# EDGAR Filing Document

**Accession Number:** 0000837276
**File Stem:** 0001752724-23-035999
**Filing Date:** 2023-2
**Character Count:** 387948
**Document Hash:** c69c7a9761ccd18e16de667cea623293
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035999.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035999

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya INVESTORS TRUST
- **CENTRAL INDEX KEY:** 0000837276
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05629
- **FILM NUMBER:** 23657710

**BUSINESS ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 800-366-0066

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING INVESTORS TRUST
- **DATE OF NAME CHANGE:** 20030501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GCG TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SPECIALTY MANAGERS TRUST
- **DATE OF NAME CHANGE:** 19911209

## Series and Classes Contracts Data

### Voya Balanced Income Portfolio (Series ID: S000010459)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000028890 | Class ADV    | IIFAX           |
| C000028891 | Class I      | IIFIX           |
| C000028892 | Class S      | IIFSX           |
| C000028893 | Class S2     | IIFTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Investors Trust

- **b. Investment Company Act file number:** 811-05629

- **c. CIK number of Registrant:** 0000837276

- **d. LEI of Registrant:** 549300LPMGZECCP9KQ67

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-366-0066

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

- **a. Name of Series:** Voya Balanced Income Portfolio

- **b. EDGAR series identifier (if any):** S000010459

- **c. LEI of Series:** 549300B5ETT5HC8Z4C58

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $255667216.24

**Total Liabilities:** $13656507.96

**Net Assets:** $242010708.28

**Stand-by Commitments:** $6017706.25

**Cash Not Reported:** $29304119.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3428.00000000 | **1-Year:** 383.00000000 | **5-Year:** 4463.00000000 | **10-Year:** 8909.00000000 | **30-Year:** 22309.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** -32.00000000 | **5-Year:** 4054.00000000 | **10-Year:** 3236.00000000 | **30-Year:** 3065.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028893 | 2.59%                | 2.89%                | -2.22%               |
| Class ID C000028892 | 2.59%                | 3.00%                | -2.22%               |
| Class ID C000028890 | 2.60%                | 2.92%                | -2.22%               |
| Class ID C000028891 | 2.70%                | 2.87%                | -2.09%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1755841.08             | $7704953.05                                |
| Month 2  | $-3200589.27             | $10600330.99                               |
| Month 3  | $-1192717.06             | $-4705095.70                               |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                          | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Reckitt Benckiser Group PLC                   | Reckitt Benckiser Group PLC                                                      | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Long             | EC               | CORP              | GB        |       945 | NS      | $65504.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAHAM PACKAGING/GPC CAP                      | Graham Packaging Co Inc                                                          | CUSIP: 384701AA6<br>LEI: 549300YS0ZFT826HIK72 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58518.08     | 0.02%             | 2028-08-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                  | Danaher Corp                                                                     | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |      1864 | NS      | $494742.88    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106000 | PA      | $57867.73     | 0.02%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Koninklijke KPN NV                            | Koninklijke KPN NV                                                               | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |     26390 | NS      | $81683.52     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COEUR MINING INC                              | Coeur Mining Inc                                                                 | CUSIP: 192108BC1<br>LEI: 5493003AVK173D48DR70 | Long             | DBT              | CORP              | US        |     70000 | PA      | $54720.86     | 0.02%             | 2029-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Mizrahi Tefahot Bank Ltd                      | Mizrahi Tefahot Bank Ltd                                                         | CUSIP: 000000000<br>LEI: YZO9YEGEO4VYDZMDWF93 | Long             | EC               | CORP              | IL        |      1644 | NS      | $53060.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| M/I HOMES INC                                 | M/I Homes Inc                                                                    | CUSIP: 55305BAV3<br>LEI: 5299005M71FH9CCSFB69 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56609.94     | 0.02%             | 2030-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MIDAS OPCO HOLDINGS LLC                       | Stagwell Global LLC                                                              | CUSIP: 59565JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $57851.85     | 0.02%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2021-3                                                    | CUSIP: 81748VCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672213 | PA      | $444668.67    | 0.18%             | 2051-05-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                       | Carmax Auto Owner Trust 2019-3                                                   | CUSIP: 14315PAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1165187.64   | 0.48%             | 2026-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                        | Marvell Technology Inc                                                           | CUSIP: 573874104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9166 | NS      | $339508.64    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITON WATER HOLDINGS IN                      | Triton Water Holdings Inc                                                        | CUSIP: 89680EAA7<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56240.80     | 0.02%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                    | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686673 | PA      | $551706.10    | 0.23%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                           | DBWF Mortgage Trust                                                              | CUSIP: 23306NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $770771.10    | 0.32%             | 2034-06-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Lamar Advertising Co                          | Lamar Advertising Co                                                             | CUSIP: 512816109<br>LEI: 529900Y8WW4MKVPTB543 | Long             | EC               | CORP              | US        |       669 | NS      | $63153.60     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                      | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 637432MT9<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    334000 | PA      | $309801.75    | 0.13%             | 2043-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                   | MetLife Inc                                                                      | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |      5063 | NS      | $366409.31    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Ferrari NV                                    | Ferrari NV                                                                       | CUSIP: 000000000<br>LEI: 549300RIVY5EX8RCON76 | Long             | EC               | CORP              | IT        |       281 | NS      | $60257.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                          | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630PAG8<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $232192.75    | 0.10%             | 2034-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Medtronic PLC                                 | Medtronic PLC                                                                    | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |      1698 | NS      | $131968.56    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                                  | Alphabet Inc                                                                     | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |     20354 | NS      | $1795833.42   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Paychex Inc                                   | Paychex Inc                                                                      | CUSIP: 704326107<br>LEI: 529900K900DW6SUBM174 | Long             | EC               | CORP              | US        |      5933 | NS      | $685617.48    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-26613.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONDOR MERGER SUB INC                         | Condor Merger Sub Inc                                                            | CUSIP: 579063AB4<br>LEI: 254900SAGUYT3MBUU161 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56407.11     | 0.02%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - GBP                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2897.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                          | BANK 2017-BNK4                                                                   | CUSIP: 06541FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $464077.19    | 0.19%             | 2050-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SC GAMES HOLDIN/US FINCO                      | Scientific Games Holdings LP/Scientific Games US FinCo Inc                       | CUSIP: 80874DAA4<br>LEI: 549300W5GPFXXB6TQ330 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59220.00     | 0.02%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $4985.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                      | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |      1595 | NS      | $263940.60    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CubeSmart                                     | CubeSmart                                                                        | CUSIP: 229663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1905 | NS      | $76676.25     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92000 | PA      | $75313.85     | 0.03%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                      | LCM Investments Holdings II LLC                                                  | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56146.20     | 0.02%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                      | Allison Transmission Inc                                                         | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65861.25     | 0.03%             | 2029-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LKQ Corp                                      | LKQ Corp                                                                         | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |      4469 | NS      | $238689.29    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| General Electric Co                           | General Electric Co                                                              | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |       674 | NS      | $56474.46     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-5                                                  | CUSIP: 46591FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50311 | PA      | $46753.33     | 0.02%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                          | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61910.53     | 0.03%             | 2031-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Asahi Kasei Corp                              | Asahi Kasei Corp                                                                 | CUSIP: 000000000<br>LEI: 353800GPI4Z3MGDGN142 | Long             | EC               | CORP              | JP        |      5700 | NS      | $40575.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Kinder Morgan Inc                             | Kinder Morgan Inc                                                                | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |     17046 | NS      | $308191.68    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Sekisui House Ltd                             | Sekisui House Ltd                                                                | CUSIP: 000000000<br>LEI: 529900GMNDOYQSAJAE76 | Long             | EC               | CORP              | JP        |      4300 | NS      | $76234.97     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PGT INNOVATIONS INC                           | PGT Innovations Inc                                                              | CUSIP: 69336VAB7<br>LEI: 549300LRW9WM59C1S579 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58696.23     | 0.02%             | 2029-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Nintendo Co Ltd                               | Nintendo Co Ltd                                                                  | CUSIP: 000000000<br>LEI: 353800FEEXU6I9M0ZF27 | Long             | EC               | CORP              | JP        |      1700 | NS      | $71479.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CME Group Inc                                 | CME Group Inc                                                                    | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |       340 | NS      | $57174.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                     | CIM Trust 2019-J2                                                                | CUSIP: 12558TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109896 | PA      | $92423.01     | 0.04%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                 | J.G. Wentworth XXXVIII LLC                                                       | CUSIP: 46620JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376391 | PA      | $326997.88    | 0.14%             | 2060-08-16      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    207000 | PA      | $206013.52    | 0.09%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-37393.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                      | USD CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |  -1527000 | NC      | $-22780.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                | Government National Mortgage Association                                         | CUSIP: 38378UVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860075 | PA      | $75043.93     | 0.03%             | 2043-10-16      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                  | ADT Security Corp/The                                                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59626.43     | 0.02%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                           | Abbott Laboratories                                                              | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |      2381 | NS      | $261409.99    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| GCI LLC                                       | GCI LLC                                                                          | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58920.08     | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                         | Freedom Mortgage Corp                                                            | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36042.28     | 0.01%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions                | Cognizant Technology Solutions Corp                                              | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |      5147 | NS      | $294356.93    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Yara International ASA                        | Yara International ASA                                                           | CUSIP: 000000000<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | EC               | CORP              | NO        |       863 | NS      | $37900.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Orion Oyj                                     | Orion Oyj                                                                        | CUSIP: 000000000<br>LEI: 74370029VAHCXDR7B745 | Long             | EC               | CORP              | FI        |      1079 | NS      | $59153.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Galp Energia SGPS SA                          | Galp Energia SGPS SA                                                             | CUSIP: 000000000<br>LEI: 2138003319Y7NM75FG53 | Long             | EC               | CORP              | PT        |      7070 | NS      | $95378.46     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION     | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -3684000 | NC      | $-194435.81   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | CURRENCY CONTRACT - MXN                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1461.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Emerson Electric Co                           | Emerson Electric Co                                                              | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |      8309 | NS      | $798162.54    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Ageas SA/NV                                   | Ageas SA/NV                                                                      | CUSIP: 000000000<br>LEI: 5493005DJBML6LY3RV36 | Long             | EC               | CORP              | BE        |       979 | NS      | $43439.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Subaru Corp                                   | Subaru Corp                                                                      | CUSIP: 000000000<br>LEI: 549300N244BVAEE6HH86 | Long             | EC               | CORP              | JP        |      2600 | NS      | $39364.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Apple Inc                                     | Apple Inc                                                                        | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     27531 | NS      | $3577102.83   | 1.48%             |  |  |  | No            |                  1 | On Loan: No      |
| INTELLIGENT PACKAGING                         | Intelligent Packaging Ltd Finco Inc / Intelligent Packaging Ltd Co-Issuer LLC    | CUSIP: 45827MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     70000 | PA      | $56592.93     | 0.02%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136BGJ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3004842 | PA      | $700553.39    | 0.29%             | 2051-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                      | Golden Entertainment Inc                                                         | CUSIP: 381013AA9<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69103.73     | 0.03%             | 2026-04-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                  | Novelis Corp                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57241.97     | 0.02%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems Inc                    | Cadence Design Systems Inc                                                       | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |      3867 | NS      | $621194.88    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| BEASLEY MEZ HLDGS LLC                         | Beasley Mezzanine Holdings LLC                                                   | CUSIP: 07403VAA7<br>LEI: 549300VK8LJV1TK18D38 | Long             | DBT              | CORP              | US        |     70000 | PA      | $42262.50     | 0.02%             | 2026-02-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MILLENNIUM ESCROW CORP                        | Millennium Escrow Corp                                                           | CUSIP: 60041CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $44891.08     | 0.02%             | 2026-08-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Automatic Data Processing Inc                 | Automatic Data Processing Inc                                                    | CUSIP: 053015103<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | EC               | CORP              | US        |      1036 | NS      | $247458.96    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11040.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt                | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    310833 | PA      | $279515.79    | 0.12%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| MSC Industrial Direct Co Inc                  | MSC Industrial Direct Co Inc                                                     | CUSIP: 553530106<br>LEI: 0XVKH0LN6YGOWO2EGO17 | Long             | EC               | CORP              | US        |      3047 | NS      | $248939.90    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Red Electrica Corp SA                         | Red Electrica Corp SA                                                            | CUSIP: 000000000<br>LEI: 5493009HMD0C90GUV498 | Long             | EC               | CORP              | ES        |      4528 | NS      | $78733.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| FREMF Mortgage Trust                          | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1119480 | PA      | $788245.56    | 0.33%             | 2049-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC                      | Primo Water Holdings Inc                                                         | CUSIP: 74168LAA4<br>LEI: 9845008F9A5F2E1D4832 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60534.01     | 0.03%             | 2029-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                           | LSF11 A5 HoldCo LLC                                                              | CUSIP: 50221DAA7<br>LEI: 254900FPK7P5WNA66Y10 | Long             | DBT              | CORP              | US        |     65000 | PA      | $53781.73     | 0.02%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1694689 | PA      | $140154.68    | 0.06%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                            | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    450000 | PA      | $376875.00    | 0.16%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                    | Verizon Communications Inc                                                       | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     15993 | NS      | $630124.20    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| XHR LP                                        | XHR LP                                                                           | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57429.84     | 0.02%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92152 | PA      | $77043.52     | 0.03%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                             | Imola Merger Corp                                                                | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $60874.00     | 0.03%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United Parcel Service Inc                     | United Parcel Service Inc                                                        | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |      1439 | NS      | $250155.76    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| VERITAS US INC/BERMUDA L                      | Veritas US Inc / Veritas Bermuda Ltd                                             | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $17271.72     | 0.01%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                     | Crocs Inc                                                                        | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57135.75     | 0.02%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                       | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                 | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $63283.56     | 0.03%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| WF-RBS COMMERCIAL MORTGAGE TRU                | WFRBS Commercial Mortgage Trust 2014-C19                                         | CUSIP: 92938VAU9<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |   1920000 | PA      | $1811187.26   | 0.75%             | 2047-03-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                           | Gilead Sciences Inc                                                              | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |      5594 | NS      | $480244.90    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 31397LJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132971 | PA      | $83922.53     | 0.03%             | 2036-07-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association         | CURRENCY CONTRACT - CAD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11309.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Coles Group Ltd                               | Coles Group Ltd                                                                  | CUSIP: 000000000<br>LEI: 549300OHQRG2HN8LZ793 | Long             | EC               | CORP              | AU        |      6145 | NS      | $69657.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                       | Aethon United BR LP / Aethon United Finance Corp                                 | CUSIP: 00810GAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $69517.08     | 0.03%             | 2026-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                               | Fannie Mae Interest Strip                                                        | CUSIP: 31423XRE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4271330 | PA      | $524468.87    | 0.22%             | 2052-01-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Accenture PLC                                 | Accenture PLC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |       560 | NS      | $149430.40    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MATIV HOLDINGS INC                            | Mativ Holdings Inc                                                               | CUSIP: 808541AA4<br>LEI: 549300Z1FU4IDULG1R21 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61940.90     | 0.03%             | 2026-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                  | British American Tobacco PLC                                                     | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |      5427 | NS      | $214683.16    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Elisa Oyj                                     | Elisa Oyj                                                                        | CUSIP: 000000000<br>LEI: 743700TU2S3DXWGU7H32 | Long             | EC               | CORP              | FI        |      1065 | NS      | $56450.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-15663.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Swire Properties Ltd                          | Swire Properties Ltd                                                             | CUSIP: 000000000<br>LEI: 5299001L12PHYVQ92465 | Long             | EC               | CORP              | HK        |      8200 | NS      | $20769.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Willis Towers Watson PLC                      | Willis Towers Watson PLC                                                         | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | GB        |      1335 | NS      | $326514.30    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                      | Archrock Partners LP / Archrock Partners Finance Corp                            | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $64164.59     | 0.03%             | 2028-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                    | Nasdaq Inc                                                                       | CUSIP: 631103AM0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    215000 | PA      | $164402.45    | 0.07%             | 2052-03-07      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC                            | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60178.13     | 0.02%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2019-2                                                    | CUSIP: 81746YCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1084914 | PA      | $944820.53    | 0.39%             | 2049-06-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                      | Etsy Inc                                                                         | CUSIP: 29786A106<br>LEI: 54930089Q7XT501AEA40 | Long             | EC               | CORP              | US        |      3627 | NS      | $434442.06    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Extended Stay America Trust                   | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292858 | PA      | $279800.35    | 0.12%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Brambles Ltd                                  | Brambles Ltd                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |      8311 | NS      | $68155.34     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EARTHSTONE ENERGY HOL                         | Earthstone Energy Holdings LLC                                                   | CUSIP: 27034RAA1<br>LEI: 549300HGVO86L8G72J25 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67053.00     | 0.03%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Tobu Railway Co Ltd                           | Tobu Railway Co Ltd                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      2500 | NS      | $58312.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932941 | PA      | $822731.75    | 0.34%             | 2049-10-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                         | Playtika Holding Corp                                                            | CUSIP: 72815LAA5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55037.50     | 0.02%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| First Industrial Realty Trust                 | First Industrial Realty Trust Inc                                                | CUSIP: 32054K103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2437 | NS      | $117609.62    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Cigna Corp                                    | Cigna Corp                                                                       | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |      1162 | NS      | $385017.08    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                   | CURRENCY CONTRACT - JPY                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |         1 | NC      | $861.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                     | Towd Point Mortgage Trust 2015-6                                                 | CUSIP: 89172RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $168080.92    | 0.07%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136AA5T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384137 | PA      | $87244.39     | 0.04%             | 2042-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                           | NCL Corp Ltd                                                                     | CUSIP: 62886HBG5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     70000 | PA      | $53377.80     | 0.02%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                              | DT Midstream Inc                                                                 | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $60272.45     | 0.02%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                        | Boston Scientific Corp                                                           | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     18156 | NS      | $840078.12    | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                                    | Federal National Mortgage Association                                            | CUSIP: 313586810<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | EP               | USGSE             | US        |        50 | NS      | $362500.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                      | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     70000 | PA      | $56832.65     | 0.02%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                             | Magnetite XXVI Ltd                                                               | CUSIP: 55954YAN5<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $897524.85    | 0.37%             | 2034-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11690.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                          | Chart Industries Inc                                                             | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70457.80     | 0.03%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                        | Intuitive Surgical Inc                                                           | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      2206 | NS      | $585362.10    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                                   | NVIDIA Corp                                                                      | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |      6652 | NS      | $972123.28    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1452405 | PA      | $125023.04    | 0.05%             | 2030-04-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592320 | PA      | $562912.32    | 0.23%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International                | Johnson Controls International plc                                               | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | US        |      4472 | NS      | $286208.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11217.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Henkel AG & Co KGaA                           | Henkel AG & Co KGaA                                                              | CUSIP: 000000000<br>LEI: 549300VZCL1HTH4O4Y49 | Long             | EP               | CORP              | DE        |       952 | NS      | $65985.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FMC Corp                                      | FMC Corp                                                                         | CUSIP: 302491303<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | EC               | CORP              | US        |      4464 | NS      | $557107.20    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage S                | BBCMS Mortgage Trust 2022-C17                                                    | CUSIP: 054976AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4647560 | PA      | $373299.91    | 0.15%             | 2055-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173677 | PA      | $147282.10    | 0.06%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137AXBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4003806 | PA      | $505148.56    | 0.21%             | 2042-12-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        22 | NC      | $-18263.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Sumitomo Corp                                 | Sumitomo Corp                                                                    | CUSIP: 000000000<br>LEI: V82KK8NH1P0JS71FJC05 | Long             | EC               | CORP              | JP        |      1400 | NS      | $23272.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Valero Energy Corp                            | Valero Energy Corp                                                               | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |      3035 | NS      | $385020.10    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY INVESTMENT MANAGEMENT INC.     | USD CALL VERSUS CNH PUT                                                          | CUSIP: 000000000<br>LEI: 6N8SC06AK49F0N7KIX52 | N/A              | DFE              | CORP              | US        |   6600000 | NC      | $1901.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Idemitsu Kosan Co Ltd                         | Idemitsu Kosan Co Ltd                                                            | CUSIP: 000000000<br>LEI: 549300P0R46FF6DUA630 | Long             | EC               | CORP              | JP        |      3300 | NS      | $77258.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DT Midstream Inc                              | DT Midstream Inc                                                                 | CUSIP: 23345M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2995 | NS      | $165503.70    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                      | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAN9<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66507.00     | 0.03%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                          | EnLink Midstream LLC                                                             | CUSIP: 29336TAA8<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64887.06     | 0.03%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNIFRAX ESCROW ISS CORP                       | ASP Unifrax Holdings Inc                                                         | CUSIP: 90473LAA0<br>LEI: 549300RRU6BWJLD0YT71 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12089.88     | 0.00%             | 2028-09-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $112161.20    | 0.05%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-31967.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                              | Coca-Cola Co/The                                                                 | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |      5976 | NS      | $380133.36    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayerische Motoren Werke AG                   | Bayerische Motoren Werke AG                                                      | CUSIP: 000000000<br>LEI: YEH5ZCD6E441RHVHD759 | Long             | EC               | CORP              | DE        |      1459 | NS      | $129172.19    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CORELOGIC INC                                 | CoreLogic Inc                                                                    | CUSIP: 21871DAD5<br>LEI: 54930086CD8K2UIL0516 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53794.65     | 0.02%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-4927.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aon PLC                                       | Aon PLC                                                                          | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | US        |       805 | NS      | $241612.70    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYTEX ENERGY CORP                            | Baytex Energy Corp                                                               | CUSIP: 07317QAH8<br>LEI: 549300R5LTV2H7I1I079 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $71338.75     | 0.03%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: —       |
| GRAFTECH FINANCE INC                          | GrafTech Finance Inc                                                             | CUSIP: 384311AA4<br>LEI: 1Z010BU876CF2HDBIN43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57588.48     | 0.02%             | 2028-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Repsol SA                                     | Repsol SA                                                                        | CUSIP: 000000000<br>LEI: BSYCX13Y0NOTV14V9N85 | Long             | EC               | CORP              | ES        |      6833 | NS      | $108760.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                 | Citigroup Inc                                                                    | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |      8928 | NS      | $403813.44    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| UPM-Kymmene Oyj                               | UPM-Kymmene Oyj                                                                  | CUSIP: 000000000<br>LEI: 213800EC6PW5VU4J9U64 | Long             | EC               | CORP              | FI        |       877 | NS      | $32818.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SIZZLING PLATT/FIN CO                         | Sizzling Platter LLC / Sizzling Platter Finance Corp                             | CUSIP: 830146AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $59890.13     | 0.02%             | 2025-11-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                | SoFi Consumer Loan Program 2020-1 Trust                                          | CUSIP: 83407AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276868 | PA      | $273960.61    | 0.11%             | 2029-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                | Morgan Stanley Capital I Trust 2011-C1                                           | CUSIP: 617458BJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253862 | PA      | $0.00         | 0.00%             | 2047-09-15      | Fixed         | 4.19%                 | No            |                  3 | On Loan: No      |
| Aena SME SA                                   | Aena SME SA                                                                      | CUSIP: 000000000<br>LEI: 959800R7QMXKF0NFMT29 | Long             | EC               | CORP              | ES        |       391 | NS      | $49014.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| 3M Co                                         | 3M Co                                                                            | CUSIP: 88579Y101<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | EC               | CORP              | US        |      3208 | NS      | $384703.36    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLY FINANCIAL INC                            | Ally Financial Inc                                                               | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67886.03     | 0.03%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-32563.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co/The                               | Southern Co/The                                                                  | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |      5702 | NS      | $407179.82    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                      | EQM Midstream Partners LP                                                        | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12567.32     | 0.01%             | 2025-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                     | Ball Corp                                                                        | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15427.05     | 0.01%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LIONS GATE CAPITAL HOLD                       | Lions Gate Capital Holdings LLC                                                  | CUSIP: 53627NAE1<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |     70000 | PA      | $40676.79     | 0.02%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2022-DNA5                                          | CUSIP: 35564KYP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1047023.80   | 0.43%             | 2042-06-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC                            | STL Holding Co LLC                                                               | CUSIP: 861036AA9<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62051.50     | 0.03%             | 2026-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -7368000 | NC      | $-318793.89   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124111.16    | 0.05%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Novozymes A/S                                 | Novozymes A/S                                                                    | CUSIP: 000000000<br>LEI: 529900T6WNZXD2R3JW38 | Long             | EC               | CORP              | DK        |      1224 | NS      | $62098.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| Amgen Inc                                     | Amgen Inc                                                                        | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |      1114 | NS      | $292580.96    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT              | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        | -21591100 | NC      | $-93527.61    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SITC International Holdings Co                | SITC International Holdings Co Ltd                                               | CUSIP: 000000000<br>LEI: 529900JUV4MOM9CE3V12 | Long             | EC               | CORP              | HK        |     30000 | NS      | $66493.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - GBP                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3920.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Holcim AG                                     | Holcim AG                                                                        | CUSIP: 000000000<br>LEI: 529900EHPFPYHV6IQO98 | Long             | EC               | CORP              | CH        |      1860 | NS      | $96279.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi Chemical Group Corp                | Mitsubishi Chemical Group Corp                                                   | CUSIP: 000000000<br>LEI: 353800YNKX4RQUGAR072 | Long             | EC               | CORP              | JP        |      2700 | NS      | $13977.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $173980.59    | 0.07%             | 2053-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp                       | SBA Communications Corp                                                          | CUSIP: 78410G104<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | EC               | CORP              | US        |      1616 | NS      | $452980.96    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Enphase Energy Inc                            | Enphase Energy Inc                                                               | CUSIP: 29355A107<br>LEI: 5493008U7KIGMI59Z314 | Long             | EC               | CORP              | US        |      2126 | NS      | $563304.96    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| DAVITA INC                                    | DaVita Inc                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56457.92     | 0.02%             | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP/FIN C                      | Enviva Partners LP / Enviva Partners Finance Corp                                | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $66039.40     | 0.03%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2018-R07                                     | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61586 | PA      | $61445.76     | 0.03%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Chipotle Mexican Grill Inc                    | Chipotle Mexican Grill Inc                                                       | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       450 | NS      | $624370.50    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| NiSource Inc                                  | NiSource Inc                                                                     | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |      2222 | NS      | $60927.24     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CO                                   | Southern Co/The                                                                  | CUSIP: 842587DC8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    203000 | PA      | $200581.95    | 0.08%             | 2024-08-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.               | CDS CDX.NA.HY.39.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-32884.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares Russell 1000 Value ETF                | iShares Russell 1000 Value ETF                                                   | CUSIP: 464287598<br>LEI: 549300KLSYN5NN4YNM90 | Long             | EC               | RF                | US        |      2338 | NS      | $354557.70    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Applebees/IHOP Funding LLC                    | Applebee's Funding LLC / IHOP Funding LLC                                        | CUSIP: 03789XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148500 | PA      | $135785.91    | 0.06%             | 2049-06-05      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| CARGO AIRCRAFT MANAGEMEN                      | Cargo Aircraft Management Inc                                                    | CUSIP: 14180LAA4<br>LEI: 549300GH5J7LOMV44F11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63641.20     | 0.03%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                              | Wells Fargo & Co                                                                 | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |      7241 | NS      | $298980.89    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                    | US Bancorp                                                                       | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |      8593 | NS      | $374740.73    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2018-8                                                  | CUSIP: 46650MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122922 | PA      | $113412.31    | 0.05%             | 2049-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                | Bombardier Inc                                                                   | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24300.90     | 0.01%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| OCI NV                                        | OCI NV                                                                           | CUSIP: 000000000<br>LEI: 549300NCMRGIBJYUOE57 | Long             | EC               | CORP              | NL        |      1950 | NS      | $69717.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| National Grid PLC                             | National Grid PLC                                                                | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | EC               | CORP              | GB        |     11689 | NS      | $140027.39    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38340 | PA      | $36622.10     | 0.02%             | 2049-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - MXN                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1488.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                      | Neuberger Berman Loan Advisers CLO 33 Ltd                                        | CUSIP: 64132TAN3<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $707796.75    | 0.29%             | 2033-10-16      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| UMB Financial Corp                            | UMB Financial Corp                                                               | CUSIP: 902788108<br>LEI: 549300MGEH3N3CUCV828 | Long             | EC               | CORP              | US        |      1640 | NS      | $136972.80    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2020-R02                                     | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402625 | PA      | $396780.55    | 0.16%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                       | Duke Energy Indiana LLC                                                          | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    104000 | PA      | $72664.13     | 0.03%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                      | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5482103 | PA      | $326493.76    | 0.13%             | 2053-03-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                | Merck & Co Inc                                                                   | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |      5827 | NS      | $646505.65    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - NOK                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $47.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                   | Oracle Corp                                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     85000 | PA      | $60929.77     | 0.03%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Jack Henry & Associates Inc                   | Jack Henry & Associates Inc                                                      | CUSIP: 426281101<br>LEI: 529900X1QS8C54W0JB21 | Long             | EC               | CORP              | US        |      1256 | NS      | $220503.36    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MISC CAPITAL TWO LABUAN                       | Misc Capital Two Labuan Ltd                                                      | CUSIP: 60475DAB7<br>LEI: 9845000ED8376T875113 | Long             | DBT              | CORP              | MY        |    225000 | PA      | $204178.35    | 0.08%             | 2027-04-06      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DCC PLC                                       | DCC PLC                                                                          | CUSIP: 000000000<br>LEI: 213800UPS1QEE4TD3T45 | Long             | EC               | CORP              | IE        |      1297 | NS      | $63776.33     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                             | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -7368000 | NC      | $-123363.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Snam SpA                                      | Snam SpA                                                                         | CUSIP: 000000000<br>LEI: 8156002278562044AF79 | Long             | EC               | CORP              | IT        |     13480 | NS      | $65362.12     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                         | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $62759.20     | 0.03%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                              | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $17443.00     | 0.01%             | 2027-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Group Inc                       | Nexstar Media Group Inc                                                          | CUSIP: 65336K103<br>LEI: 52990083ZRR5UT591988 | Long             | EC               | CORP              | US        |       439 | NS      | $76838.17     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EMPRESA NACIONAL DEL PET                      | Empresa Nacional del Petroleo                                                    | CUSIP: 000000000<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |    350000 | PA      | $328937.13    | 0.14%             | 2026-08-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Phoenix Group Holdings PLC                    | Phoenix Group Holdings PLC                                                       | CUSIP: 000000000<br>LEI: 2138001P49OLAEU33T68 | Long             | EC               | CORP              | GB        |     10376 | NS      | $76009.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Westrock Co                                   | Westrock Co                                                                      | CUSIP: 96145D105<br>LEI: 5493004Z9TCQW68YVL89 | Long             | EC               | CORP              | US        |      4745 | NS      | $166834.20    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Aviva PLC                                     | Aviva PLC                                                                        | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | EC               | CORP              | GB        |     18367 | NS      | $97430.90     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                   | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1293000 | PA      | $1202649.18   | 0.50%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                              | Roche Holding AG                                                                 | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |        89 | NS      | $27967.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                | JPMBB Commercial Mortgage Securities Trust 2013-C17                              | CUSIP: 46640UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $162663.16    | 0.07%             | 2047-01-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FOUNDATION BUILDING M                         | Foundation Building Materials Inc                                                | CUSIP: 350392AA4<br>LEI: 549300ZVE6MONHB01I28 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52725.66     | 0.02%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                       | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $62189.40     | 0.03%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Old Dominion Freight Line Inc                 | Old Dominion Freight Line Inc                                                    | CUSIP: 679580100<br>LEI: 5299009TWK32WE417T96 | Long             | EC               | CORP              | US        |       734 | NS      | $208294.52    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    753100 | PA      | $749099.16    | 0.31%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Smiths Group PLC                              | Smiths Group PLC                                                                 | CUSIP: 000000000<br>LEI: 213800MJL6IPZS3ASA11 | Long             | EC               | CORP              | GB        |      1517 | NS      | $29114.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | USD CALL VERSUS CNH PUT                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   3494000 | NC      | $782.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                       | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAA1<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66053.05     | 0.03%             | 2026-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Voya Emerging Markets Hard Currency Debt Fund | Voya Emerging Markets Hard Currency Debt Fund                                    | CUSIP: 92913M401<br>LEI: 549300SMBQ3OC2DD8W64 | Long             | EC               | RF                | US        |    225257 | NS      | $1657888.61   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| MS&AD Insurance Group Holdings                | MS&AD Insurance Group Holdings Inc                                               | CUSIP: 000000000<br>LEI: 529900CXROT5S2HMMP26 | Long             | EC               | CORP              | JP        |      3200 | NS      | $102303.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                        | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57346.80     | 0.02%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Duke Energy Corp                              | Duke Energy Corp                                                                 | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |      3860 | NS      | $397541.40    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| TotalEnergies SE                              | TotalEnergies SE                                                                 | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |       746 | NS      | $46828.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| Mediobanca Banca di Credito Fi                | Mediobanca Banca di Credito Finanziario SpA                                      | CUSIP: 000000000<br>LEI: PSNL19R2RXX5U3QWHI44 | Long             | EC               | CORP              | IT        |      8520 | NS      | $81868.93     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Prime Site AG                           | Swiss Prime Site AG                                                              | CUSIP: 000000000<br>LEI: 506700XI9H64OPR34158 | Long             | EC               | CORP              | CH        |       483 | NS      | $41862.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                               | Foot Locker Inc                                                                  | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $54634.94     | 0.02%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC                         | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35052.00     | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                    | Tronox Inc                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |     55000 | PA      | $45821.88     | 0.02%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                | WFRBS Commercial Mortgage Trust 2013-C12                                         | CUSIP: 92937FAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2132023.02   | 0.88%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Glencore PLC                                  | Glencore PLC                                                                     | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | CH        |     26802 | NS      | $178733.95    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| United Utilities Group PLC                    | United Utilities Group PLC                                                       | CUSIP: 000000000<br>LEI: 2138002IEYQAOC88ZJ59 | Long             | EC               | CORP              | GB        |      6717 | NS      | $80257.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERFACE INC                                 | Interface Inc                                                                    | CUSIP: 458665AS5<br>LEI: 549300VXZWQOIDFPU355 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57892.55     | 0.02%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HKT Trust & HKT Ltd                           | HKT Trust & HKT Ltd                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |     25000 | NS      | $30603.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-60626.20    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BOC Hong Kong Holdings Ltd                    | BOC Hong Kong Holdings Ltd                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |     26000 | NS      | $88264.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                              | CSC Holdings LLC                                                                 | CUSIP: 126307AH0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65275.00     | 0.03%             | 2024-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Rheinmetall AG                                | Rheinmetall AG                                                                   | CUSIP: 000000000<br>LEI: 5299001OU9CSE29O6S05 | Long             | EC               | CORP              | DE        |       181 | NS      | $36032.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                      | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57692.25     | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                        | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $51800.00     | 0.02%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                             | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   4989400 | NC      | $-24066.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                           | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474553 | PA      | $362528.88    | 0.15%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                      | Devon Energy Corp                                                                | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     46000 | PA      | $45597.80     | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                               | Sealed Air Corp                                                                  | CUSIP: 81211KAY6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63619.99     | 0.03%             | 2027-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Munich Re                                     | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                        | CUSIP: 000000000<br>LEI: 529900MUF4C20K50JS49 | Long             | EC               | CORP              | DE        |       224 | NS      | $72457.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RACKSPACE TECHNOLOGY                          | Rackspace Technology Global Inc                                                  | CUSIP: 750098AA3<br>LEI: 549300QTYCKLMFSE8I97 | Long             | DBT              | CORP              | US        |     15000 | PA      | $6562.15      | 0.00%             | 2028-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos Inc/The                      | Estee Lauder Cos Inc/The                                                         | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      3116 | NS      | $773110.76    | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp                          | Bank of America Corp                                                             | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     10233 | NS      | $338916.96    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KWT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $402691.40    | 0.17%             | 2042-05-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                       | Charles Schwab Corp/The                                                          | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |      2958 | NS      | $246283.08    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $53921.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $146906.25    | 0.06%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trend Micro Inc/Japan                         | Trend Micro Inc/Japan                                                            | CUSIP: 000000000<br>LEI: 3538005O5UJ5RNAGVE16 | Long             | EC               | CORP              | JP        |       800 | NS      | $37413.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| Datadog Inc                                   | Datadog Inc                                                                      | CUSIP: 23804L103<br>LEI: 549300F6JNO0KRPO1K63 | Long             | EC               | CORP              | US        |      4153 | NS      | $305245.50    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $699129.10    | 0.29%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - EUR                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8932.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                         | Texas Instruments Inc                                                            | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |       253 | NS      | $41800.66     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                      | Builders FirstSource Inc                                                         | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62139.63     | 0.03%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11230.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Yum! Brands Inc                               | Yum! Brands Inc                                                                  | CUSIP: 988498101<br>LEI: 549300JE8XHZZ7OHN517 | Long             | EC               | CORP              | US        |      2033 | NS      | $260386.64    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FERTITTA ENTERTAINMENT                        | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc               | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $56593.25     | 0.02%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                          | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $1241.03      | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $54753.39     | 0.02%             | 2049-11-08      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                  | Comcast Corp                                                                     | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    206000 | PA      | $128335.83    | 0.05%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5470.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136B4GR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1556303 | PA      | $330185.92    | 0.14%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                          | RLJ Lodging Trust LP                                                             | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56847.74     | 0.02%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP PLC                                        | BP PLC                                                                           | CUSIP: 000000000<br>LEI: 213800LH1BZH3DI6G760 | Long             | EC               | CORP              | GB        |     43716 | NS      | $252239.99    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - AUD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $19560.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                      | Corebridge Financial Inc                                                         | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    534000 | PA      | $495920.75    | 0.20%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Terna - Rete Elettrica Naziona                | Terna - Rete Elettrica Nazionale                                                 | CUSIP: 000000000<br>LEI: 8156009E94ED54DE7C31 | Long             | EC               | CORP              | IT        |     11094 | NS      | $81931.12     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| Unum Group                                    | Unum Group                                                                       | CUSIP: 91529Y106<br>LEI: 549300E32YFDO6TZ8R31 | Long             | EC               | CORP              | US        |      6046 | NS      | $248067.38    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Daiwa House Industry Co Ltd                   | Daiwa House Industry Co Ltd                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      1500 | NS      | $34554.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Dexcom Inc                                    | Dexcom Inc                                                                       | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Long             | EC               | CORP              | US        |      7992 | NS      | $905014.08    | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Power Assets Holdings Ltd                     | Power Assets Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: 254900JOWYUW1ZX4DF47 | Long             | EC               | CORP              | HK        |     15000 | NS      | $81982.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NN Group NV                                   | NN Group NV                                                                      | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |      2025 | NS      | $82806.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Baloise Holding AG                            | Baloise Holding AG                                                               | CUSIP: 000000000<br>LEI: 529900G5XKBZN48T6283 | Long             | EC               | CORP              | CH        |       353 | NS      | $54434.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTL INC                         | Tempur Sealy International Inc                                                   | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55052.90     | 0.02%             | 2031-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-28658.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                          | Bank of America Corp                                                             | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    502000 | PA      | $463352.49    | 0.19%             | 2025-12-06      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Enagas SA                                     | Enagas SA                                                                        | CUSIP: 000000000<br>LEI: 213800OU3FQKGM4M2U23 | Long             | EC               | CORP              | ES        |      4143 | NS      | $68891.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2022-R07                                     | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $839721.44    | 0.35%             | 2042-06-25      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC        | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -7368000 | NC      | $-117770.82   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                      | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $62405.81     | 0.03%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                     | CIM Trust 2019-INV2                                                              | CUSIP: 12554TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176881 | PA      | $166609.67    | 0.07%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                | Barings CLO Ltd 2018-III                                                         | CUSIP: 06760PAL5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $290294.70    | 0.12%             | 2029-07-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                           | Cardinal Health Inc                                                              | CUSIP: 14149Y108<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | EC               | CORP              | US        |      3965 | NS      | $304789.55    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                | Amazon.com Inc                                                                   | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     19555 | NS      | $1642620.00   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| TD SECURITIES (USA) LLC                       | TD SECURITIES (USA) LLC                                                          | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Long             | RA               | CORP              | US        |      1861 | PA      | $1861.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                  | RBC DOMINION SECURITIES INC                                                      | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| GSK PLC                                       | GSK PLC                                                                          | CUSIP: 000000000<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     10096 | NS      | $174492.40    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                    | Sunrun Xanadu Issuer 2019-1 LLC                                                  | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291001 | PA      | $258080.75    | 0.11%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment Inc                 | Live Nation Entertainment Inc                                                    | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Long             | EC               | CORP              | US        |      5020 | NS      | $350094.80    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2020-HQA1                                          | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |    195970 | PA      | $194224.26    | 0.08%             | 2050-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                | Mello Mortgage Capital Acceptance 2018-MTG2                                      | CUSIP: 585499BQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451582 | PA      | $390003.04    | 0.16%             | 2048-10-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                       | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2584.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2018-3                                                  | CUSIP: 46649TAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1071569 | PA      | $892935.30    | 0.37%             | 2048-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group                | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |     31600 | NS      | $212143.97    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                            | Ukraine Government International Bond                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    350000 | PA      | $76021.75     | 0.03%             | 2027-09-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                            | Wendy's Funding LLC                                                              | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1140000 | PA      | $1031005.06   | 0.43%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Unilever PLC                                  | Unilever PLC                                                                     | CUSIP: 000000000<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |      1092 | NS      | $54792.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Equity Residential                            | Equity Residential                                                               | CUSIP: 29476L107<br>LEI: 5493008RACSH5EP3PI59 | Long             | EC               | CORP              | US        |      2948 | NS      | $173932.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BATH & BODY WORKS INC                         | Bath & Body Works Inc                                                            | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61649.00     | 0.03%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                       | Zayo Group Holdings Inc                                                          | CUSIP: 98919VAB1<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |     70000 | PA      | $39846.00     | 0.02%             | 2028-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2820100 | PA      | $2804236.94   | 1.16%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                       | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AME                      | Roller Bearing Co of America Inc                                                 | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60616.50     | 0.03%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Spark New Zealand Ltd                         | Spark New Zealand Ltd                                                            | CUSIP: 000000000<br>LEI: 529900HUN51H3Y7QBB66 | Long             | EC               | CORP              | NZ        |      9432 | NS      | $32293.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co Ltd                  | Takeda Pharmaceutical Co Ltd                                                     | CUSIP: 000000000<br>LEI: 549300ZLMVP4X0OGR454 | Long             | EC               | CORP              | JP        |      5200 | NS      | $162482.81    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 31398RNN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534316 | PA      | $37518.80     | 0.02%             | 2040-06-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| VIRTUSA CORP                                  | Virtusa Corp                                                                     | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53446.61     | 0.02%             | 2028-12-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Rio Tinto Ltd                                 | Rio Tinto Ltd                                                                    | CUSIP: 000000000<br>LEI: 529900X2VMAQT2PE0V24 | Long             | EC               | CORP              | AU        |      2436 | NS      | $192263.03    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Amcor PLC                                     | Amcor PLC                                                                        | CUSIP: 000000000<br>LEI: 549300GSODGFCDQ3DI89 | Long             | EC               | CORP              | GB        |      8925 | NS      | $106296.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4201.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Highwoods Properties Inc                      | Highwoods Properties Inc                                                         | CUSIP: 431284108<br>LEI: ZIIGTYKL9T0X3HLTDX53 | Long             | EC               | CORP              | US        |      5534 | NS      | $154841.32    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Japan Tobacco Inc                             | Japan Tobacco Inc                                                                | CUSIP: 000000000<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | EC               | CORP              | JP        |      5300 | NS      | $106849.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: —       |
| DBUBS Mortgage Trust                          | DBUBS 2011-LC2 Mortgage Trust                                                    | CUSIP: 23305XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17241 | PA      | $17162.98     | 0.01%             | 2044-07-10      | Floating      | 4.00%                 | No            |                  3 | On Loan: No      |
| HSBC Holdings PLC                             | HSBC Holdings PLC                                                                | CUSIP: 000000000<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EC               | CORP              | GB        |     45334 | NS      | $280960.59    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - NZD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12356.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | EUR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |   1755400 | NC      | $24167.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                            | Russian Foreign Bond - Eurobond                                                  | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $60000.00     | 0.02%             | 2029-03-21      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Erie Indemnity Co                             | Erie Indemnity Co                                                                | CUSIP: 29530P102<br>LEI: 549300WA5KP94KRUFZ80 | Long             | EC               | CORP              | US        |       905 | NS      | $225091.60    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Provident Funding Mortgage Tru                | Provident Funding Mortgage Trust 2021-J1                                         | CUSIP: 74387MAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $257164.00    | 0.11%             | 2051-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co                                 | DTE Energy Co                                                                    | CUSIP: 233331107<br>LEI: 549300IX8SD6XXD71I78 | Long             | EC               | CORP              | US        |      2161 | NS      | $253982.33    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                            | Ford Motor Co                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64769.78     | 0.03%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Cummins Inc                                   | Cummins Inc                                                                      | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |       881 | NS      | $213457.49    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                       | Asbury Automotive Group Inc                                                      | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58638.76     | 0.02%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc                | American Electric Power Co Inc                                                   | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |      2854 | NS      | $270987.30    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - JPY                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $402.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7944.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                       | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859775 | PA      | $661097.04    | 0.27%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TransDigm Group Inc                           | TransDigm Group Inc                                                              | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       779 | NS      | $490497.35    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Waste Connections Inc                         | Waste Connections Inc                                                            | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Long             | EC               | CORP              | US        |      1738 | NS      | $230389.28    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Mondelez International Inc                    | Mondelez International Inc                                                       | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |      6815 | NS      | $454219.75    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $10207.03     | 0.00%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                         | Petroleos del Peru SA                                                            | CUSIP: 000000000<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    225000 | PA      | $174307.50    | 0.07%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                       | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  27250000 | PA      | $1295117.90   | 0.54%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT              | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -3684000 | NC      | $-58392.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                           | COMM 2013-CCRE10 Mortgage Trust                                                  | CUSIP: 12626BAY0<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $120142.58    | 0.05%             | 2046-08-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $52479.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Dolby Laboratories Inc                        | Dolby Laboratories Inc                                                           | CUSIP: 25659T107<br>LEI: 549300X04FB2QPCJ5J24 | Long             | EC               | CORP              | US        |      2260 | NS      | $159420.40    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Linde PLC                                     | Linde PLC                                                                        | CUSIP: 000000000<br>LEI: 8945002PAZHZLBGKGF02 | Long             | EC               | CORP              | GB        |       559 | NS      | $182334.62    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Vertex Pharmaceuticals Inc                    | Vertex Pharmaceuticals Inc                                                       | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      1488 | NS      | $429704.64    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Nyack Park CLO, Ltd.                          | NYACK Park CLO Ltd                                                               | CUSIP: 67080PAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $465014.00    | 0.19%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| STEVENS HOLDING CO INC                        | Stevens Holding Co Inc                                                           | CUSIP: 86024TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $70295.40     | 0.03%             | 2026-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GPT Group/The                                 | GPT Group/The                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |     17961 | NS      | $51225.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                        | Penn Entertainment Inc                                                           | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $55391.26     | 0.02%             | 2029-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| American International Group I                | American International Group Inc                                                 | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |      3708 | NS      | $234493.92    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                             | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   1676000 | NC      | $-1582.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC        | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -7368000 | NC      | $-291896.55   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $99915.48     | 0.04%             | 2051-09-27      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113000 | PA      | $74013.84     | 0.03%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| McKesson Corp                                 | McKesson Corp                                                                    | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |       973 | NS      | $364991.76    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | MXN CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |  -1527000 | NC      | $-42922.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $67040.40     | 0.03%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW ENTERPRISE STONE & L                      | New Enterprise Stone & Lime Co Inc                                               | CUSIP: 644274AG7<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64905.02     | 0.03%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                              | AMC Networks Inc                                                                 | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     15000 | PA      | $9368.51      | 0.00%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136A5LH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2699735 | PA      | $128231.49    | 0.05%             | 2041-04-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - CHF                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4978.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                         | Mexico Government International Bond                                             | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $191094.36    | 0.08%             | 2029-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                      | Univision Communications Inc                                                     | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67685.45     | 0.03%             | 2027-06-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - CHF                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7855.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1556323.13   | 0.64%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Keysight Technologies Inc                     | Keysight Technologies Inc                                                        | CUSIP: 49338L103<br>LEI: 549300GLKVIO8YRCYN02 | Long             | EC               | CORP              | US        |      3009 | NS      | $514749.63    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| COMSTOCK RESOURCES INC                        | Comstock Resources Inc                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60270.00     | 0.02%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SHEA HOMES LP/FNDG CP                         | Shea Homes LP / Shea Homes Funding Corp                                          | CUSIP: 82088KAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $58971.15     | 0.02%             | 2029-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KEHE DISTRIBUTORS LLC/FI                      | KeHE Distributors LLC / KeHE Finance Corp                                        | CUSIP: 487526AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $55196.40     | 0.02%             | 2026-10-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                           | Petroleos Mexicanos                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $151826.60    | 0.06%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Groupe Bruxelles Lambert NV                   | Groupe Bruxelles Lambert NV                                                      | CUSIP: 000000000<br>LEI: 549300KV0ZEHT2KVU152 | Long             | EC               | CORP              | BE        |       541 | NS      | $43235.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sompo Holdings Inc                            | Sompo Holdings Inc                                                               | CUSIP: 000000000<br>LEI: 353800CWW4SRGEYEB512 | Long             | EC               | CORP              | JP        |      1900 | NS      | $84061.91     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                        | Diamondback Energy Inc                                                           | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |      4595 | NS      | $628504.10    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Dassault Aviation SA                          | Dassault Aviation SA                                                             | CUSIP: 000000000<br>LEI: 969500CVFTUT88V8QN95 | Long             | EC               | CORP              | FR        |       221 | NS      | $37479.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137AWZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177987 | PA      | $31534.46     | 0.01%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                             | Chile Government International Bond                                              | CUSIP: 168863DP0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    275000 | PA      | $228848.69    | 0.09%             | 2031-01-31      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| M&G PLC                                       | M&G PLC                                                                          | CUSIP: 000000000<br>LEI: 254900TWUJUQ44TQJY84 | Long             | EC               | CORP              | GB        |     30715 | NS      | $69454.91     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                | Wells Fargo Mortgage Backed Securities 2018-1                                    | CUSIP: 94989UBK6<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    539226 | PA      | $448274.44    | 0.19%             | 2047-07-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                           | Station Casinos LLC                                                              | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60965.22     | 0.03%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Allegion plc                                  | Allegion plc                                                                     | CUSIP: 000000000<br>LEI: 984500560CAC2E6FB757 | Long             | EC               | CORP              | IE        |       657 | NS      | $69155.82     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56347 | PA      | $52883.96     | 0.02%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Edenred                                       | Edenred                                                                          | CUSIP: 000000000<br>LEI: 9695006LOD5B2D7Y0N70 | Long             | EC               | CORP              | FR        |      1225 | NS      | $66670.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                           | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $59742.55     | 0.02%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                  | Citizens Financial Group Inc                                                     | CUSIP: 174610105<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EC               | CORP              | US        |      6809 | NS      | $268070.33    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Mizuho Financial Group Inc                    | Mizuho Financial Group Inc                                                       | CUSIP: 000000000<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | EC               | CORP              | JP        |     10300 | NS      | $145109.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $16148.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KOPPERS INC                                   | Koppers Inc                                                                      | CUSIP: 500605AH3<br>LEI: LTO4ZL5EBDR1NE6FGJ36 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66610.60     | 0.03%             | 2025-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - AUD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13750.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                        | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $63566.71     | 0.03%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                      | OBX 2019-INV2 Trust                                                              | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117355 | PA      | $110163.02    | 0.05%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                      | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     70000 | PA      | $67438.11     | 0.03%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                   | Home RE 2019-1 Ltd                                                               | CUSIP: 43731AAB9<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $493664.80    | 0.20%             | 2029-05-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                   | Oracle Corp                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    157000 | PA      | $124866.92    | 0.05%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC                            | Gray Escrow II Inc                                                               | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $50570.45     | 0.02%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Inc                             | Iron Mountain Inc                                                                | CUSIP: 46284V101<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | EC               | CORP              | US        |      4194 | NS      | $209070.90    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Sumitomo Mitsui Trust Holdings                | Sumitomo Mitsui Trust Holdings Inc                                               | CUSIP: 000000000<br>LEI: 353800P843RLCDBLNT17 | Long             | EC               | CORP              | JP        |      2900 | NS      | $101197.07    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Grou                | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | EC               | CORP              | JP        |      4500 | NS      | $181045.97    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-313910.24   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS Health Corp                               | CVS Health Corp                                                                  | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |      5170 | NS      | $481792.30    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $51635.93     | 0.02%             | 2050-11-27      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                 | Sempra Energy                                                                    | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |      1790 | NS      | $276626.60    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS-Barclays Commercial Mortga                | UBS-Barclays Commercial Mortgage Trust 2012-C4                                   | CUSIP: 90270RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22576 | PA      | $21531.81     | 0.01%             | 2045-12-10      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                 | TransDigm Inc                                                                    | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61170.20     | 0.03%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Gr                | Hartford Financial Services Group Inc/The                                        | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |      4034 | NS      | $305898.22    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| NextEra Energy Inc                            | NextEra Energy Inc                                                               | CUSIP: 65339F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5703 | NS      | $476770.80    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  -1842000 | NC      | $-111445.83   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Eversource Energy                             | Eversource Energy                                                                | CUSIP: 30040W108<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | EC               | CORP              | US        |       917 | NS      | $76881.28     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-46490.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                       | Standard Industries Inc/NJ                                                       | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52821.18     | 0.02%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bridgestone Corp                              | Bridgestone Corp                                                                 | CUSIP: 000000000<br>LEI: 549300DHPOF90OYYD780 | Long             | EC               | CORP              | JP        |      1900 | NS      | $67273.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-25213.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                      | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $62505.10     | 0.03%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Tesla Inc                                     | Tesla Inc                                                                        | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |      2389 | NS      | $294277.02    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BMD2 Re-REMIC Trust                           | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204000 | PA      | $124874.52    | 0.05%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cisco Systems Inc                             | Cisco Systems Inc                                                                | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |     14404 | NS      | $686206.56    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2019-CH2                                                  | CUSIP: 81747CAA9<br>LEI: 549300RES143ZXEZ6T39 | Long             | ABS-MBS          | CORP              | US        |     23529 | PA      | $23018.99     | 0.01%             | 2049-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                      | Republic of South Africa Government International Bond                           | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    250000 | PA      | $223768.50    | 0.09%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Inc                           | Cheniere Energy Inc                                                              | CUSIP: 16411R208<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | EC               | CORP              | US        |      3741 | NS      | $561000.36    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - NZD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $419.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -7368000 | NC      | $-105504.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP MORGAN MORTGAGE TRUST 2018-5                                                  | CUSIP: 46649KAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908802 | PA      | $766288.25    | 0.32%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                      | Warnermedia Holdings Inc                                                         | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    193000 | PA      | $141049.67    | 0.06%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | CURRENCY CONTRACT - CAD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6621.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES HOLDINGS                      | United Airlines Holdings Inc                                                     | CUSIP: 910047AK5<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66970.40     | 0.03%             | 2025-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| ENCOMPASS HEALTH CORP                         | Encompass Health Corp                                                            | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61582.29     | 0.03%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRINSEO OP / TRINSEO FIN                      | Trinseo Materials Operating SCA / Trinseo Materials Finance Inc                  | CUSIP: 89668QAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     50000 | PA      | $32451.00     | 0.01%             | 2029-04-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                         | DUALDIGI AUDUSD 0.6000 USDJPY 125                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |    175000 | NC      | $1535.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1902.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                        | Telecom Italia Capital SA                                                        | CUSIP: 87927VAF5<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     70000 | PA      | $57374.10     | 0.02%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU                      | Celulosa Arauco y Constitucion SA                                                | CUSIP: 151191BE2<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $187567.88    | 0.08%             | 2029-04-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS                      | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed   | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $57068.38     | 0.02%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Elia Group SA/NV                              | Elia Group SA/NV                                                                 | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Long             | EC               | CORP              | BE        |       254 | NS      | $36109.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                          | Howmet Aerospace Inc                                                             | CUSIP: 013817AJ0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69720.70     | 0.03%             | 2027-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION     | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -8725000 | NC      | $-97524.13    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66560.38     | 0.03%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                          | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2541845 | PA      | $8951.36      | 0.00%             | 2029-04-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Philip Morris International In                | Philip Morris International Inc                                                  | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |      5708 | NS      | $577706.68    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Consolidated Edison Inc                       | Consolidated Edison Inc                                                          | CUSIP: 209115104<br>LEI: 54930033SBW53OO8T749 | Long             | EC               | CORP              | US        |      2105 | NS      | $200627.55    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| POST HOLDINGS INC                             | Post Holdings Inc                                                                | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60537.75     | 0.03%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Japan Post Holdings Co Ltd                    | Japan Post Holdings Co Ltd                                                       | CUSIP: 000000000<br>LEI: 5299003D9N4JBS256X18 | Long             | EC               | CORP              | JP        |     12900 | NS      | $108540.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    208000 | PA      | $207293.12    | 0.09%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                               | Murphy Oil Corp                                                                  | CUSIP: 626717AN2<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67478.58     | 0.03%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USS Co Ltd                                    | USS Co Ltd                                                                       | CUSIP: 000000000<br>LEI: 5299000RRQD6UZXG4W72 | Long             | EC               | CORP              | JP        |      3500 | NS      | $55534.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                   | PepsiCo Inc                                                                      | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |      1851 | NS      | $334401.66    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                              | Freddie Mac Strips                                                               | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177870 | PA      | $24738.74     | 0.01%             | 2036-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                  | Entegris Inc                                                                     | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57086.75     | 0.02%             | 2029-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| Constellation Brands Inc                      | Constellation Brands Inc                                                         | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |      5077 | NS      | $1176594.75   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Thales SA                                     | Thales SA                                                                        | CUSIP: 000000000<br>LEI: 529900FNDVTQJOVVPZ19 | Long             | EC               | CORP              | FR        |       527 | NS      | $67333.93     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6442.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                            | Wendy's Funding LLC                                                              | CUSIP: 95058XAG3<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    227500 | PA      | $210162.88    | 0.09%             | 2049-06-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                      | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62614.43     | 0.03%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $62010.30     | 0.03%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                      | Neuberger Berman Loan Advisers CLO 25 Ltd                                        | CUSIP: 64131JAQ9<br>LEI: 549300YJLHTYDSFV8K03 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $948997.00    | 0.39%             | 2029-10-18      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp                 | First American Financial Corp                                                    | CUSIP: 31847R102<br>LEI: 549300B6VEZK3N0A1P55 | Long             | EC               | CORP              | US        |      2081 | NS      | $108919.54    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Products and Chemicals Inc                | Air Products and Chemicals Inc                                                   | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |      1258 | NS      | $387791.08    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137ACP94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590638 | PA      | $30551.74     | 0.01%             | 2041-01-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                              | Paramount Global                                                                 | CUSIP: 92556HAE7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    280000 | PA      | $229314.20    | 0.09%             | 2062-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7568472 | PA      | $254670.40    | 0.11%             | 2052-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin                | GM Financial Automobile Leasing Trust 2022-3                                     | CUSIP: 380130AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $391019.56    | 0.16%             | 2026-08-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                  | Comcast Corp                                                                     | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |     16428 | NS      | $574487.16    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| MTR Corp Ltd                                  | MTR Corp Ltd                                                                     | CUSIP: 000000000<br>LEI: 254900IH4U9NHH9AQM97 | Long             | EC               | CORP              | HK        |     16000 | NS      | $84621.65     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238000 | PA      | $168354.86    | 0.07%             | 2050-11-27      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PART LP                         | CNX Midstream Partners LP                                                        | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $57537.55     | 0.02%             | 2030-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                             | EOG Resources Inc                                                                | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |      2221 | NS      | $287663.92    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| AMN HEALTHCARE INC                            | AMN Healthcare Inc                                                               | CUSIP: 00175PAB9<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64665.30     | 0.03%             | 2027-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                      | Capital One Financial Corp                                                       | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    407000 | PA      | $397768.52    | 0.16%             | 2025-05-09      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                             | Lam Research Corp                                                                | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |       474 | NS      | $199222.20    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc                                    | AbbVie Inc                                                                       | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |      1515 | NS      | $244839.15    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                      | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp               | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $56618.10     | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 31                | Octagon Investment Partners 31 Ltd                                               | CUSIP: 67575XAS0<br>LEI: 5493003JSU68UU09PZ63 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $554015.42    | 0.23%             | 2030-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| EMBARQ CORP                                   | Embarq Corp                                                                      | CUSIP: 29078EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $32704.35     | 0.01%             | 2036-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITI GRP/UNITI HLD/CSL                       | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC                      | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $44385.54     | 0.02%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 31394EJN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859100 | PA      | $80439.14     | 0.03%             | 2035-07-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-5303.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                      | Hess Midstream Operations LP                                                     | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $59938.97     | 0.02%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                       | Bristol-Myers Squibb Co                                                          | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |      8165 | NS      | $587471.75    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMSCOPE TECH LLC                            | CommScope Technologies LLC                                                       | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |     70000 | PA      | $47654.71     | 0.02%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Palo Alto Networks Inc                        | Palo Alto Networks Inc                                                           | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Long             | EC               | CORP              | US        |      4315 | NS      | $602115.10    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136B3TM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178132 | PA      | $11443.94     | 0.00%             | 2048-12-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                       | Eni SpA                                                                          | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |      8929 | NS      | $126965.17    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                           | Deutsche Telekom AG                                                              | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | EC               | CORP              | DE        |      3347 | NS      | $66593.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| VIASAT INC                                    | Viasat Inc                                                                       | CUSIP: 92552VAK6<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65055.73     | 0.03%             | 2025-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $73656.55     | 0.03%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                | Microsoft Corp                                                                   | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     21038 | NS      | $5045333.16   | 2.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Prologis Inc                                  | Prologis Inc                                                                     | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |      4909 | NS      | $553391.57    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Mosaic Solar Loans LLC                        | Mosaic Solar Loans 2017-2 LLC                                                    | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470110 | PA      | $436280.35    | 0.18%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Eiffage SA                                    | Eiffage SA                                                                       | CUSIP: 000000000<br>LEI: 969500OQXKE5WDM9M994 | Long             | EC               | CORP              | FR        |       745 | NS      | $73281.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                      | Midcap Financial Issuer Trust                                                    | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $30151.28     | 0.01%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                              | Altria Group Inc                                                                 | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |      9266 | NS      | $423548.86    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-536.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                       | Flagstar Mortgage Trust 2017-1                                                   | CUSIP: 33850BAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819852 | PA      | $698144.02    | 0.29%             | 2047-03-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT              | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        | -21591100 | NC      | $12797.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WW Grainger Inc                               | WW Grainger Inc                                                                  | CUSIP: 384802104<br>LEI: 549300TWZSP6O1IH2V34 | Long             | EC               | CORP              | US        |       345 | NS      | $191906.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Silver Creek CLO                              | Silver Creek CLO Ltd                                                             | CUSIP: 827551AQ5<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $484981.50    | 0.20%             | 2030-07-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Life Storage Inc                              | Life Storage Inc                                                                 | CUSIP: 53223X107<br>LEI: W9EE01AFDDF9DQCQZC68 | Long             | EC               | CORP              | US        |      1861 | NS      | $183308.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| KeyCorp                                       | KeyCorp                                                                          | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |      6533 | NS      | $113804.86    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651AAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15244 | PA      | $15031.29     | 0.01%             | 2049-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                      | Global Infrastructure Solutions Inc                                              | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55000.29     | 0.02%             | 2029-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                              | Taseko Mines Ltd                                                                 | CUSIP: 876511AF3<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $61641.25     | 0.03%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dow Inc                                       | Dow Inc                                                                          | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |      6331 | NS      | $319019.09    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington H Soul Pattinson &                 | Washington H Soul Pattinson & Co Ltd                                             | CUSIP: 000000000<br>LEI: 549300G2Q3P6ZVNC1465 | Long             | EC               | CORP              | AU        |      2027 | NS      | $38029.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| ADAMS HOMES INC                               | Adams Homes Inc                                                                  | CUSIP: 00623PAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $59732.58     | 0.02%             | 2025-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                              | Exxon Mobil Corp                                                                 | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |      2026 | NS      | $223467.80    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136ABHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3068329 | PA      | $341421.05    | 0.14%             | 2043-01-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.               | CDS PRU                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-13813.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                        | VistaJet Malta Finance PLC / XO Management Holding Inc                           | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     70000 | PA      | $56218.75     | 0.02%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| CUSHMAN & WAKEFIELD US                        | Cushman & Wakefield US Borrower LLC                                              | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $66928.75     | 0.03%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Boerse AG                            | Deutsche Boerse AG                                                               | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | Long             | EC               | CORP              | DE        |       370 | NS      | $63710.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                 | DISH DBS Corp                                                                    | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $45288.95     | 0.02%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                          | Bank of America Corp                                                             | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2391000 | PA      | $2285520.75   | 0.94%             | 2026-04-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Zurich Insurance Group AG                     | Zurich Insurance Group AG                                                        | CUSIP: 000000000<br>LEI: 529900QVNRBND50TXP03 | Long             | EC               | CORP              | CH        |       408 | NS      | $195055.56    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Woodside Energy Group Ltd                     | Woodside Energy Group Ltd                                                        | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Long             | EC               | CORP              | AU        |      6180 | NS      | $149668.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Allstate Corp/The                             | Allstate Corp/The                                                                | CUSIP: 020002101<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | EC               | CORP              | US        |      2600 | NS      | $352560.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    384000 | PA      | $375953.23    | 0.16%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| ARKO CORP                                     | Arko Corp                                                                        | CUSIP: 041242AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $51122.50     | 0.02%             | 2029-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137AXRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1821172 | PA      | $71887.51     | 0.03%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651ABC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561903 | PA      | $495578.44    | 0.20%             | 2049-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2019-2                                                    | CUSIP: 81746YCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086512 | PA      | $913411.30    | 0.38%             | 2049-06-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                | Sofi Professional Loan Program 2019-C LLC                                        | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $471790.56    | 0.19%             | 2048-11-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243796 | PA      | $205389.15    | 0.08%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KPN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $516164.70    | 0.21%             | 2041-12-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                         | Freedom Mortgage Corp                                                            | CUSIP: 35640YAG2<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23385.03     | 0.01%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Bank Leumi Le-Israel BM                       | Bank Leumi Le-Israel BM                                                          | CUSIP: 000000000<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | EC               | CORP              | IL        |     10071 | NS      | $83879.42     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Service Corp International/US                 | Service Corp International/US                                                    | CUSIP: 817565104<br>LEI: 549300RKVM2ME20JHZ15 | Long             | EC               | CORP              | US        |      4219 | NS      | $291701.66    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercedes-Benz Group AG                        | Mercedes-Benz Group AG                                                           | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |      1706 | NS      | $111563.38    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CSX Corp                                      | CSX Corp                                                                         | CUSIP: 126408103<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | EC               | CORP              | US        |      3026 | NS      | $93745.48     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                      | Western Midstream Operating LP                                                   | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58274.65     | 0.02%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     85300 | PA      | $84746.88     | 0.04%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                          | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2837168 | PA      | $8514.48      | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                      | United Natural Foods Inc                                                         | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43309.35     | 0.02%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136ACTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2010210 | PA      | $60717.58     | 0.03%             | 2041-05-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Prosperity Bancshares Inc                     | Prosperity Bancshares Inc                                                        | CUSIP: 743606105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3526 | NS      | $256269.68    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                      | USD CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |  -1527000 | NC      | $-36632.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Iberdrola SA                                  | Iberdrola SA                                                                     | CUSIP: 000000000<br>LEI: 5QK37QC7NWOJ8D7WVQ45 | Long             | EC               | CORP              | ES        |     11221 | NS      | $130987.88    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       290 | NC      | $-27810.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management                   | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    689148 | PA      | $529898.57    | 0.22%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AECOM                                         | AECOM                                                                            | CUSIP: 00766T100<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | EC               | CORP              | US        |      1891 | NS      | $160602.63    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management                   | RCKT Mortgage Trust 2021-1                                                       | CUSIP: 749350BL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476276 | PA      | $326977.29    | 0.14%             | 2051-03-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137BQNR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2392995 | PA      | $414741.41    | 0.17%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2019-R02                                     | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40179 | PA      | $40133.44     | 0.02%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                    | Humana Inc                                                                       | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |      1950 | NS      | $998770.50    | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust                       | Flagstar Mortgage Trust 2018-3                                                   | CUSIP: 33851JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415266 | PA      | $381810.04    | 0.16%             | 2048-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                            | Murphy Oil USA Inc                                                               | CUSIP: 626738AD0<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68091.10     | 0.03%             | 2027-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192513.76    | 0.08%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                      | MPH Acquisition Holdings LLC                                                     | CUSIP: 553283AC6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     70000 | PA      | $46704.85     | 0.02%             | 2028-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Crowdstrike Holdings Inc                      | Crowdstrike Holdings Inc                                                         | CUSIP: 22788C105<br>LEI: 549300YBY08K9KM4HX32 | Long             | EC               | CORP              | US        |      2525 | NS      | $265857.25    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Dai Nippon Printing Co Ltd                    | Dai Nippon Printing Co Ltd                                                       | CUSIP: 000000000<br>LEI: 529900S7NFNQ4FT6OP83 | Long             | EC               | CORP              | JP        |      1900 | NS      | $38170.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                      | Neuberger Berman CLO XVII Ltd                                                    | CUSIP: 64129UBW4<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $715488.75    | 0.30%             | 2029-04-22      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                | Benefit Street Partners CLO XXIII Ltd                                            | CUSIP: 08186VAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $376601.20    | 0.16%             | 2034-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $59511.88     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICL Group Ltd                                 | ICL Group Ltd                                                                    | CUSIP: 000000000<br>LEI: 529900FQVQD88SHIGM04 | Long             | EC               | CORP              | IL        |      1599 | NS      | $11553.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MSCI Inc                                      | MSCI Inc                                                                         | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |      1114 | NS      | $518199.38    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| NetApp Inc                                    | NetApp Inc                                                                       | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |      3399 | NS      | $204143.94    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Genpact Ltd                                   | Genpact Ltd                                                                      | CUSIP: 000000000<br>LEI: 529900OSEC6Q0L4L5B35 | Long             | EC               | CORP              | US        |      5170 | NS      | $239474.40    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4273164 | PA      | $501813.70    | 0.21%             | 2035-05-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                | Freddie Mac Multiclass Certificates Series 2021-P011                             | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1141807 | PA      | $145771.24    | 0.06%             | 2045-09-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| URBAN ONE INC                                 | Urban One Inc                                                                    | CUSIP: 91705JAC9<br>LEI: 549300PLGIGPBRQUP240 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59259.20     | 0.02%             | 2028-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                           | LBM Acquisition LLC                                                              | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44635.61     | 0.02%             | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | DUALDIGI USDCNH 7.2 USDJPY 131.5                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |     66000 | NC      | $2762.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                      | Banco Nacional de Panama                                                         | CUSIP: 000000000<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    200000 | PA      | $160655.00    | 0.07%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                     | Towd Point Mortgage Trust 2015-4                                                 | CUSIP: 89171UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1944376.20   | 0.80%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137AVDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2483358 | PA      | $158751.67    | 0.07%             | 2032-10-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                   | Walmart Inc                                                                      | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |      3544 | NS      | $502503.76    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTENE CORP                                  | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27570.38     | 0.01%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                       | Dryden 87 CLO Ltd                                                                | CUSIP: 26246GAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $931186.00    | 0.38%             | 2034-05-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| iShares MSCI EAFE Value ETF                   | iShares MSCI EAFE Value ETF                                                      | CUSIP: 464288877<br>LEI: 549300AN74D4XJZB8Y40 | Long             | EC               | RF                | US        |       391 | NS      | $17939.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLIED UNIVERSAL                              | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22926.50     | 0.01%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                 | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780872 | PA      | $589044.49    | 0.24%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Ono Pharmaceutical Co Ltd                     | Ono Pharmaceutical Co Ltd                                                        | CUSIP: 000000000<br>LEI: 529900G26L4NG4GFJZ86 | Long             | EC               | CORP              | JP        |      2800 | NS      | $65446.05     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $94914.39     | 0.04%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136ARQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6871808 | PA      | $737452.55    | 0.30%             | 2046-05-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    740000 | PA      | $609921.88    | 0.25%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commerce Bancshares Inc/MO                    | Commerce Bancshares Inc/MO                                                       | CUSIP: 200525103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3577 | NS      | $243486.39    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Advanced Micro Devices Inc                    | Advanced Micro Devices Inc                                                       | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |      6803 | NS      | $440630.31    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Sanofi                                        | Sanofi                                                                           | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |      2370 | NS      | $228530.17    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1201.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11852.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Swisscom AG                                   | Swisscom AG                                                                      | CUSIP: 000000000<br>LEI: 5493005SL9HHOXS3B739 | Long             | EC               | CORP              | CH        |       179 | NS      | $98058.21     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                 | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42942 | PA      | $40632.14     | 0.02%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                  | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13602054 | PA      | $621607.74    | 0.26%             | 2052-05-10      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92000 | PA      | $77845.21     | 0.03%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GC TREASURY CENTRE CO                         | GC Treasury Center Co Ltd                                                        | CUSIP: 36830BAD7<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |    225000 | PA      | $199886.63    | 0.08%             | 2032-03-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                | Eli Lilly & Co                                                                   | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |      5629 | NS      | $2059313.36   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| GFL ENVIRONMENTAL INC                         | GFL Environmental Inc                                                            | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $59942.05     | 0.02%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                     | Shell PLC                                                                        | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |      2503 | NS      | $70561.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                      | Occidental Petroleum Corp                                                        | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72494.45     | 0.03%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Banque Cantonale Vaudoise                     | Banque Cantonale Vaudoise                                                        | CUSIP: 000000000<br>LEI: K1MOBB3OPSBBQO554R76 | Long             | EC               | CORP              | CH        |       516 | NS      | $49472.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   1118300 | NC      | $9146.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Unilever PLC                                  | Unilever PLC                                                                     | CUSIP: 000000000<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |      1316 | NS      | $66442.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                | WFRBS Commercial Mortgage Trust 2013-C14                                         | CUSIP: 92890PBG8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $844544.45    | 0.35%             | 2046-06-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK FINANCIAL INC.                  | NATIONAL BANK FINANCIAL                                                          | CUSIP: 000000000<br>LEI: 549300D83GR71RNG0O65 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                             | Chord Energy Corp                                                                | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68272.40     | 0.03%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Expedia Group Inc                             | Expedia Group Inc                                                                | CUSIP: 30212P303<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3736 | NS      | $327273.60    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc                                    | Pfizer Inc                                                                       | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |     17698 | NS      | $906845.52    | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                      | Benchmark 2018-B3 Mortgage Trust                                                 | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $674714.10    | 0.28%             | 2051-04-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Secom Co Ltd                                  | Secom Co Ltd                                                                     | CUSIP: 000000000<br>LEI: 529900TYCL9N3E9PGE47 | Long             | EC               | CORP              | JP        |      1300 | NS      | $74175.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                      | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                        | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $198419.00    | 0.08%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                  | Chevron Corp                                                                     | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1730 | NS      | $310517.70    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE                        | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $63902.72     | 0.03%             | 2026-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLP Holdings Ltd                              | CLP Holdings Ltd                                                                 | CUSIP: 000000000<br>LEI: 25490002BUTSMP94GO68 | Long             | EC               | CORP              | HK        |      8500 | NS      | $61927.37     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $885619.00    | 0.37%             | 2041-12-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Sun Hung Kai Properties Ltd                   | Sun Hung Kai Properties Ltd                                                      | CUSIP: 000000000<br>LEI: 529900LUMD393RD3S874 | Long             | EC               | CORP              | HK        |      7500 | NS      | $102445.29    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTA EQUIPMENT GROUP                          | Alta Equipment Group Inc                                                         | CUSIP: 02128LAA4<br>LEI: 549300DGOB28CLGS1X27 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63292.59     | 0.03%             | 2026-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | JPY CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |    855000 | NC      | $17486.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Holding Co                | Booz Allen Hamilton Holding Corp                                                 | CUSIP: 099502106<br>LEI: 529900JPV47PIUWMA015 | Long             | EC               | CORP              | US        |      3703 | NS      | $387037.56    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MCGRAW-HILL EDUCATION                         | McGraw-Hill Education Inc                                                        | CUSIP: 57767XAB6<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62120.06     | 0.03%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                         | Tenet Healthcare Corp                                                            | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62820.10     | 0.03%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| MF1 Multifamily Housing Mortga                | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    182000 | PA      | $169632.11    | 0.07%             | 2036-07-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                | Morgan Stanley                                                                   | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |      2015 | NS      | $171315.30    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Amdocs Ltd                                    | Amdocs Ltd                                                                       | CUSIP: 000000000<br>LEI: 549300HQV672RJ7RQV66 | Long             | EC               | CORP              | US        |      3344 | NS      | $303969.60    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176000 | PA      | $98417.72     | 0.04%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Japan Post Bank Co Ltd                        | Japan Post Bank Co Ltd                                                           | CUSIP: 000000000<br>LEI: 5493006JVO6N2HC2XZ76 | Long             | EC               | CORP              | JP        |     10200 | NS      | $87444.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: —       |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - EUR                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3179.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Chemical Co Ltd                      | Sumitomo Chemical Co Ltd                                                         | CUSIP: 000000000<br>LEI: 353800RSAU9BD8U4DM91 | Long             | EC               | CORP              | JP        |      6200 | NS      | $22230.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                | Government National Mortgage Association                                         | CUSIP: 38379JJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4806809 | PA      | $370836.69    | 0.15%             | 2030-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Novartis AG                                   | Novartis AG                                                                      | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |      4392 | NS      | $397464.82    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| National Retail Properties Inc                | National Retail Properties Inc                                                   | CUSIP: 637417106<br>LEI: 5493008JKH5SOTI0JS97 | Long             | EC               | CORP              | US        |      5884 | NS      | $269251.84    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Bureau Veritas SA                             | Bureau Veritas SA                                                                | CUSIP: 000000000<br>LEI: 969500TPU5T3HA5D1F11 | Long             | EC               | CORP              | FR        |       918 | NS      | $24192.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                               | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3261152 | PA      | $640357.12    | 0.26%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                | Home Depot Inc/The                                                               | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    225000 | PA      | $174863.78    | 0.07%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Iridium Communications Inc                    | Iridium Communications Inc                                                       | CUSIP: 46269C102<br>LEI: 549300U620NVQ4J1CT96 | Long             | EC               | CORP              | US        |      4344 | NS      | $223281.60    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                | CURRENCY CONTRACT - EUR                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1915.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Loews Corp                                    | Loews Corp                                                                       | CUSIP: 540424108<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | EC               | CORP              | US        |      4673 | NS      | $272576.09    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Elevance Health Inc                           | Elevance Health Inc                                                              | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |       558 | NS      | $286237.26    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Popular Inc                                   | Popular Inc                                                                      | CUSIP: 733174700<br>LEI: 5493008CARDZMVQ3LO89 | Long             | EC               | CORP              | PR        |      3046 | NS      | $202010.72    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Ross Stores Inc                               | Ross Stores Inc                                                                  | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |      3401 | NS      | $394754.07    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Hancock Whitney Corp                          | Hancock Whitney Corp                                                             | CUSIP: 410120109<br>LEI: 549300GRNBWY8HIICT41 | Long             | EC               | CORP              | US        |      3791 | NS      | $183446.49    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                   | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1839750.73   | 0.76%             | 2026-07-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                       | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $48130.15     | 0.02%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTN                      | Encino Acquisition Partners Holdings LLC                                         | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64069.95     | 0.03%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Quanta Services Inc                           | Quanta Services Inc                                                              | CUSIP: 74762E102<br>LEI: SHVRXXEACT60MMH07S24 | Long             | EC               | CORP              | US        |      4868 | NS      | $693690.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                   | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5830.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                      | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3236565 | PA      | $251397.75    | 0.10%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-28437.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                | Benefit Street Partners CLO II Ltd                                               | CUSIP: 08179XBC8<br>LEI: 549300PVYNJC7QL0GC48 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $727500.00    | 0.30%             | 2029-07-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                 | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16051901 | PA      | $701799.54    | 0.29%             | 2072-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136AHC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4431484 | PA      | $401710.89    | 0.17%             | 2044-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co                 | Hewlett Packard Enterprise Co                                                    | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Long             | EC               | CORP              | US        |     10848 | NS      | $173134.08    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ACADEMY LTD                                   | Academy Ltd                                                                      | CUSIP: 00401YAA8<br>LEI: 549300BN53IR80C35Z14 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67116.41     | 0.03%             | 2027-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49000 | PA      | $39985.68     | 0.02%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSENSUS CLOUD SOLUTION                      | Consensus Cloud Solutions Inc                                                    | CUSIP: 20848VAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $64474.80     | 0.03%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Telia Co AB                                   | Telia Co AB                                                                      | CUSIP: 000000000<br>LEI: 213800FSR9RNDUOTXO25 | Long             | EC               | CORP              | SE        |      8836 | NS      | $22578.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2022-R08                                     | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $695299.22    | 0.29%             | 2042-07-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                           | Viavi Solutions Inc                                                              | CUSIP: 925550AF2<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58946.97     | 0.02%             | 2029-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                      | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2094730 | PA      | $127204.80    | 0.05%             | 2054-03-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| American Financial Group Inc/O                | American Financial Group Inc/OH                                                  | CUSIP: 025932104<br>LEI: 549300AFOM7IVKIU1G39 | Long             | EC               | CORP              | US        |       483 | NS      | $66306.24     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEOS Holdings Inc                            | ENEOS Holdings Inc                                                               | CUSIP: 000000000<br>LEI: 3538001KQ5SAOZSQTT44 | Long             | EC               | CORP              | JP        |     25700 | NS      | $87519.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PPL Corp                                      | PPL Corp                                                                         | CUSIP: 69351T106<br>LEI: 9N3UAJSNOUXFKQLF3V18 | Long             | EC               | CORP              | US        |     10155 | NS      | $296729.10    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown Castle Inc                              | Crown Castle Inc                                                                 | CUSIP: 22822V101<br>LEI: 54930012H97VSM0I2R19 | Long             | EC               | CORP              | US        |      1680 | NS      | $227875.20    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                | Government National Mortgage Association                                         | CUSIP: 38379LAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354967 | PA      | $28837.19     | 0.01%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                        | UnitedHealth Group Inc                                                           | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      1940 | NS      | $1028549.20   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2017-5                                                  | CUSIP: 46590YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840392 | PA      | $753203.78    | 0.31%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                       | Flagstar Mortgage Trust 2017-1                                                   | CUSIP: 33850BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202251 | PA      | $180444.99    | 0.07%             | 2047-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                        | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KBK5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    275000 | PA      | $250329.18    | 0.10%             | 2079-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                               | BAE Systems PLC                                                                  | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |     10041 | NS      | $103708.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                       | Marathon Petroleum Corp                                                          | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |      3626 | NS      | $422030.14    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| OLIN CORP                                     | OLIN CORP                                                                        | CUSIP: 680665AJ5<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66270.40     | 0.03%             | 2027-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ONE Gas Inc                                   | ONE Gas Inc                                                                      | CUSIP: 68235P108<br>LEI: 549300HXDWI0LATTX840 | Long             | EC               | CORP              | US        |      1715 | NS      | $129859.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GM Financial Securitized Term                 | GM Financial Consumer Automobile Receivables Trust 2019-3                        | CUSIP: 36257PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $497202.40    | 0.21%             | 2025-01-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Orange SA                                     | Orange SA                                                                        | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |     10268 | NS      | $101879.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORP                              | ACCO Brands Corp                                                                 | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57841.00     | 0.02%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust Inc                      | Digital Realty Trust Inc                                                         | CUSIP: 253868103<br>LEI: 549300HKCZ31D08NEI41 | Long             | EC               | CORP              | US        |      2389 | NS      | $239545.03    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| API GROUP DE INC                              | APi Group DE Inc                                                                 | CUSIP: 00185PAA9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61038.29     | 0.03%             | 2029-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | DUALDIGI AUDUSD 0.6375 USDJPY 131.5                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | GB        |     76000 | NC      | $5598.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SoftBank Corp                                 | SoftBank Corp                                                                    | CUSIP: 000000000<br>LEI: 353800M1YCTS9JRBJ535 | Long             | EC               | CORP              | JP        |     11300 | NS      | $127844.52    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                | Lowe's Cos Inc                                                                   | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    170000 | PA      | $133041.45    | 0.05%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $100701.92    | 0.04%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  -1842000 | NC      | $-41231.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                | Americredit Automobile Receivables Trust 2019-2                                  | CUSIP: 03066KAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $438305.54    | 0.18%             | 2025-06-18      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Lululemon Athletica Inc                       | Lululemon Athletica Inc                                                          | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | CA        |      2147 | NS      | $687855.86    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson & Johnson                             | Johnson & Johnson                                                                | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      7312 | NS      | $1291664.80   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| RADIATE HOLDCO / FINANCE                      | Radiate Holdco LLC / Radiate Finance Inc                                         | CUSIP: 75026JAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $51539.60     | 0.02%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                             | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -7368000 | NC      | $-282726.37   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Cullen/Frost Bankers Inc                      | Cullen/Frost Bankers Inc                                                         | CUSIP: 229899109<br>LEI: 529900V2E9G9AY665O34 | Long             | EC               | CORP              | US        |      1875 | NS      | $250687.50    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                | Government National Mortgage Association                                         | CUSIP: 38381RPA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4904489 | PA      | $79498.82     | 0.03%             | 2042-03-20      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                    | Applebee's Funding LLC / IHOP Funding LLC                                        | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396000 | PA      | $390350.74    | 0.16%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 31397HE46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451501 | PA      | $29400.81     | 0.01%             | 2037-05-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |   3341000 | NC      | $5060.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elbit Systems Ltd                             | Elbit Systems Ltd                                                                | CUSIP: 000000000<br>LEI: 529900Q9CB1REUMZSS32 | Long             | EC               | CORP              | IL        |       271 | NS      | $44073.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - EUR                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2300.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-4507.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $5404.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCTAGON LOAN FUNDING LTD                      | Octagon Loan Funding Ltd                                                         | CUSIP: 67590RBE4<br>LEI: 549300HJJWTCMWFILG24 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $232060.25    | 0.10%             | 2031-11-18      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                          | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $101672.99    | 0.04%             | 2029-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REAL HERO MERGER SUB 2                        | Real Hero Merger Sub 2 Inc                                                       | CUSIP: 75602BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $48076.00     | 0.02%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    122000 | PA      | $109075.63    | 0.05%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                   | Aker BP ASA                                                                      | CUSIP: 000000000<br>LEI: 549300NFTY73920OYK69 | Long             | EC               | CORP              | NO        |       415 | NS      | $12899.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                           | Dominion Energy Inc                                                              | CUSIP: 25746UDD8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    338000 | PA      | $297440.00    | 0.12%             | N/A             | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT              | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -3684000 | NC      | $-146961.45   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2022-R06                                     | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $511072.90    | 0.21%             | 2042-05-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                           | Medline Borrower LP                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56542.15     | 0.02%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Leidos Holdings Inc                           | Leidos Holdings Inc                                                              | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |      2174 | NS      | $228683.06    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Axis Capital Holdings Ltd                     | Axis Capital Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |      3577 | NS      | $193766.09    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Real Estate Holdings In                | Nomura Real Estate Holdings Inc                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      2300 | NS      | $49180.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hankyu Hanshin Holdings Inc                   | Hankyu Hanshin Holdings Inc                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      2200 | NS      | $65180.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA/AMERICA                      | Nufarm Australia Ltd / Nufarm Americas Inc                                       | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     60000 | PA      | $52070.40     | 0.02%             | 2030-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP/CO-ISSUER                       | Realogy Group LLC / Realogy Co-Issuer Corp                                       | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $53038.30     | 0.02%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARETEC ESCROW ISSUER INC                      | Aretec Escrow Issuer Inc                                                         | CUSIP: 040133AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $57922.07     | 0.02%             | 2029-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ANZ Group Holdings Ltd                        | ANZ Group Holdings Ltd                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |      7925 | NS      | $127663.32    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                      | USD CALL VERSUS GBP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   1526875 | NC      | $100.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                           | Imperial Brands PLC                                                              | CUSIP: 000000000<br>LEI: 549300DFVPOB67JL3A42 | Long             | EC               | CORP              | GB        |      4191 | NS      | $104403.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Yamato Holdings Co Ltd                        | Yamato Holdings Co Ltd                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      3100 | NS      | $49123.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Poste Italiane SpA                            | Poste Italiane SpA                                                               | CUSIP: 000000000<br>LEI: 815600354DEDBD0BA991 | Long             | EC               | CORP              | IT        |      7003 | NS      | $68324.33     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4188.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                 | GS Mortgage-Backed Securities Trust 2020-NQM1                                    | CUSIP: 36259WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227404 | PA      | $199895.99    | 0.08%             | 2060-09-27      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | CBOT 10 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -280 | NC      | $92370.40     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTRESS TRANS & INFRAST                      | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59810.10     | 0.02%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION     | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -3684000 | NC      | $-44944.08    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Juniper Networks Inc                          | Juniper Networks Inc                                                             | CUSIP: 48203R104<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | EC               | CORP              | US        |      8449 | NS      | $270030.04    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Transurban Group                              | Transurban Group                                                                 | CUSIP: 000000000<br>LEI: 549300ZR71SUQ4VUTM79 | Long             | EC               | CORP              | AU        |      9844 | NS      | $86606.24     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T Inc                                      | AT&T Inc                                                                         | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |     29628 | NS      | $545451.48    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Atmos Energy Corp                             | Atmos Energy Corp                                                                | CUSIP: 049560105<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | EC               | CORP              | US        |       496 | NS      | $55586.72     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INSTALLED BUILDING PRODU                      | Installed Building Products Inc                                                  | CUSIP: 45780RAA9<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63050.80     | 0.03%             | 2028-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE                          | Wolverine World Wide Inc                                                         | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53132.10     | 0.02%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortg                | CSWF 2021-SOP2                                                                   | CUSIP: 12657VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $502789.68    | 0.21%             | 2034-06-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Old Republic International Cor                | Old Republic International Corp                                                  | CUSIP: 680223104<br>LEI: 549300IV6O2YY2A1KH37 | Long             | EC               | CORP              | US        |     10785 | NS      | $260457.75    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                   | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |  -1118300 | NC      | $-12759.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hannover Rueck SE                             | Hannover Rueck SE                                                                | CUSIP: 000000000<br>LEI: 529900KIN5BE45V5KB18 | Long             | EC               | CORP              | DE        |       357 | NS      | $70438.62     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT                                           | Nippon Telegraph & Telephone Corp                                                | CUSIP: 000000000<br>LEI: 353800VHQU5VIXVUA841 | Long             | EC               | CORP              | JP        |       700 | NS      | $19962.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Oji Holdings Corp                             | Oji Holdings Corp                                                                | CUSIP: 000000000<br>LEI: 529900LVC9GIIYUGE243 | Long             | EC               | CORP              | JP        |     10300 | NS      | $41601.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                       | Hundred Acre Wood Trust 2021-INV1                                                | CUSIP: 44590HBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842836 | PA      | $645973.25    | 0.27%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                   | Gap Inc/The                                                                      | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |     70000 | PA      | $48935.95     | 0.02%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| National Instruments Corp                     | National Instruments Corp                                                        | CUSIP: 636518102<br>LEI: 549300TP4OOPCYWDUP86 | Long             | EC               | CORP              | US        |      4776 | NS      | $176234.40    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Collateralized Lo                | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $232084.60    | 0.10%             | 2036-11-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                       | Duke Energy Florida LLC                                                          | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     74000 | PA      | $62399.58     | 0.03%             | 2048-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GEA Group AG                                  | GEA Group AG                                                                     | CUSIP: 000000000<br>LEI: 549300PHUU0ZZWO8EO07 | Long             | EC               | CORP              | DE        |       383 | NS      | $15575.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137BLSR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1538260 | PA      | $12639.72     | 0.01%             | 2043-04-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Flowers Foods Inc                             | Flowers Foods Inc                                                                | CUSIP: 343498101<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | EC               | CORP              | US        |     10117 | NS      | $290762.58    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - CAD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1789.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $26886.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $194771.86    | 0.08%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                          | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517178 | PA      | $405371.48    | 0.17%             | 2038-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty Corp                            | Kilroy Realty Corp                                                               | CUSIP: 49427F108<br>LEI: 549300CXXI18B214UN80 | Long             | EC               | CORP              | US        |      4885 | NS      | $188902.95    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | CBOT 5 Year US Treasury Note                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       311 | NC      | $-141225.01   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| DELTA AIR LINES INC                           | Delta Air Lines Inc                                                              | CUSIP: 247361ZN1<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62510.29     | 0.03%             | 2028-04-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153000 | PA      | $124092.61    | 0.05%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY P                              | Colgate Energy Partners III LLC                                                  | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60211.24     | 0.02%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ferrovial SA                                  | Ferrovial SA                                                                     | CUSIP: 000000000<br>LEI: 95980020140005757903 | Long             | EC               | CORP              | ES        |      3319 | NS      | $86900.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HO                      | PECF USS Intermediate Holding III Corp                                           | CUSIP: 69291HAA3<br>LEI: 254900DIL842DEXPYJ91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $45569.30     | 0.02%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Inc                            | Domino's Pizza Inc                                                               | CUSIP: 25754A201<br>LEI: 25490005ZWM1IF9UXU57 | Long             | EC               | CORP              | US        |      1428 | NS      | $494659.20    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Koninklijke Ahold Delhaize NV                 | Koninklijke Ahold Delhaize NV                                                    | CUSIP: 000000000<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |      4020 | NS      | $115579.74    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                           | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $471899.20    | 0.19%             | 2033-08-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                | Morgan Stanley Capital I Trust 2016-BNK2                                         | CUSIP: 61690YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955000 | PA      | $1434188.20   | 0.59%             | 2049-11-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Caterpillar Inc                               | Caterpillar Inc                                                                  | CUSIP: 149123101<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | EC               | CORP              | US        |       724 | NS      | $173441.44    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| General Mills Inc                             | General Mills Inc                                                                | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |      4598 | NS      | $385542.30    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Liquide SA                                | Air Liquide SA                                                                   | CUSIP: 000000000<br>LEI: 969500MMPQVHK671GT54 | Long             | EC               | CORP              | FR        |       544 | NS      | $77212.59     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                            | Shackleton 2019-XV CLO Ltd                                                       | CUSIP: 81883MAQ6<br>LEI: 549300O6RVX5OXLL7335 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $521349.40    | 0.22%             | 2032-01-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                             | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   1676000 | NC      | $-1755.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                           | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    185000 | PA      | $145632.37    | 0.06%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| HCA INC                                       | HCA Inc                                                                          | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60537.80     | 0.03%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                           | Sirius XM Radio Inc                                                              | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64859.28     | 0.03%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2016-4                                                  | CUSIP: 46647JAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415877 | PA      | $369481.59    | 0.15%             | 2046-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                      | OHA Credit Funding 8 Ltd                                                         | CUSIP: 67707GAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $235930.25    | 0.10%             | 2034-01-18      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $15271.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CPI CG INC                                    | CPI CG Inc                                                                       | CUSIP: 12598FAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $63192.80     | 0.03%             | 2026-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                | BNP Paribas SA                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |       514 | NS      | $29266.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $21209.49     | 0.01%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $19643.07     | 0.01%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                        | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC            | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $50471.40     | 0.02%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                            | Walt Disney Co/The                                                               | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |      3055 | NS      | $265418.40    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NETFLIX INC                                   | Netflix Inc                                                                      | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45721.35     | 0.02%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET & CO                        | Victoria's Secret & Co                                                           | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55048.00     | 0.02%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Tyson Foods Inc                               | Tyson Foods Inc                                                                  | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |      2370 | NS      | $147532.50    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SONIC AUTOMOTIVE INC                          | Sonic Automotive Inc                                                             | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56140.55     | 0.02%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Fortive Corp                                  | Fortive Corp                                                                     | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Long             | EC               | CORP              | US        |      2885 | NS      | $185361.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank OZK                                      | Bank OZK                                                                         | CUSIP: 06417N103<br>LEI: 549300VYK2WBD7SST478 | Long             | EC               | CORP              | US        |      4244 | NS      | $170014.64    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                        | Clearway Energy Operating LLC                                                    | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64714.70     | 0.03%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |  -1118300 | NC      | $-12759.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                | William Carter Co/The                                                            | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67265.74     | 0.03%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $630175.35    | 0.26%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial Inc                      | Ameriprise Financial Inc                                                         | CUSIP: 03076C106<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | EC               | CORP              | US        |       202 | NS      | $62896.74     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS NORTH AM                       | United Rentals North America Inc                                                 | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57199.10     | 0.02%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Eaton Corp PLC                                | Eaton Corp PLC                                                                   | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | US        |      3352 | NS      | $526096.40    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136AKNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6171460 | PA      | $616985.49    | 0.25%             | 2044-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp                          | Westpac Banking Corp                                                             | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | EC               | CORP              | AU        |      6420 | NS      | $101638.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                      | Clear Channel Outdoor Holdings Inc                                               | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $51530.15     | 0.02%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                              | Duke Energy Corp                                                                 | CUSIP: 26441CBG9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    129000 | PA      | $118035.00    | 0.05%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Allianz SE                                    | Allianz SE                                                                       | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | EC               | CORP              | DE        |       976 | NS      | $208431.66    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                            | Viking Cruises Ltd                                                               | CUSIP: 92676XAD9<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     35000 | PA      | $28586.06     | 0.01%             | 2027-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                          | SRS Distribution Inc                                                             | CUSIP: 78471RAC0<br>LEI: 549300ZQ3XP75BCYM468 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56687.40     | 0.02%             | 2029-07-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1998.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCM MERGER INC                                | CCM Merger Inc                                                                   | CUSIP: 14985VAE1<br>LEI: 549300P77RSBKKFME089 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66052.70     | 0.03%             | 2026-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Otsuka Holdings Co Ltd                        | Otsuka Holdings Co Ltd                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      1600 | NS      | $52180.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| Voya High Yield Bond Fund                     | Voya High Yield Bond Fund                                                        | CUSIP: 92913L593<br>LEI: OTPD0VW0B2EUAT57PE57 | Long             | EC               | RF                | US        |    425521 | NS      | $2795671.10   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ServiceNow Inc                                | ServiceNow Inc                                                                   | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      1585 | NS      | $615407.95    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Symrise AG                                    | Symrise AG                                                                       | CUSIP: 000000000<br>LEI: 529900D82I6R9601CF26 | Long             | EC               | CORP              | DE        |       528 | NS      | $57343.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.   | CME Ultra Long Term US Treasury Bond                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -23 | NC      | $38670.04     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TELEFLEX INC                                  | Teleflex Inc                                                                     | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50304.65     | 0.02%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                              | Paramount Global                                                                 | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56545.53     | 0.02%             | 2057-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Procter & Gamble Co/The                       | Procter & Gamble Co/The                                                          | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |      2622 | NS      | $397390.32    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Baker Hughes Co                               | Baker Hughes Co                                                                  | CUSIP: 05722G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10497 | NS      | $309976.41    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| WEATHERFORD INTERNATIONA                      | Weatherford International Ltd                                                    | CUSIP: 947075AU1<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |     70000 | PA      | $67346.53     | 0.03%             | 2030-04-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                      | NCR Corp                                                                         | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58667.57     | 0.02%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                      | Sinclair Television Group Inc                                                    | CUSIP: 829259BA7<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52572.20     | 0.02%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bank                                          | BANK 2017-BNK8                                                                   | CUSIP: 06650AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $434088.44    | 0.18%             | 2050-11-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                          | Verisk Analytics Inc                                                             | CUSIP: 92345Y106<br>LEI: 549300I1YSWNIRKBWP67 | Long             | EC               | CORP              | US        |      1356 | NS      | $239225.52    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Sampo Oyj                                     | Sampo Oyj                                                                        | CUSIP: 000000000<br>LEI: 743700UF3RL386WIDA22 | Long             | EC               | CORP              | FI        |      2212 | NS      | $115531.24    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INTL                        | Williams Scotsman International Inc                                              | CUSIP: 96950GAE2<br>LEI: 549300V3TCHCBOBTGH07 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63287.00     | 0.03%             | 2028-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                      | Weekley Homes LLC / Weekley Finance Corp                                         | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $58942.85     | 0.02%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31000 | PA      | $30749.48     | 0.01%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $75299.63     | 0.03%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-36093.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $657226.60    | 0.27%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nippon Steel Corp                             | Nippon Steel Corp                                                                | CUSIP: 000000000<br>LEI: 35380065QWQ4U2V3PA33 | Long             | EC               | CORP              | JP        |      4300 | NS      | $74609.91     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                          | Lockheed Martin Corp                                                             | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |       491 | NS      | $238866.59    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| First Hawaiian Inc                            | First Hawaiian Inc                                                               | CUSIP: 32051X108<br>LEI: 5493002DJSH46F5OLV06 | Long             | EC               | CORP              | US        |      4533 | NS      | $118039.32    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | J.P. Morgan Mortgage Trust 2022-5                                                | CUSIP: 465977AY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959956 | PA      | $763367.44    | 0.32%             | 2052-09-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                      | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AC4<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60361.79     | 0.02%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Aurizon Holdings Ltd                          | Aurizon Holdings Ltd                                                             | CUSIP: 000000000<br>LEI: 5299005PC1O6NOWL3H48 | Long             | EC               | CORP              | AU        |     27168 | NS      | $68828.59     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Telenor ASA                                   | Telenor ASA                                                                      | CUSIP: 000000000<br>LEI: 549300IM1QSBY4SLPM26 | Long             | EC               | CORP              | NO        |      6909 | NS      | $64550.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Co                                 | Ford Motor Co                                                                    | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | EC               | CORP              | US        |     12816 | NS      | $149050.08    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                    | Intuit Inc                                                                       | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      1669 | NS      | $649608.18    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| HUDBAY MINERALS INC                           | Hudbay Minerals Inc                                                              | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $63669.18     | 0.03%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Obayashi Corp                                 | Obayashi Corp                                                                    | CUSIP: 000000000<br>LEI: 529900YT4O5S0LCXWD54 | Long             | EC               | CORP              | JP        |     10200 | NS      | $77046.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| AmeriCredit Automobile Receiva                | Americredit Automobile Receivables Trust 2018-2                                  | CUSIP: 03066LAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296451 | PA      | $295955.51    | 0.12%             | 2024-07-18      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                           | American Express Co                                                              | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    293000 | PA      | $287323.55    | 0.12%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                        | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292241 | PA      | $290040.49    | 0.12%             | 2032-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Tradeweb Markets Inc                          | Tradeweb Markets Inc                                                             | CUSIP: 892672106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4752 | NS      | $308547.36    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3348.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                            | Sunnova Helios IX Issuer LLC                                                     | CUSIP: 86744VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392567 | PA      | $368582.03    | 0.15%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartment Communit                | Mid-America Apartment Communities Inc                                            | CUSIP: 59522J103<br>LEI: 549300FQZKFR5YNSHZ21 | Long             | EC               | CORP              | US        |      1609 | NS      | $252596.91    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| STAPLES INC                                   | Staples Inc                                                                      | CUSIP: 855030AP7<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     70000 | PA      | $50517.60     | 0.02%             | 2027-04-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| International Bancshares Corp                 | International Bancshares Corp                                                    | CUSIP: 459044103<br>LEI: 549300Y16R531AU8TX77 | Long             | EC               | CORP              | US        |      2689 | NS      | $123048.64    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695582 | PA      | $569165.34    | 0.24%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                      | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12282587 | PA      | $632733.16    | 0.26%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $83796.55     | 0.03%             | 2050-03-01      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136AE4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2535653 | PA      | $126322.94    | 0.05%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                       | Macy's Retail Holdings LLC                                                       | CUSIP: 55617LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $58940.00     | 0.02%             | 2032-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY                       | Howard Midstream Energy Partners LLC                                             | CUSIP: 442722AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $67185.73     | 0.03%             | 2027-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                | Santander Drive Auto Receivables Trust 2019-1                                    | CUSIP: 80285HAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88796 | PA      | $88644.93     | 0.04%             | 2025-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Medibank Pvt Ltd                              | Medibank Pvt Ltd                                                                 | CUSIP: 000000000<br>LEI: BDYVSUPTML83OLINBJ17 | Long             | EC               | CORP              | AU        |     31650 | NS      | $63143.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Tosoh Corp                                    | Tosoh Corp                                                                       | CUSIP: 000000000<br>LEI: 529900YSLFVJF2MDBX02 | Long             | EC               | CORP              | JP        |      5800 | NS      | $68971.49     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Travelers Cos Inc/The                         | Travelers Cos Inc/The                                                            | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |      1836 | NS      | $344231.64    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| United Rentals Inc                            | United Rentals Inc                                                               | CUSIP: 911363109<br>LEI: 5323X5O7RN0NKFCDRY08 | Long             | EC               | CORP              | US        |       609 | NS      | $216450.78    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac REMICS                                                               | CUSIP: 3137BSCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1462429 | PA      | $94001.31     | 0.04%             | 2039-06-15      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                       | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $675.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Corp                          | Targa Resources Corp                                                             | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Long             | EC               | CORP              | US        |      2858 | NS      | $210063.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CO                                   | Southern Co/The                                                                  | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    275000 | PA      | $250937.50    | 0.10%             | 2051-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                     | CIM Trust 2019-J1                                                                | CUSIP: 12556MCQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443055 | PA      | $372828.26    | 0.15%             | 2049-08-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Travel + Leisure Co                           | Travel + Leisure Co                                                              | CUSIP: 894164102<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | EC               | CORP              | US        |      2621 | NS      | $95404.40     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-26707.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LPL Financial Holdings Inc                    | LPL Financial Holdings Inc                                                       | CUSIP: 50212V100<br>LEI: 549300XROQ4Y8G2L7682 | Long             | EC               | CORP              | US        |      1045 | NS      | $225897.65    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Visa Inc                                      | Visa Inc                                                                         | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     10959 | NS      | $2276841.84   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| LCM Ltd Partnership                           | LCM XV LP                                                                        | CUSIP: 50184NAP7<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $712502.25    | 0.29%             | 2030-07-20      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| ILLUMINATE BUYER/HLDG                         | Illuminate Buyer LLC / Illuminate Holdings IV Inc                                | CUSIP: 45232TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $58719.60     | 0.02%             | 2028-07-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                      | USD CALL VERSUS GBP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |  -1526875 | NC      | $-27.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Co                             | General Motors Co                                                                | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |      3344 | NS      | $112492.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| WillScot Mobile Mini Holdings                 | WillScot Mobile Mini Holdings Corp                                               | CUSIP: 971378104<br>LEI: 549300HJ4VIXF476Q166 | Long             | EC               | CORP              | US        |      7622 | NS      | $344285.74    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 3136A9XV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2204002 | PA      | $99799.43     | 0.04%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                   | Phillips 66                                                                      | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |      3864 | NS      | $402165.12    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION         | USD CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |  -1527000 | NC      | $-22780.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                | TransAlta Corp                                                                   | CUSIP: 89346DAH0<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $40905.05     | 0.02%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Capital Inc                     | Mitsubishi HC Capital Inc                                                        | CUSIP: 000000000<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | EC               | CORP              | JP        |     14100 | NS      | $69351.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | CURRENCY CONTRACT - NZD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7076.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                          | Colombia Government International Bond                                           | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    250000 | PA      | $222113.20    | 0.09%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| National Fuel Gas Co                          | National Fuel Gas Co                                                             | CUSIP: 636180101<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | EC               | CORP              | US        |      2619 | NS      | $165782.70    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                      | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $66295.41     | 0.03%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $731638.29    | 0.30%             | 2038-04-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| ACS Actividades de Construccio                | ACS Actividades de Construccion y Servicios SA                                   | CUSIP: 000000000<br>LEI: 95980020140005558665 | Long             | EC               | CORP              | ES        |      2564 | NS      | $73364.95     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| VAREX IMAGING CORPORATIO                      | Varex Imaging Corp                                                               | CUSIP: 92214XAC0<br>LEI: 549300CWYWPVCT8E9W67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69673.80     | 0.03%             | 2027-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ENERFLEX LTD                                  | Enerflex Ltd                                                                     | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $39942.80     | 0.02%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92000 | PA      | $47785.26     | 0.02%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6545000 | PA      | $6504093.75   | 2.69%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gentex Corp                                   | Gentex Corp                                                                      | CUSIP: 371901109<br>LEI: 549300S3UD8XV1MN0287 | Long             | EC               | CORP              | US        |      5546 | NS      | $151239.42    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Wind River CLO Ltd                            | THL Credit Wind River 2017-3 Clo Ltd                                             | CUSIP: 97316LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $565164.00    | 0.23%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MID PARTNER LP                      | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp               | CUSIP: 226373AP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $68216.40     | 0.03%             | 2025-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                        | AP Moller - Maersk A/S                                                           | CUSIP: 000000000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |        43 | NS      | $96260.01     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                          | ONEMAIN FINANCE CORP                                                             | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64580.60     | 0.03%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Nitto Denko Corp                              | Nitto Denko Corp                                                                 | CUSIP: 000000000<br>LEI: 3538009GX5P09USH2J25 | Long             | EC               | CORP              | JP        |       400 | NS      | $23037.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AmerisourceBergen Corp                        | AmerisourceBergen Corp                                                           | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |       645 | NS      | $106882.95    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                     | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-5167.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPANISH BROADCASTING SYS                      | Spanish Broadcasting System Inc                                                  | CUSIP: 846425AQ9<br>LEI: 5493005DKYB1X4C9LH64 | Long             | DBT              | CORP              | US        |     70000 | PA      | $40337.50     | 0.02%             | 2026-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Copa Holdings SA                              | Copa Holdings SA                                                                 | CUSIP: 000000000<br>LEI: 529900BB9UQJV6QQHA59 | Long             | EC               | CORP              | PA        |       598 | NS      | $49735.66     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Federal Inc                        | Washington Federal Inc                                                           | CUSIP: 938824109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3811 | NS      | $127859.05    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - AUD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $16201.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                            | Viking Cruises Ltd                                                               | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     35000 | PA      | $36982.29     | 0.02%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                              | LPL Holdings Inc                                                                 | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61001.50     | 0.03%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U-Haul Holding Co                             | U-Haul Holding Co                                                                | CUSIP: 023586506<br>LEI: 5493003WIDMLDHYC6Y24 | Long             | EC               | CORP              | US        |      2433 | NS      | $133766.34    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust                       | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571762 | PA      | $379375.93    | 0.16%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Wintrust Financial Corp                       | Wintrust Financial Corp                                                          | CUSIP: 97650W108<br>LEI: Q774KI4AW80FHFW33O61 | Long             | EC               | CORP              | US        |      1167 | NS      | $98634.84     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AFFINITY GAMING                               | Affinity Gaming                                                                  | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $59436.23     | 0.02%             | 2027-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                           | LCM XXII Ltd                                                                     | CUSIP: 50189GAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $710745.75    | 0.29%             | 2028-10-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CK Infrastructure Holdings Ltd                | CK Infrastructure Holdings Ltd                                                   | CUSIP: 000000000<br>LEI: 5299005U11RQ1C27MR12 | Long             | EC               | CORP              | HK        |      3500 | NS      | $18263.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hanover Insurance Group Inc/Th                | Hanover Insurance Group Inc/The                                                  | CUSIP: 410867105<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | EC               | CORP              | US        |      1193 | NS      | $161210.09    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                        | Chesapeake Energy Corp                                                           | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68246.50     | 0.03%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                          | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11672868 | PA      | $31141.46     | 0.01%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                         | Caesars Entertainment Inc                                                        | CUSIP: 28470RAH5<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68159.39     | 0.03%             | 2025-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GRANITE US HOLDINGS CORP                      | Granite US Holdings Corp                                                         | CUSIP: 38748YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $73864.70     | 0.03%             | 2027-10-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2521.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166000 | PA      | $114811.17    | 0.05%             | 2051-09-27      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Gartner Inc                                   | Gartner Inc                                                                      | CUSIP: 366651107<br>LEI: PP55B5R38BFB8O8HH686 | Long             | EC               | CORP              | US        |      1963 | NS      | $659842.82    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6800.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae REMICS                                                                | CUSIP: 31394EYQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821246 | PA      | $65599.77     | 0.03%             | 2035-08-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                  | Centene Corp                                                                     | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32063.18     | 0.01%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                         | Nabors Industries Inc                                                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58190.98     | 0.02%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                          | Parker-Hannifin Corp                                                             | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |       273 | NS      | $79443.00     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                           | COMM 2016-CR28 Mortgage Trust                                                    | CUSIP: 12593YBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1297586.57   | 0.54%             | 2049-02-10      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Edison International                          | Edison International                                                             | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |      4368 | NS      | $277892.16    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| IRIS HOLDINGS INC                             | Iris Holdings Inc                                                                | CUSIP: 46272EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $60200.00     | 0.02%             | 2026-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES                           | Century Communities Inc                                                          | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55128.50     | 0.02%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1079050.02   | 0.45%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                        | Southwestern Energy Co                                                           | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64995.35     | 0.03%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Genuine Parts Co                              | Genuine Parts Co                                                                 | CUSIP: 372460105<br>LEI: 549300D46DQVEU651W04 | Long             | EC               | CORP              | US        |      1607 | NS      | $278830.57    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5860000 | PA      | $5775228.71   | 2.39%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                  | Navient Corp                                                                     | CUSIP: 63938CAL2<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57668.62     | 0.02%             | 2028-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                           | BellRing Brands Inc                                                              | CUSIP: 07831CAA1<br>LEI: 549300S3BOK5CMTS8054 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67446.75     | 0.03%             | 2030-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GRAHAM HOLDINGS CO                            | Graham Holdings Co                                                               | CUSIP: 384637AA2<br>LEI: 529900BOSCEEEMAFQJ29 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68885.95     | 0.03%             | 2026-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CASCADES INC/USA INC                          | Cascades Inc/Cascades USA Inc                                                    | CUSIP: 14739LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     70000 | PA      | $61448.68     | 0.03%             | 2028-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                    | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $103115.03    | 0.04%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                             | NatWest Group PLC                                                                | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EC               | CORP              | GB        |      4382 | NS      | $13975.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| McDonald's Corp                               | McDonald's Corp                                                                  | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |      2154 | NS      | $567643.62    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SPRINT LLC                                    | Sprint LLC                                                                       | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     70000 | PA      | $73815.42     | 0.03%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22126538 | PA      | $433842.77    | 0.18%             | 2051-06-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                      | Hilton Domestic Operating Co Inc                                                 | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58708.30     | 0.02%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |   1118300 | NC      | $9146.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                           | JPMorgan Chase & Co                                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |       368 | NS      | $49348.80     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Westinghouse Air Brake Technol                | Westinghouse Air Brake Technologies Corp                                         | CUSIP: 929740108<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | EC               | CORP              | US        |       421 | NS      | $42020.01     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Suncorp Group Ltd                             | Suncorp Group Ltd                                                                | CUSIP: 000000000<br>LEI: 549300BVOKRTHDIWVT46 | Long             | EC               | CORP              | AU        |      8215 | NS      | $66942.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                | WFRBS Commercial Mortgage Trust 2011-C5                                          | CUSIP: 92936JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815103 | PA      | $776147.89    | 0.32%             | 2044-11-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Maximus Inc                                   | Maximus Inc                                                                      | CUSIP: 577933104<br>LEI: 549300DQCDS8HJ7QF202 | Long             | EC               | CORP              | US        |      3743 | NS      | $274474.19    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association         | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3595.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                | Open Text Corp                                                                   | CUSIP: 683715AC0<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $60189.50     | 0.02%             | 2028-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTH JERSEY INDUSTRIES                       | South Jersey Industries Inc                                                      | CUSIP: 838518AA6<br>LEI: 549300DJYWYT5VXLFA46 | Long             | DBT              | CORP              | US        |    273000 | PA      | $212789.19    | 0.09%             | 2031-04-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                           | Spectrum Brands Inc                                                              | CUSIP: 84762LAU9<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69311.85     | 0.03%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company           | CURRENCY CONTRACT - USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8131.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                                | ConocoPhillips                                                                   | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |      1195 | NS      | $141010.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Nordea Bank Abp                               | Nordea Bank Abp                                                                  | CUSIP: 000000000<br>LEI: 529900ODI3047E2LIV03 | Long             | EC               | CORP              | FI        |      4058 | NS      | $43469.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sage Group PLC/The                            | Sage Group PLC/The                                                               | CUSIP: 000000000<br>LEI: 2138005RN5XYLTF8G138 | Long             | EC               | CORP              | GB        |      6997 | NS      | $63006.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                        | Motorola Solutions Inc                                                           | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |      1938 | NS      | $499441.98    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Wolters Kluwer NV                             | Wolters Kluwer NV                                                                | CUSIP: 000000000<br>LEI: 724500TEM53I0U077B74 | Long             | EC               | CORP              | NL        |       683 | NS      | $71465.65     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Insurance Australia Group Ltd                 | Insurance Australia Group Ltd                                                    | CUSIP: 000000000<br>LEI: 549300PFEWKNHRG25N08 | Long             | EC               | CORP              | AU        |     10990 | NS      | $35329.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RELX PLC                                      | RELX PLC                                                                         | CUSIP: 000000000<br>LEI: 549300WSX3VBUFFJOO66 | Long             | EC               | CORP              | GB        |      2365 | NS      | $65387.92     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Robert Half International Inc                 | Robert Half International Inc                                                    | CUSIP: 770323103<br>LEI: 529900VPCUY9H3HLIC08 | Long             | EC               | CORP              | US        |      2330 | NS      | $172023.90    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                          | Bank of America Corp                                                             | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     14000 | PA      | $11628.83     | 0.00%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Bouygues SA                                   | Bouygues SA                                                                      | CUSIP: 000000000<br>LEI: 969500MOCLNQFNZN0D63 | Long             | EC               | CORP              | FR        |      2500 | NS      | $74979.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| Conagra Brands Inc                            | Conagra Brands Inc                                                               | CUSIP: 205887102<br>LEI: 54930035UDEIH090K650 | Long             | EC               | CORP              | US        |      3374 | NS      | $130573.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| McDonald's Japan                              | McDonald's Holdings Co Japan Ltd                                                 | CUSIP: 000000000<br>LEI: 529900FY9FV0AYNRC729 | Long             | EC               | CORP              | JP        |      1800 | NS      | $68411.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| RFM RE-REMIC TRUST 2022-FRR1                  | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $19205.94     | 0.01%             | 2050-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Industria de Diseno Textil SA                 | Industria de Diseno Textil SA                                                    | CUSIP: 000000000<br>LEI: 549300TTCXZOGZM2EY83 | Long             | EC               | CORP              | ES        |      1205 | NS      | $32005.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Electronic Arts Inc                           | Electronic Arts Inc                                                              | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |      2537 | NS      | $309970.66    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Link REIT                                     | Link REIT                                                                        | CUSIP: 000000000<br>LEI: 529900XUE70U36QX5M62 | Long             | EC               | CORP              | HK        |     12500 | NS      | $91466.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Everest Re Group Ltd                          | Everest Re Group Ltd                                                             | CUSIP: 000000000<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |       192 | NS      | $63603.84     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18671 | PA      | $15934.13     | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                      | CHS/Community Health Systems Inc                                                 | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52907.55     | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Tryg A/S                                      | Tryg A/S                                                                         | CUSIP: 000000000<br>LEI: 213800ZRS8AC4LSTCE39 | Long             | EC               | CORP              | DK        |      3232 | NS      | $76810.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| US TREASURY N/B                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8000 | PA      | $7286.25      | 0.00%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                   | CURRENCY CONTRACT - CHF                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |         1 | NC      | $634.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                        | Sunoco LP / Sunoco Finance Corp                                                  | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $61330.15     | 0.03%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS INC                      | BroadStreet Partners Inc                                                         | CUSIP: 11135RAA3<br>LEI: 549300BS9N54G8DD0R75 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59666.70     | 0.02%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wendy's Co/The                                | Wendy's Co/The                                                                   | CUSIP: 95058W100<br>LEI: 529900M0JIUCMWVKHG76 | Long             | EC               | CORP              | US        |      9738 | NS      | $220370.94    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Voya Investors Trust

**Signature:** Tin Bui

**Name of Signer:** Tin Bui

**Title:** Vice President