856744.52    | 0.13%             | 2054-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                              | Credit Suisse Group AG                                                               | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    3015000 | PA      | $858521.25    | 0.13%             | N/A             | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   15140000 | NC      | $4027.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8099.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust, Series 2007-A1, Class 5A1                                | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5704 | PA      | $5681.45      | 0.00%             | 2035-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44716 | PA      | $45512.67     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                               | Federal National Mortgage Association                                                | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4872 | PA      | $5018.95      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESAB Corp.                                                          | ESAB Corp.                                                                           | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     344000 | PA      | $354136.65    | 0.05%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11809.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EZCORP, Inc.                                                        | EZCORP, Inc.                                                                         | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |     449000 | PA      | $477492.64    | 0.07%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                   | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     106000 | PA      | $110572.31    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1            | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1, Series 2024-NQM1, Class A2 | CUSIP: 61775UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725959 | PA      | $734054.36    | 0.11%             | 2068-12-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     320000 | PA      | $292698.29    | 0.05%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13521 | PA      | $14048.22     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      41544 | PA      | $1993.22      | 0.00%             | 2035-05-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                     | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AF7<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     275000 | PA      | $274381.25    | 0.04%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392PU94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      22511 | PA      | $22530.57     | 0.00%             | 2031-06-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Akbank Turk A.S.                                                    | Akbank Turk A.S.                                                                     | CUSIP: YR8399135<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |     700000 | PA      | $723745.10    | 0.11%             | 2035-09-04      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, L.P.                                              | Medline Borrower, L.P.                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     236000 | PA      | $237415.06    | 0.04%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Electricite de France                                               | Electricite de France                                                                | CUSIP: YV7034577<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1801829.37   | 0.28%             | N/A             | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| New Gold Inc.                                                       | New Gold Inc.                                                                        | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     477000 | PA      | $508513.96    | 0.08%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                        | Vistra Corp., Series C                                                               | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     124000 | PA      | $137141.64    | 0.02%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -28000000 | NC      | $-5024.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $187619.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -56000000 | NC      | $-154236.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $99390.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $311520.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      32383 | PA      | $2854.86      | 0.00%             | 2041-10-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      18911 | PA      | $2011.95      | 0.00%             | 2037-12-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     145338 | PA      | $17621.69     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Obx 2024-Nqm18 Trust                                                | Obx 2024-Nqm18 Trust, Series 2024-NQM18, Class A3                                    | CUSIP: 673913AC3<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |     882533 | PA      | $888330.89    | 0.14%             | 2064-10-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                    | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4691 | PA      | $4934.40      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                  | Newell Brands Inc.                                                                   | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     250000 | PA      | $244467.90    | 0.04%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs, IO                                                               | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10530 | PA      | $945.68       | 0.00%             | 2038-04-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31339GRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10335 | PA      | $10825.71     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2628.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                          | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      10711 | PA      | $1502.14      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7675000 | NC      | $-421833.35   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HMLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   16352125 | PA      | $626113.06    | 0.10%             | 2055-08-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                 | Ludgate Funding PLC, Series 2006-1X, Class A2A                                       | CUSIP: BCC0U5WJ9<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    2044587 | PA      | $2716869.09   | 0.42%             | 2060-12-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2780000 | NC      | $672173.42    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                           | Hera Financing 2024-1 DAC, Series 2024-1A, Class C                                   | CUSIP: BCC3H4LB0<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     797509 | PA      | $1074974.14   | 0.17%             | 2034-11-17      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK NC PLC                                                  | Eurosail-UK NC PLC, Series 2007-1X, Class D1C                                        | CUSIP: BCC0VXRF1<br>LEI: 213800HEU63KH3XHB844 | Long             | ABS-MBS          | CORP              | GB        |     750000 | PA      | $887504.09    | 0.14%             | 2045-03-13      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                  | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     135000 | PA      | $120360.65    | 0.02%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -12200000 | NC      | $-28132.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -18200000 | NC      | $-176643.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-199887.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                 | Rate Mortgage Trust, Series 2025-J2, Class A5                                        | CUSIP: 75409YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1909129 | PA      | $1916926.05   | 0.30%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Invesco Private Government Fund                                     | Invesco Private Government Fund                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    5808797 | NS      | $5808797.12   | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3470000 | NC      | $351457.60    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase & Co.                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -9804000 | NC      | $-50206.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France                                               | Electricite de France                                                                | CUSIP: YK5224596<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $1164637.29   | 0.18%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   37070000 | NC      | $769705.17    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     120430 | PA      | $9032.41      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Compania de Minas Buenaventura S.A.A.                               | Compania de Minas Buenaventura S.A.A.                                                | CUSIP: 204448AB0<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     895000 | PA      | $933153.85    | 0.14%             | 2032-02-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                            | Angel Oak Mortgage Trust, Series 2024-12, Class A2                                   | CUSIP: 034932AB9<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     300695 | PA      | $303111.08    | 0.05%             | 2069-10-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc.                                             | RB Global Holdings Inc.                                                              | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     103000 | PA      | $107811.65    | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3450000 | NC      | $79629.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class B                       | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      69658 | PA      | $69702.48     | 0.01%             | 2031-03-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1800.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1261229 B.C. Ltd.                                                   | 1261229 B.C. Ltd.                                                                    | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     200000 | PA      | $208153.38    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Electricite de France                                               | Electricite de France                                                                | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1001000 | PA      | $1168055.89   | 0.18%             | N/A             | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| TrueNoord Capital DAC                                               | TrueNoord Capital DAC                                                                | CUSIP: 89785GAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     220000 | PA      | $233369.18    | 0.04%             | 2030-03-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class A1                       | CUSIP: 36272NAA2<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |     492566 | PA      | $494101.27    | 0.08%             | 2055-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                           | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     263000 | PA      | $277173.13    | 0.04%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Danaos Corp.                                                        | Danaos Corp.                                                                         | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |     268000 | PA      | $277388.58    | 0.04%             | 2032-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -47450000 | NC      | $-56212.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                  | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       3378 | PA      | $283.54       | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                              | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 2A1A                    | CUSIP: 126686AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6197 | PA      | $5605.30      | 0.00%             | 2036-11-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2025-NQM4, Class A3                      | CUSIP: 36272UAC2<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |     749780 | PA      | $752524.81    | 0.12%             | 2065-10-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No.1 PLC                                       | Great Hall Mortgages No.1 PLC, Series 2007-2X, Class EB                              | CUSIP: BCC0YMFK4<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    1780000 | PA      | $2092255.53   | 0.32%             | 2039-06-18      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| TMF Trust Co. (Argentina) S.A.                                      | TMF Trust Co. (Argentina) S.A.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AR        |      73569 | PA      | $64796.00     | 0.01%             | 2027-04-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $68357.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1980.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21139.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                               | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2237469 | PA      | $30425.11     | 0.00%             | 2050-12-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1406 | PA      | $78.99        | 0.00%             | 2032-12-18      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Transocean International Ltd.                                       | Transocean International Ltd.                                                        | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     244000 | PA      | $255989.19    | 0.04%             | 2032-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 7 PLC                    | Towd Point Mortgage Funding 2024 - Granite 7 PLC, Series 2024-GR7X, Class E          | CUSIP: BCC3JPGS0<br>LEI: 635400RLWW2GUXIMK345 | Long             | ABS-MBS          | CORP              | GB        |     690000 | PA      | $931619.56    | 0.14%             | 2051-04-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| SGUS LLC                                                            | SGUS LLC                                                                             | CUSIP: 81880AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      59550 | PA      | $22331.25     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $17083.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                              | Hilcorp Energy I, L.P.                                                               | CUSIP: 431318BC7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |     221000 | PA      | $226615.61    | 0.04%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      70357 | PA      | $6260.30      | 0.00%             | 2035-05-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                      | Ecopetrol S.A.                                                                       | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     750000 | PA      | $772807.50    | 0.12%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mortgage Funding 2008-1 PLC                                         | Mortgage Funding 2008-1 PLC, Series 2008-1, Class B2                                 | CUSIP: BCC1318Z7<br>LEI: 213800AHT9AB4TA6OJ88 | Long             | ABS-MBS          | CORP              | GB        |    6497463 | PA      | $8101258.00   | 1.25%             | 2046-03-13      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes/Bonds                                           | U.S. Treasury Notes/Bonds                                                            | CUSIP: 912810FE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29460000 | PA      | $30919190.63  | 4.78%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association                                             | CUSIP: 38381NB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   27478806 | PA      | $370914.42    | 0.06%             | 2055-07-20      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -8990000 | NC      | $-52644.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                            | PNC Financial Services Group, Inc. (The)                                             | CUSIP: 693475BT1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2128000 | PA      | $2171014.67   | 0.34%             | 2027-10-20      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                   | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                    | CUSIP: 00253XAB7<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     449000 | PA      | $457505.86    | 0.07%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                     | CoreWeave, Inc.                                                                      | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      78000 | PA      | $71586.06     | 0.01%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Bausch and Lomb, Inc.                                               | Bausch and Lomb, Inc., Term Loan                                                     | CUSIP: C0787FAJ1<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |     273625 | PA      | $276840.09    | 0.04%             | 2031-01-30      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                               | OneMain Finance Corp.                                                                | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     108000 | PA      | $101636.12    | 0.02%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                        | Chase Mortgage Finance Trust, Series 2005-A2, Class 1A3                              | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2860 | PA      | $2652.79      | 0.00%             | 2036-01-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                        | Eurosail PLC, Series 2007-2X, Class D1A                                              | CUSIP: BCC0WM139<br>LEI: 213800NEJVUXH4MS6Y78 | Long             | ABS-MBS          | CORP              | GB        |    3600000 | PA      | $3766927.29   | 0.58%             | 2045-03-13      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -6940000 | NC      | $-28794.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France                                               | Electricite de France                                                                | CUSIP: ZN7006218<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $1025536.09   | 0.16%             | N/A             | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| TELUS Corp.                                                         | TELUS Corp.                                                                          | CUSIP: 87971MCQ4<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |     806000 | PA      | $807679.78    | 0.12%             | 2056-06-09      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $1518046.22   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      22409 | PA      | $26683.17     | 0.00%             | 2036-03-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5471.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-220568.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                            | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     254000 | PA      | $249139.89    | 0.04%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                              | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     337000 | PA      | $350833.51    | 0.05%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                            | Last Mile Logistics Pan Euro Finance DAC, Series E                                   | CUSIP: BCC316NC8<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |    2420276 | PA      | $2842834.59   | 0.44%             | 2033-08-17      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -10240000 | NC      | $-50928.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BB Blue Financing DAC                                               | BB Blue Financing DAC, Series A1                                                     | CUSIP: BZ1196758<br>LEI: 635400ZEZBP91CFF7965 | Long             | DBT              | CORP              | IE        |     750000 | PA      | $732985.77    | 0.11%             | 2037-09-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Brookfield Infrastructure Finance ULC                               | Brookfield Infrastructure Finance ULC                                                | CUSIP: 11276BAA7<br>LEI: 984500CDDWC47U7DBA74 | Long             | DBT              | CORP              | CA        |     769000 | PA      | $778617.11    | 0.12%             | 2055-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1748 | PA      | $89.84        | 0.00%             | 2035-03-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3790000 | NC      | $5813.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      10438 | PA      | $10644.66     | 0.00%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                   | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     232000 | PA      | $237237.60    | 0.04%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -69360000 | NC      | $-94314.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Energuate Trust 2 0                                                 | Energuate Trust 2 0                                                                  | CUSIP: 29277RAB1<br>LEI: 2549000ZL9MU01FZK194 | Long             | DBT              | CORP              | KY        |     560000 | PA      | $560302.29    | 0.09%             | 2035-09-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -19970000 | NC      | $-289165.60   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                           | Jupiter Mortgage No.1 PLC, Series 1A, Class FR                                       | CUSIP: BCC3D7YR8<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |     852000 | PA      | $1149987.02   | 0.18%             | 2055-07-20      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HKLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   17950660 | PA      | $760337.90    | 0.12%             | 2055-03-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $867454.99    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $38537.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                               | OneMain Finance Corp.                                                                | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     109000 | PA      | $112069.99    | 0.02%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 3137HKW67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   27864190 | PA      | $1484562.23   | 0.23%             | 2055-04-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                            | Government National Mortgage Association, IO                                         | CUSIP: 38375JSQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      45517 | PA      | $2491.08      | 0.00%             | 2037-04-16      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1730000 | NC      | $127923.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                             | Level 3 Financing, Inc.                                                              | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     299000 | PA      | $306205.30    | 0.05%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyality IP Ltd. (American Airlines, Inc.)               | AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Term Loan B                   | CUSIP: 02376CBT1<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     171638 | PA      | $172711.09    | 0.03%             | 2032-05-07      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 10 Year Notes Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        542 | NC      | $-157576.75   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1B1                 | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     565000 | PA      | $595653.85    | 0.09%             | 2043-07-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                    | Fideicomiso Dorrego y Libertador                                                     | CUSIP: BCC39CJN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | AR        |    3144648 | PA      | $2987415.60   | 0.46%             | 2043-12-31      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Air Lease Corp.                                                     | Air Lease Corp., Series B                                                            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     368000 | PA      | $365584.30    | 0.06%             | N/A             | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp.                        | U.S. International Development Finance Corp., Series 4                               | CUSIP: 90376PEX5<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGSE             | US        |     480000 | PA      | $472530.00    | 0.07%             | 2028-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CHC Group LLC                                                       | CHC Group LLC                                                                        | CUSIP: 12550EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     112000 | PA      | $105377.37    | 0.02%             | 2030-09-01      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                      | PMT Loan Trust, Series 2025-INV1, Class A7                                           | CUSIP: 693967AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     374929 | PA      | $381586.75    | 0.06%             | 2060-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   37070000 | NC      | $2233470.84   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                               | Clydesdale Acquisition Holdings, Inc.                                                | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     118000 | PA      | $120053.67    | 0.02%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -19460000 | NC      | $-418623.52   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   98025000 | NC      | $6656828.74   | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       5461 | PA      | $5523.02      | 0.00%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                             | SS&C Technologies, Inc.                                                              | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |     275000 | PA      | $275429.83    | 0.04%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PennyMac Financial Services, Inc.                                   | PennyMac Financial Services, Inc.                                                    | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     116000 | PA      | $113914.85    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                         | HA Sustainable Infrastructure Capital, Inc.                                          | CUSIP: 41068XAG5<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     236000 | PA      | $247228.88    | 0.04%             | 2056-06-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   14000000 | NC      | $204806.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-159496.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M1                 | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     333180 | PA      | $339853.51    | 0.05%             | 2043-01-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-75824.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8407.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                         | Freddie Mac, Series 2024-HQA2, Class M2                                              | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |    1550000 | PA      | $1560759.17   | 0.24%             | 2044-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Cerdia Finanz GmbH                                                  | Cerdia Finanz GmbH                                                                   | CUSIP: 15679GAC6<br>LEI: 391200KURNDJSX9GX570 | Long             | DBT              | CORP              | DE        |     246000 | PA      | $255532.50    | 0.04%             | 2031-10-03      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                  | Greystar Real Estate Partners, LLC, Term Loan                                        | CUSIP: 39806LAJ6<br>LEI: 254900HGC806SXAS4M46 | Long             | LON              | CORP              | US        |     153690 | PA      | $154650.99    | 0.02%             | 2030-08-21      | Floating      | 6.32%                 | No            |                  3 | On Loan: No      |
| Vistra Operations Co. LLC                                           | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      78000 | PA      | $78456.35     | 0.01%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-124225.11   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1237 | PA      | $133.76       | 0.00%             | 2032-04-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Banco Mercantil del Norte, S.A.                                     | Banco Mercantil del Norte, S.A.                                                      | CUSIP: 05971PAC2<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     650000 | PA      | $691813.48    | 0.11%             | N/A             | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                            | YPF S.A.                                                                             | CUSIP: 984245AY6<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |    1274000 | PA      | $1320250.02   | 0.20%             | 2031-09-11      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8325.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $679695.29    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $1103381.32   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Cushman & Wakefield US Borrower LLC                                 | Cushman & Wakefield US Borrower LLC, Term Loan                                       | CUSIP: 23340DAW2<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |     256792 | PA      | $258647.83    | 0.04%             | 2030-01-31      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer Inc.                              | Asurion LLC and Asurion Co-Issuer Inc.                                               | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     241000 | PA      | $250188.47    | 0.04%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bell Canada                                                         | Bell Canada                                                                          | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |     893000 | PA      | $925039.05    | 0.14%             | 2055-09-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Brink's Co. (The)                                                   | Brink's Co. (The)                                                                    | CUSIP: 109696AD6<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     458000 | PA      | $479476.08    | 0.07%             | 2032-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    3470000 | NC      | $78779.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2024-3                    | Newday Funding Master Issuer PLC - Series 2024-3, Series 2024-3X, Class E            | CUSIP: BCC3HZWF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    1005000 | PA      | $1371019.70   | 0.21%             | 2032-11-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392KST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      15065 | PA      | $15076.01     | 0.00%             | 2032-01-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7571.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                  | Freddie Mac REMICs                                                                   | CUSIP: 31392MJE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      34426 | PA      | $35912.49     | 0.01%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST, L.P.                                             | RLJ LODGING TRUST, L.P.                                                              | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |     255000 | PA      | $242073.74    | 0.04%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    1750000 | NC      | $95018.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2024-R03, Class 2M2                 | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3180000 | PA      | $3200043.86   | 0.49%             | 2044-03-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $-775639.34   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Carriage Services, Inc.                                             | Carriage Services, Inc.                                                              | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     387000 | PA      | $374168.94    | 0.06%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2022-R08, Class 1M2                 | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1396574.46   | 0.22%             | 2042-07-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Telecomunicaciones Digitales, S.A.                                  | Telecomunicaciones Digitales, S.A.                                                   | CUSIP: ZQ3057432<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |     750000 | PA      | $714416.25    | 0.11%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                                            | CenterPoint Energy, Inc.                                                             | CUSIP: 15189TBP1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    3029000 | PA      | $3121423.88   | 0.48%             | 2055-05-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Cousins Properties L.P.                                             | Cousins Properties L.P.                                                              | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1216117.21   | 0.19%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                     | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $285703.32    | 0.04%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       2933 | PA      | $2925.49      | 0.00%             | 2033-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                  | Southern Co. (The), Series B                                                         | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    3126000 | PA      | $3136051.65   | 0.49%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1065 | PA      | $55.18        | 0.00%             | 2031-12-18      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                            | YPF S.A., Class D                                                                    | CUSIP: N/A<br>LEI: 5493003N7447U18U5U53       | Long             | EC               | CORP              | AR        |      34910 | NS      | $1317366.69   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     291000 | PA      | $261371.05    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arcos Dorados B.V.                                                  | Arcos Dorados B.V.                                                                   | CUSIP: 03965TAC7<br>LEI: 549300T91OYP6I7P8G39 | Long             | DBT              | CORP              | NL        |    1410000 | PA      | $1495840.80   | 0.23%             | 2032-01-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BBVA Bancomer S.A.                                                  | BBVA Bancomer S.A.                                                                   | CUSIP: YR2963183<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |     750000 | PA      | $789375.00    | 0.12%             | 2035-02-11      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -7000000 | NC      | $-159264.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |  -13870000 | NC      | $-158686.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    2080000 | NC      | $421255.98    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A1                                    | CUSIP: 67448PAA1<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |     191774 | PA      | $193489.41    | 0.03%             | 2064-07-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-236768.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      14519 | PA      | $2221.22      | 0.00%             | 2033-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      24453 | PA      | $27491.40     | 0.00%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Queensland Treasury Corp.                                           | Queensland Treasury Corp.                                                            | CUSIP: YL0100484<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    4700000 | PA      | $3020838.00   | 0.47%             | 2038-08-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                   | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       1633 | PA      | $146.54       | 0.00%             | 2032-01-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                            | Fannie Mae Connecticut Avenue Securities, Series 2024-R02, Class 1M2                 | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3120686.30   | 0.48%             | 2044-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | S&P 500 Index Option                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |         23 | NC      | $4485.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7110.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                | Bayer US Finance LLC                                                                 | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1770561.14   | 0.27%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                 | RCKT Mortgage Trust, Series 2025-CES5, Class A1B                                     | CUSIP: 74942CAB5<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |     788866 | PA      | $800177.69    | 0.12%             | 2055-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower L.P.                                                 | EMRLD Borrower L.P., Incremental Term Loan B                                         | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |     426775 | PA      | $428147.09    | 0.07%             | 2031-08-04      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                               | Dominican Republic International Bond                                                | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     500000 | PA      | $482350.00    | 0.07%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer