# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0001752724-25-203504
**Filing Date:** 2025-8
**Character Count:** 309615
**Document Hash:** e4a9fa7808dfc355d8eefbbaa06e3c79
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203504.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203504

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671

**ORGANIZATION NAME:**
- **EIN:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 251253202

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Diversified Income Fund (Series ID: S000003893)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010881 | Class IA Shares |  |
| C000010882 | Class IB Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

  - **Street Address 1:** 100 Federal Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-292-1000

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

- **a. Name of Series:** Putnam VT Diversified Income Fund

- **b. EDGAR series identifier (if any):** S000003893

- **c. LEI of Series:** 8JXB19CF5HE2V5XUD764

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $128258766.75

**Total Liabilities:** $27799086.98

**Net Assets:** $100459679.77

**Delayed Delivery Securities:** $22313869.45

**Cash Not Reported:** $350390.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -32.38000000 | **1-Year:** 2127.26000000 | **5-Year:** 4499.38000000 | **10-Year:** 5800.33000000 | **30-Year:** 4726.15000000

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

- **3-Month:** 164.43000000 | **1-Year:** 1825.17000000 | **5-Year:** 5899.33000000 | **10-Year:** 1561.84000000 | **30-Year:** 6.05000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010882 | 0.90%                | 0.45%                | 1.56%                |
| Class ID C000010881 | 1.14%                | 0.45%                | 1.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-48407.77               | $453952.04                                 |
| Month 2  | $-283050.92              | $195030.69                                 |
| Month 3  | $60408.13                | $1069268.27                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                              | Title                                                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-110.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                                | BMO Mortgage Trust, Series 2024-5C6, Class XA                                       | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410685 | PA      | $163755.54    | 0.16%             | 2057-09-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-217.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-59, Class IP                                                      | CUSIP: 38382RRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2479722 | PA      | $428901.14    | 0.43%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5999564.82   | 5.97%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Itron, Inc.                                                                       | Itron, Inc.                                                                         | CUSIP: 465741AQ9<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |     59000 | PA      | $70446.00     | 0.07%             | 2030-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                       | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    389000 | PA      | $449969.25    | 0.45%             | 2048-09-25      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| Wolfspeed, Inc.                                                                   | Wolfspeed, Inc.                                                                     | CUSIP: 977852AD4<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |     55000 | PA      | $14162.50     | 0.01%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     25000 | PA      | $1661.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Workiva, Inc.                                                                     | Workiva, Inc.                                                                       | CUSIP: 98139AAD7<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23218.75     | 0.02%             | 2028-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-140.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                                       | Beach Acquisition Bidco LLC                                                         | CUSIP: N/A<br>LEI: 254900F2FNX3GBTB6202       | Long             | DBT              | CORP              | US        |    100000 | PA      | $118784.48    | 0.12%             | 2032-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-139, Class SA                                                     | CUSIP: 38381AKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936971 | PA      | $121245.19    | 0.12%             | 2048-10-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                         | Serbia Government Bond                                                              | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    230000 | PA      | $242484.72    | 0.24%             | 2033-09-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co.                                                             | Matador Resources Co.                                                               | CUSIP: 576485AF3<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    265000 | PA      | $270410.73    | 0.27%             | 2028-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                                      | Hess Midstream Operations LP                                                        | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35543.59     | 0.04%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2015-LC19, Class B                                      | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167000 | PA      | $164952.76    | 0.16%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14088 | PA      | $14299.49     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2018-20, Class SB                                                      | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067073 | PA      | $105234.48    | 0.10%             | 2048-03-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                                       | McGraw-Hill Education, Inc.                                                         | CUSIP: 58064LAA2<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     92000 | PA      | $96038.92     | 0.10%             | 2031-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    202000 | PA      | $95671.99     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                  | Peru Government Bond                                                                | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    260000 | PA      | $233519.00    | 0.23%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas, Inc.                                                              | Hunter Douglas, Inc., First Lien, CME Term Loan, B1                                 | CUSIP: N8137FAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    107711 | PA      | $107464.44    | 0.11%             | 2032-01-16      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-42, Class IC                                                      | CUSIP: 38376MSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292662 | PA      | $54515.01     | 0.05%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class JI                                                     | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1552040 | PA      | $70378.81     | 0.07%             | 2067-08-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                             | Mexico Government Bond                                                              | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    400000 | PA      | $347000.00    | 0.35%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                 | Wells Fargo & Co.                                                                   | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    265000 | PA      | $273666.51    | 0.27%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Integer Holdings Corp.                                                            | Integer Holdings Corp.                                                              | CUSIP: 45826HAC3<br>LEI: 549300SUD2ED5XG6X569 | Long             | DBT              | CORP              | US        |     42000 | PA      | $43848.00     | 0.04%             | 2030-03-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                                   | JH North America Holdings, Inc.                                                     | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35603.02     | 0.04%             | 2032-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H10, Class MI                                                     | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1676775 | PA      | $49035.60     | 0.05%             | 2067-04-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Lumentum Holdings, Inc.                                                           | Lumentum Holdings, Inc.                                                             | CUSIP: 55024UAF6<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |     72000 | PA      | $74664.00     | 0.07%             | 2028-06-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-77, Class SM                                                      | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2121370 | PA      | $291247.61    | 0.29%             | 2051-05-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Under Armour, Inc.                                                                | Under Armour, Inc.                                                                  | CUSIP: 904311AD9<br>LEI: 549300D4549QKWETZ406 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81216.45     | 0.08%             | 2030-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2006-OA7, Class 1A1                                  | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488391 | PA      | $454477.18    | 0.45%             | 2046-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1995000 | PA      | $7202.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     81000 | PA      | $-514.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                       | Crescent Energy Finance LLC                                                         | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105137.49    | 0.10%             | 2034-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    111000 | PA      | $14154.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H25, Class AI                                                     | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1567615 | PA      | $21919.18     | 0.02%             | 2065-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Proofpoint, Inc.                                                                  | Proofpoint, Inc., First Lien, CME Term Loan                                         | CUSIP: 74345HAG6<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |    137197 | PA      | $137442.90    | 0.14%             | 2028-08-31      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     51000 | PA      | $1576.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                                                   | COMM Mortgage Trust, Series 2013-CR12, Class AM                                     | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     85572 | PA      | $80830.09     | 0.08%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Romania                                                                           | Romania Government Bond                                                             | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $386912.92    | 0.39%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                             | BANK5, Series 2024-5YR10, Class XA                                                  | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140231 | PA      | $183569.16    | 0.18%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                               | Petroleos Mexicanos                                                                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    103000 | PA      | $95787.20     | 0.10%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Republic of Iraq                                                                  | Iraq Government Bond                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |    247500 | PA      | $245366.72    | 0.24%             | 2028-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                                             | Ahead DB Holdings LLC, First Lien, CME Term Loan, B3                                | CUSIP: 00866HAH8<br>LEI: 254900L07WFL833JX193 | Long             | LON              | CORP              | US        |     49280 | PA      | $49383.03     | 0.05%             | 2031-02-03      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE3 Mortgage Trust                                                    | COMM Mortgage Trust, Series 2012-CR3, Class F                                       | CUSIP: 12624PAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157580 | PA      | $9628.03      | 0.01%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1801.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -40500000 | PA      | $-127276.25   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-119, Class SA                                                     | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484908 | PA      | $44702.99     | 0.04%             | 2044-08-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                               | Herc Holdings, Inc.                                                                 | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35940.07     | 0.04%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2015-DC1, Class B                                       | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264000 | PA      | $251790.00    | 0.25%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                                  | Welltower OP LLC                                                                    | CUSIP: 95041AAB4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     33000 | PA      | $53806.50     | 0.05%             | 2028-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                                      | KazMunayGas National Co. JSC                                                        | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |    280000 | PA      | $282567.64    | 0.28%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                    | Morgan Stanley                                                                      | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    405000 | PA      | $412161.90    | 0.41%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp. Ltd.                                                          | Power Finance Corp. Ltd.                                                            | CUSIP: 73928RAB2<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | NUSS              | IN        |    250000 | PA      | $239793.07    | 0.24%             | 2030-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H23, Class NI                                                     | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2433754 | PA      | $107155.75    | 0.11%             | 2066-10-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                            | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class E   | CUSIP: 46631QAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10275 | PA      | $13363.89     | 0.01%             | 2051-02-12      | Variable      | 8.19%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments, Inc.                                                             | Shift4 Payments, Inc.                                                               | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $51600.00     | 0.05%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2016-C05, Class 2B                 | CUSIP: 30711XDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     88808 | PA      | $96550.65     | 0.10%             | 2029-01-25      | Floating      | 15.17%                | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-60, Class SD                                                      | CUSIP: 38379BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138787 | PA      | $135913.18    | 0.14%             | 2044-04-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-CR19, Class D                                      | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182114 | PA      | $175466.42    | 0.17%             | 2047-08-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                        | Huntsman International LLC                                                          | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $132876.19    | 0.13%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-34, Class IH                                                      | CUSIP: 38378JL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524838 | PA      | $100905.48    | 0.10%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MicroStrategy, Inc.                                                               | MicroStrategy, Inc.                                                                 | CUSIP: 594972AT8<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |     67000 | PA      | $78816.55     | 0.08%             | 2030-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2006-OA7, Class 1A2                                  | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123511 | PA      | $121250.00    | 0.12%             | 2046-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                         | Sunoco LP                                                                           | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    116000 | PA      | $118009.56    | 0.12%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                                        | PG&E Corp.                                                                          | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     46000 | PA      | $45760.80     | 0.05%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                         | South Bow USA Infrastructure Holdings LLC                                           | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135479.60    | 0.13%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                            | Paraguay Government Bond                                                            | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    470000 | PA      | $427521.40    | 0.43%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                                            | Aramark Services, Inc.                                                              | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    118000 | PA      | $117638.44    | 0.12%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                       | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13089 | PA      | $12991.12     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                                       | McGraw-Hill Education, Inc.                                                         | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     68000 | PA      | $68456.55     | 0.07%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP / RHP Finance Corp.                                       | RHP Hotel Properties LP / RHP Finance Corp.                                         | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $123494.64    | 0.12%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                           | Hungary Government Bond                                                             | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |    400000 | PA      | $403746.70    | 0.40%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-128, Class IA                                                     | CUSIP: 38378HK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    651174 | PA      | $106517.80    | 0.11%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10877.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | DTRS                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    895000 | PA      | $17396.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                             | Athene Global Funding                                                               | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133685.26    | 0.13%             | 2029-01-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities, Inc.                                                 | Taylor Morrison Communities, Inc.                                                   | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    276000 | PA      | $275212.16    | 0.27%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDI                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   4519000 | PA      | $129952.04    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                      | AES Andes SA                                                                        | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $204202.20    | 0.20%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellium SE                                                                    | Constellium SE                                                                      | CUSIP: 21039CAD6<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $254327.50    | 0.25%             | 2032-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-63, Class PS                                                      | CUSIP: 38382FGP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1950687 | PA      | $256216.88    | 0.26%             | 2050-04-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30391 | PA      | $27321.88     | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG Polaris BidCo SARL                                                             | PG Polaris BidCo SARL, First Lien, Initial CME Term Loan                            | CUSIP: 91728NAB5<br>LEI: 254900XMCCB3IEZ2A005 | Long             | LON              | CORP              | US        |     49626 | PA      | $49824.13     | 0.05%             | 2031-03-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                   | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class A5                           | CUSIP: 12636LAY6<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    119719 | PA      | $119107.74    | 0.12%             | 2048-11-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                                             | Petronas Capital Ltd.                                                               | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    230000 | PA      | $234807.55    | 0.23%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H21, Class BI                                                     | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881350 | PA      | $18696.09     | 0.02%             | 2064-10-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     56400 | PA      | $7357.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                          | BDS Ltd., Series 2021-FL9, Class A                                                  | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     29844 | PA      | $29889.95     | 0.03%             | 2038-11-16      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H02, Class BI                                                     | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744174 | PA      | $28481.01     | 0.03%             | 2067-01-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                     | Brazil Government Bond                                                              | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    590000 | PA      | $557004.78    | 0.55%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                           | Quikrete Holdings, Inc.                                                             | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46302.52     | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                   | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4                           | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |     48566 | PA      | $48377.40     | 0.05%             | 2048-08-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd.                                                        | AAdvantage Loyalty IP Ltd., First Lien, CME Term Loan                               | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    205409 | PA      | $204365.03    | 0.20%             | 2028-04-20      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                                    | Protective Life Global Funding                                                      | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    175000 | PA      | $181162.77    | 0.18%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| TK Elevator Midco GmbH                                                            | TK Elevator Midco GmbH, First Lien, CME Term Loan, B1                               | CUSIP: D9000BAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | DE        |     76564 | PA      | $76851.14     | 0.08%             | 2030-04-30      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Shake Shack, Inc.                                                                 | Shake Shack, Inc.                                                                   | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |     42000 | PA      | $45071.25     | 0.04%             | 2028-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-59, Class SQ                                                      | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1615636 | PA      | $219757.74    | 0.22%             | 2051-04-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2121400 | PA      | $6629.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                               | Newell Brands, Inc.                                                                 | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27309.07     | 0.03%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2015-42, Class LS                                                      | CUSIP: 3136ANX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915173 | PA      | $68413.96     | 0.07%             | 2045-06-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-53.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3171600 | PA      | $26634.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  27000000 | PA      | $175518.43    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1                | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148000 | PA      | $154580.76    | 0.15%             | 2042-01-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5024, Class HI                                                        | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984498 | PA      | $452813.28    | 0.45%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1064.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                                          | WESCO Distribution, Inc.                                                            | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31028.76     | 0.03%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BioMarin Pharmaceutical, Inc.                                                     | BioMarin Pharmaceutical, Inc.                                                       | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |     33000 | PA      | $31186.52     | 0.03%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1599600 | PA      | $57280.04     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Jefferson Capital Holdings LLC                                                    | Jefferson Capital Holdings LLC                                                      | CUSIP: 472481AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $275166.84    | 0.27%             | 2029-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $65.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                            | Egypt Government Bond                                                               | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $202424.96    | 0.20%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                              | American Tower Corp.                                                                | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268558.04    | 0.27%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR Debt Notes, Series 2015-DNA3, Class B                                   | CUSIP: 3137G0GZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509541 | PA      | $520613.38    | 0.52%             | 2028-04-25      | Floating      | 13.77%                | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                      | Royal Caribbean Cruises Ltd.                                                        | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     50000 | PA      | $50336.70     | 0.05%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                    | Carnival Corp.                                                                      | CUSIP: 143658BV3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     27000 | PA      | $59454.00     | 0.06%             | 2027-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Akamai Technologies, Inc.                                                         | Akamai Technologies, Inc.                                                           | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |     54000 | PA      | $52501.50     | 0.05%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Pertamina Hulu Energi PT                                                          | Pertamina Hulu Energi PT                                                            | CUSIP: 74448WAA2<br>LEI: 2549003IT1KDHL64C037 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $202151.29    | 0.20%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                                         | Turkiye Government Bond                                                             | CUSIP: 900123DJ6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $222072.00    | 0.22%             | 2030-07-13      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                                       | QXO Building Products, Inc.                                                         | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134251.26    | 0.13%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                                   | Live Nation Entertainment, Inc.                                                     | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     47000 | PA      | $51230.00     | 0.05%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Snap, Inc.                                                                        | Snap, Inc.                                                                          | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205350.19    | 0.20%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor, Inc.                                                           | Phoenix Guarantor, Inc., First Lien, CME Term Loan, B5                              | CUSIP: 71913BAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118803 | PA      | $119329.30    | 0.12%             | 2031-02-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Meritage Homes Corp.                                                              | Meritage Homes Corp.                                                                | CUSIP: 59001ABF8<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |     42000 | PA      | $40875.45     | 0.04%             | 2028-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-167, Class PI                                                     | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2300597 | PA      | $409578.78    | 0.41%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merit Medical Systems, Inc.                                                       | Merit Medical Systems, Inc.                                                         | CUSIP: 589889AA2<br>LEI: 549300OYTY138SP2CE83 | Long             | DBT              | CORP              | US        |     24000 | PA      | $30054.53     | 0.03%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2012-127, Class BI                                                     | CUSIP: 3136A9C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92316 | PA      | $19134.65     | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                                       | Hashemite Kingdom of Jordan                                                         | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    200000 | PA      | $205627.54    | 0.20%             | 2029-01-13      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B        | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     90399 | PA      | $85376.16     | 0.08%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                        | Cloud Software Group, Inc., First Lien, Initial Dollar CME Term Loan, B             | CUSIP: 88632NBF6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    194413 | PA      | $194843.77    | 0.19%             | 2029-03-30      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                                                         | PPL Capital Funding, Inc.                                                           | CUSIP: 69352PAS2<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     58000 | PA      | $62788.06     | 0.06%             | 2028-03-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                                          | Spirit AeroSystems, Inc.                                                            | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     54000 | PA      | $57362.09     | 0.06%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-23042.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                             | Global Payments, Inc.                                                               | CUSIP: 37940XAU6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     53000 | PA      | $47594.00     | 0.05%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Flutter Financing BV                                                              | Flutter Financing BV, First Lien, 2024 Refinancing CME Term Loan, B                 | CUSIP: N3313EAG5<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |     64025 | PA      | $63944.97     | 0.06%             | 2030-12-02      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                          | South Africa Government Bond                                                        | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    200000 | PA      | $196035.45    | 0.20%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4                   | CUSIP: 94989VAD1<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $232074.08    | 0.23%             | 2057-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management, Inc.                                      | Jones Deslauriers Insurance Management, Inc.                                        | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    115000 | PA      | $121975.67    | 0.12%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3877000 | PA      | $-5637.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                          | Motorola Solutions, Inc.                                                            | CUSIP: 620076BY4<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137252.33    | 0.14%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-452.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nouryon Finance BV                                                                | Nouryon Finance BV, First Lien, Term Loan, B                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | NL        |    115000 | PA      | $136043.37    | 0.14%             | 2028-04-03      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Chobani LLC                                                                       | Chobani LLC, First Lien, 2025 New CME Term Loan                                     | CUSIP: 17026YAK5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    139649 | PA      | $140318.04    | 0.14%             | 2027-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4                    | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $228064.60    | 0.23%             | 2048-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4189.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2202.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2486000 | PA      | $-7603.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Outfront Media Capital LLC / Outfront Media Capital Corp.                         | Outfront Media Capital LLC / Outfront Media Capital Corp.                           | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44000 | PA      | $46616.86     | 0.05%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| White Cap Supply Holdings LLC                                                     | White Cap Supply Holdings LLC, First Lien, CME Term Loan, C                         | CUSIP: 96350TAH3<br>LEI: 254900L2N0T6GULCL366 | Long             | LON              | CORP              | US        |    272927 | PA      | $271853.01    | 0.27%             | 2029-10-19      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                  | CVS Health Corp.                                                                    | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113730.13    | 0.11%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                       | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    333000 | PA      | $413628.02    | 0.41%             | 2048-10-25      | Floating      | 15.42%                | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                              | Clear Channel Outdoor Holdings, Inc., First Lien, 2024 Refinancing CME Term Loan    | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |    105000 | PA      | $104381.03    | 0.10%             | 2028-08-23      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-CR17, Class D                                      | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $146055.82    | 0.15%             | 2047-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| MKS, Inc.                                                                         | MKS, Inc.                                                                           | CUSIP: 55306NAB0<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |     42000 | PA      | $41601.00     | 0.04%             | 2030-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Novelis Corp.                                                                     | Novelis Corp.                                                                       | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    113000 | PA      | $116904.82    | 0.12%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RR Donnelley & Sons Co.                                                           | RR Donnelley & Sons Co.                                                             | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175132.13    | 0.17%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                            | GSAA Home Equity Trust, Series 2006-8, Class 2A2                                    | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504940 | PA      | $106580.08    | 0.11%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                              | Bulgaria Government Bond                                                            | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     60000 | PA      | $58716.88     | 0.06%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    329000 | PA      | $-44424.60    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern Oil & Gas, Inc.                                                          | Northern Oil & Gas, Inc.                                                            | CUSIP: 665531AJ8<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     39000 | PA      | $40803.75     | 0.04%             | 2029-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                               | Petroleos Mexicanos                                                                 | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    155000 | PA      | $154314.57    | 0.15%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                    | Illumina, Inc.                                                                      | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75108.84     | 0.07%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                                     | Gartner, Inc.                                                                       | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    295000 | PA      | $280695.13    | 0.28%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2024-32                                                                | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   3155328 | PA      | $162330.61    | 0.16%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                                        | Microchip Technology, Inc.                                                          | CUSIP: 595017BG8<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     31000 | PA      | $30597.00     | 0.03%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                              | Clear Channel Outdoor Holdings, Inc.                                                | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    170000 | PA      | $175636.18    | 0.17%             | 2030-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp.                                  | MPT Operating Partnership LP / MPT Finance Corp.                                    | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $162340.96    | 0.16%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 4945, Class SL                                                        | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1400769 | PA      | $173022.42    | 0.17%             | 2050-01-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                             | BANK5, Series 2024-5YR12, Class XA                                                  | CUSIP: 06644XBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4357246 | PA      | $88882.81     | 0.09%             | 2057-12-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                                      | Ecopetrol SA                                                                        | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     80000 | PA      | $82584.41     | 0.08%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                                           | Uber Technologies, Inc., Series 2028                                                | CUSIP: 90353TAM2<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     58000 | PA      | $83027.00     | 0.08%             | 2028-12-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    719000 | PA      | $66846.46     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1509.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crocs, Inc.                                                                       | Crocs, Inc.                                                                         | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |    170000 | PA      | $153268.01    | 0.15%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                 | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    100000 | PA      | $98530.31     | 0.10%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                                        | PG&E Corp.                                                                          | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    275000 | PA      | $262148.53    | 0.26%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Etsy, Inc.                                                                        | Etsy, Inc.                                                                          | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |     72000 | PA      | $61974.00     | 0.06%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                               | Kinetik Holdings LP                                                                 | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    265000 | PA      | $267414.15    | 0.27%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Halozyme Therapeutics, Inc.                                                       | Halozyme Therapeutics, Inc.                                                         | CUSIP: 40637HAF6<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |     42000 | PA      | $47922.00     | 0.05%             | 2028-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     80000 | PA      | $2840.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Air France-KLM                                                                    | Air France-KLM                                                                      | CUSIP: N/A<br>LEI: 969500AQW31GYO8JZD66       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $132304.10    | 0.13%             | 2028-05-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Commercial Metals Co.                                                             | Commercial Metals Co.                                                               | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    158000 | PA      | $145659.52    | 0.14%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                      | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    116170 | PA      | $116877.30    | 0.12%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3171600 | PA      | $68327.73     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                                   | Sinclair Television Group, Inc.                                                     | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161773.82    | 0.16%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                             | United Airlines, Inc.                                                               | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     87000 | PA      | $84507.90     | 0.08%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H24, Class CI                                                     | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692815 | PA      | $13754.46     | 0.01%             | 2066-10-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Romania                                                                           | Romania Government Bond                                                             | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    220000 | PA      | $247483.24    | 0.25%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                                | Venture Global Plaquemines LNG LLC                                                  | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16072.77     | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-146                                                               | CUSIP: 38378GNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364038 | PA      | $76945.12     | 0.08%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                           | Bath & Body Works, Inc.                                                             | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    260000 | PA      | $270015.72    | 0.27%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Burlington Stores, Inc.                                                           | Burlington Stores, Inc.                                                             | CUSIP: 122017AD8<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     22000 | PA      | $28479.00     | 0.03%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                               | Herc Holdings, Inc.                                                                 | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    225000 | PA      | $235901.54    | 0.23%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                         | Serbia Government Bond                                                              | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    280000 | PA      | $289716.09    | 0.29%             | 2028-05-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14196000 | PA      | $-189762.89   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     27000 | PA      | $1981.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    294606 | PA      | $299569.76    | 0.30%             | 2049-10-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4108000 | PA      | $-54.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Avient Corp.                                                                      | Avient Corp.                                                                        | CUSIP: 05368VAB2<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25249.33     | 0.03%             | 2031-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                           | Raizen Fuels Finance SA                                                             | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $198750.00    | 0.20%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Republic of Uzbekistan International Bond                                         | Uzbekistan Government Bond                                                          | CUSIP: N/A<br>LEI: 213800L6VDKUM3TCM927       | Long             | DBT              | NUSS              | UZ        |    200000 | PA      | $206179.09    | 0.21%             | 2032-02-28      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings, Inc.                                                       | Endo Finance Holdings, Inc., First Lien, 2024 Refinancing CME Term Loan             | CUSIP: 29280UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    109724 | PA      | $109792.20    | 0.11%             | 2031-04-23      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                       | Allied Universal Holdco LLC                                                         | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125469.84    | 0.12%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Euro-Bobl                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -14 | NC      | $5463.18      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EMRLD Borrower LP                                                                 | EMRLD Borrower LP, First Lien, Second Amendment Incremental CME Term Loan           | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    114399 | PA      | $114358.07    | 0.11%             | 2031-08-04      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                   | TransDigm, Inc., First Lien, CME Term Loan, J                                       | CUSIP: 89364MCA0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     83940 | PA      | $84183.47     | 0.08%             | 2031-02-28      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H24, Class JI                                                     | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902365 | PA      | $49165.36     | 0.05%             | 2066-11-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-156                                                               | CUSIP: 38383AQC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800634 | PA      | $543950.37    | 0.54%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2015-CR27, Class C                                      | CUSIP: 12635QBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $131061.38    | 0.13%             | 2048-10-10      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Republic of Cameroon International Bond                                           | Cameroon Government Bond                                                            | CUSIP: N/A<br>LEI: 54930021BO6NHYGBBV24       | Long             | DBT              | NUSS              | CM        |    190000 | PA      | $175716.43    | 0.17%             | 2032-07-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                                 | CD Mortgage Trust, Series 2017-CD4, Class B                                         | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $230648.16    | 0.23%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H10, Class BI                                                     | CUSIP: 38376RAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666612 | PA      | $29999.54     | 0.03%             | 2065-04-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                                   | Live Nation Entertainment, Inc.                                                     | CUSIP: 538034BA6<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     46000 | PA      | $70771.00     | 0.07%             | 2029-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                              | WaMu Asset-Backed Certificates Trust, Series 2006-HE2, Class A3                     | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335961 | PA      | $260520.06    | 0.26%             | 2036-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    608700 | PA      | $12694.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    132000 | PA      | $8977.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2022-C14, Class XA                                     | CUSIP: 07336AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2912409 | PA      | $99028.01     | 0.10%             | 2055-02-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-97, Class QS                                                      | CUSIP: 38382GXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1860663 | PA      | $267193.38    | 0.27%             | 2050-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H05, Class BI                                                     | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1411137 | PA      | $64068.44     | 0.06%             | 2068-02-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-26, Class MI                                                      | CUSIP: 38380CH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693455 | PA      | $129562.72    | 0.13%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                        | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class D                | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152000 | PA      | $134672.00    | 0.13%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                                | United Rentals North America, Inc.                                                  | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     51000 | PA      | $48701.54     | 0.05%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5002, Class SJ                                                        | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1829435 | PA      | $225664.86    | 0.22%             | 2050-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Kedrion SpA                                                                       | Kedrion SpA                                                                         | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    295000 | PA      | $283314.86    | 0.28%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 4105, Class HI                                                        | CUSIP: 3137AUD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132284 | PA      | $7248.96      | 0.01%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2017-32, Class SA                                                      | CUSIP: 3136AWLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2179915 | PA      | $248912.77    | 0.25%             | 2047-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Chobani LLC / Chobani Finance Corp., Inc.                                         | Chobani LLC / Chobani Finance Corp., Inc.                                           | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $119980.88    | 0.12%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                  | NRG Energy, Inc.                                                                    | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    230000 | PA      | $234478.79    | 0.23%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1658566.26   | 1.65%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                                       | Block, Inc.                                                                         | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26887.50     | 0.03%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H06, Class BI                                                     | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888689 | PA      | $27925.91     | 0.03%             | 2067-02-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                           | American Airlines, Inc., First Lien, 2025 Incremental CME Term Loan                 | CUSIP: 02376CBT1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     10000 | PA      | $10077.50     | 0.01%             | 2032-05-28      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| CommScope, Inc.                                                                   | CommScope, Inc., First Lien, Initial CME Term Loan                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    115000 | PA      | $116569.18    | 0.12%             | 2029-12-18      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1311400 | PA      | $9230.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5349, Class IB                                                        | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1372173 | PA      | $299863.56    | 0.30%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                                 | Clarios Global LP, First Lien, Amendment No. 6 Dollar CME Term Loan                 | CUSIP: C8000CAP8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     35475 | PA      | $35552.69     | 0.04%             | 2032-01-28      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                               | Medline Borrower LP, First Lien, Dollar Incremental CME Term Loan                   | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    107669 | PA      | $107913.76    | 0.11%             | 2028-10-23      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                                | Panama Government Bond                                                              | CUSIP: 698299BY9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $214814.49    | 0.21%             | 2038-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                             | Indonesia Government Bond                                                           | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $200786.75    | 0.20%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Boise Cascade Co.                                                                 | Boise Cascade Co.                                                                   | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121702.94    | 0.12%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5134, Class IC                                                        | CUSIP: 3137H1X68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2568006 | PA      | $516551.82    | 0.51%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                                     | CCO Holdings LLC / CCO Holdings Capital Corp.                                       | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $237287.98    | 0.24%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2               | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276000 | PA      | $286965.98    | 0.29%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| TIAA Real Estate CDO Ltd.                                                         | TIAA Real Estate CDO Ltd., Series 2003-1A, Class E                                  | CUSIP: 88631FAA6<br>LEI: 5493005Y5RSPJ6PO8N21 | Long             | ABS-CBDO         | CORP              | KY        |    472775 | PA      | $39.62        | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                                                 | Alliant Holdings Intermediate LLC, First Lien, Initial CME Term Loan                | CUSIP: 01881UAM7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118802 | PA      | $118963.07    | 0.12%             | 2031-09-19      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 4077, Class IK                                                        | CUSIP: 3137ASB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217758 | PA      | $46537.07     | 0.05%             | 2042-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C        | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $141711.22    | 0.14%             | 2048-04-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-64, Class YI                                                      | CUSIP: 38379PE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293688 | PA      | $44141.78     | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp.                                                            | ON Semiconductor Corp.                                                              | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     59000 | PA      | $54749.05     | 0.05%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                    | Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A1          | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169356 | PA      | $150439.67    | 0.15%             | 2037-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H09, Class BI                                                     | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200734 | PA      | $51992.97     | 0.05%             | 2066-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Broadcom Corp. / Broadcom Cayman Finance Ltd.                                     | Broadcom Corp. / Broadcom Cayman Finance Ltd.                                       | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $134120.26    | 0.13%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   4797000 | PA      | $350.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eversource Energy                                                                 | Eversource Energy                                                                   | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133408.51    | 0.13%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 2 Year Notes                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -61 | NC      | $-49170.88    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                                                   | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                            | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $234083.14    | 0.23%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Transnet SOC Ltd.                                                                 | Transnet SOC Ltd.                                                                   | CUSIP: N/A<br>LEI: 378900B07CD6F01EA796       | Long             | DBT              | CORP              | ZA        |    200000 | PA      | $207130.48    | 0.21%             | 2028-02-06      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                                       | Terex Corp.                                                                         | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115310.04    | 0.11%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                                  | MortgageIT Trust, Series 2005-3, Class M2                                           | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22680 | PA      | $21969.95     | 0.02%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  19481000 | PA      | $-39620.45    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-53.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                                | Ares Capital Corp.                                                                  | CUSIP: 04010LBE2<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    270000 | PA      | $278676.55    | 0.28%             | 2027-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CQP Holdco LP                                                                     | CQP Holdco LP, First Lien, Initial CME Term Loan                                    | CUSIP: 12657QAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    305256 | PA      | $305649.85    | 0.30%             | 2030-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Banijay Entertainment SAS                                                         | Banijay Entertainment SAS, First Lien, CME Term Loan, B3                            | CUSIP: F6456UAE3<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     44755 | PA      | $44913.76     | 0.04%             | 2028-03-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-94, Class AI                                                      | CUSIP: 38380XSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942988 | PA      | $193908.23    | 0.19%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    971300 | PA      | $35087.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                     | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $52947.87     | 0.05%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11189.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                                                  | GE HealthCare Technologies, Inc.                                                    | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137017.84    | 0.14%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                                       | Toll Brothers Finance Corp.                                                         | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $140788.02    | 0.14%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Haemonetics Corp.                                                                 | Haemonetics Corp.                                                                   | CUSIP: 405024AD2<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31912.21     | 0.03%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-127, Class IC                                                     | CUSIP: 38380YYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713263 | PA      | $142744.94    | 0.14%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp.                                                                 | IRB Holding Corp., First Lien, 2024 Second Replacement CME Term Loan, B             | CUSIP: 44988LAL1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    154297 | PA      | $154457.99    | 0.15%             | 2027-12-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                                 | Chile Government Bond                                                               | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $203150.00    | 0.20%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1                 | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $251818.05    | 0.25%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-63, Class AS                                                      | CUSIP: 38382FGR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1569746 | PA      | $191391.90    | 0.19%             | 2043-08-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2015-CR22, Class B                                      | CUSIP: 12592XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117000 | PA      | $111731.35    | 0.11%             | 2048-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                                 | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $179087.17    | 0.18%             | 2050-08-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-98, Class SK                                                      | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1477569 | PA      | $201927.49    | 0.20%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1385.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-70.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                         | Ford Motor Credit Co. LLC                                                           | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201652.01    | 0.20%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance, Inc.                                             | Jane Street Group / JSG Finance, Inc.                                               | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $272640.22    | 0.27%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Gabonese Republic                                                                 | Gabonese Republic                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GA        |    230000 | PA      | $183638.14    | 0.18%             | 2031-02-06      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $980134.54    | 0.98%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4063.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DoorDash, Inc.                                                                    | DoorDash, Inc.                                                                      | CUSIP: 25809KAA3<br>LEI: 549300NUQ43FGGSK5051 | Long             | DBT              | CORP              | US        |     61000 | PA      | $66237.18     | 0.07%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp.                                                            | Freedom Mortgage Corp.                                                              | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    225000 | PA      | $249679.99    | 0.25%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC | Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC   | CUSIP: 45827MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    120000 | PA      | $120000.00    | 0.12%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  60907000 | PA      | $465363.09    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                               | Post Holdings, Inc.                                                                 | CUSIP: 737446AT1<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     45000 | PA      | $51480.00     | 0.05%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1623.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                                      | Hess Midstream Operations LP                                                        | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51000 | PA      | $51260.87     | 0.05%             | 2030-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pharmacia LLC                                                                     | Pharmacia LLC                                                                       | CUSIP: 71713UAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $306054.64    | 0.30%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                      | GS Mortgage Securities Trust, Series 2013-GC13, Class AS                            | CUSIP: 36198EAP0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    147608 | PA      | $145459.75    | 0.14%             | 2046-07-10      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Levi Strauss & Co.                                                                | Levi Strauss & Co.                                                                  | CUSIP: N/A<br>LEI: MB0UERO0RDFKU8258G77       | Long             | DBT              | CORP              | US        |    134000 | PA      | $158077.13    | 0.16%             | 2027-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                     | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135763 | PA      | $130318.27    | 0.13%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Repligen Corp.                                                                    | Repligen Corp.                                                                      | CUSIP: 759916AD1<br>LEI: 54930006QJ0T5AUO1E71 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31856.00     | 0.03%             | 2028-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                             | Haleon US Capital LLC                                                               | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241820.88    | 0.24%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                    | Carnival Corp., First Lien, 2025 Repricing Advance CME Term Loan                    | CUSIP: P2121YAY4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    213296 | PA      | $213728.80    | 0.21%             | 2028-10-18      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-694.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                                       | Beach Acquisition Bidco LLC                                                         | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207803.00    | 0.21%             | 2033-07-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    303600 | PA      | $40639.48     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                                      | PetSmart LLC, First Lien, Initial CME Term Loan                                     | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    115061 | PA      | $114126.04    | 0.11%             | 2028-02-11      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11287000 | PA      | $-9409.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hercules Capital, Inc.                                                            | Hercules Capital, Inc.                                                              | CUSIP: 427096AL6<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20349.00     | 0.02%             | 2028-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2006-OA10, Class 4A1                                 | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784243 | PA      | $670758.40    | 0.67%             | 2046-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                   | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                           | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234000 | PA      | $230771.24    | 0.23%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Banijay Entertainment SAS                                                         | Banijay Entertainment SAS                                                           | CUSIP: 060335AB2<br>LEI: 969500CE0IE2EZ5VBG13 | Long             | DBT              | CORP              | FR        |    210000 | PA      | $218044.26    | 0.22%             | 2029-05-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H22, Class AI                                                     | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793161 | PA      | $34738.86     | 0.03%             | 2066-10-20      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                                          | RB Global Holdings, Inc.                                                            | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    158000 | PA      | $166296.49    | 0.17%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Boyd Gaming Corp.                                                                 | Boyd Gaming Corp.                                                                   | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124679.26    | 0.12%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    623000 | PA      | $2057.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                                                 | Standard Building Solutions, Inc.                                                   | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82022.72     | 0.08%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     81200 | PA      | $8897.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                         | Towd Point Mortgage Trust, Series 2019-2, Class A2                                  | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202000 | PA      | $182661.93    | 0.18%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                        | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D                | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $128747.50    | 0.13%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Scientific Games Holdings LP                                                      | Scientific Games Holdings LP, First Lien, 2024 Refinancing Dollar CME Term Loan     | CUSIP: 80875CAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118798 | PA      | $118833.52    | 0.12%             | 2029-04-04      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                                      | New York Life Global Funding                                                        | CUSIP: 64952WFD0<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137845.20    | 0.14%             | 2028-06-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    430000 | PA      | $186575.51    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                               | Kinder Morgan, Inc.                                                                 | CUSIP: 494553AD2<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    165000 | PA      | $167625.24    | 0.17%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                             | Targa Resources Corp.                                                               | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    130000 | PA      | $136754.66    | 0.14%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2016-C02, Class 1B                 | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    950231 | PA      | $1018457.28   | 1.01%             | 2028-09-25      | Floating      | 16.67%                | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                                     | Smyrna Ready Mix Concrete LLC                                                       | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    255000 | PA      | $267552.84    | 0.27%             | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| News Corp.                                                                        | News Corp.                                                                          | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     85000 | PA      | $81389.23     | 0.08%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H09                                                               | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1365729 | PA      | $40741.07     | 0.04%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    955000 | PA      | $-7621.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                    | Teva Pharmaceutical Finance Netherlands III BV                                      | CUSIP: 88167AAR2<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    249000 | PA      | $282268.89    | 0.28%             | 2031-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                             | Bank of America Corp., Series L                                                     | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134486.49    | 0.13%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                               | Viking Cruises Ltd.                                                                 | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    105000 | PA      | $113150.73    | 0.11%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    111000 | PA      | $-49981.65    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-8308.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                               | Newell Brands, Inc.                                                                 | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     45000 | PA      | $47372.00     | 0.05%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-76                                                                | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216743 | PA      | $45539.83     | 0.05%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2018-38, Class SA                                                      | CUSIP: 3136B1S47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432090 | PA      | $177817.47    | 0.18%             | 2048-06-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                                 | Philip Morris International, Inc.                                                   | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    270000 | PA      | $277891.97    | 0.28%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                               | Viking Cruises Ltd.                                                                 | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    125000 | PA      | $134703.25    | 0.13%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Tyler Technologies, Inc.                                                          | Tyler Technologies, Inc.                                                            | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     59000 | PA      | $72806.00     | 0.07%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                                 | Chile Government Bond                                                               | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    230000 | PA      | $237498.00    | 0.24%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2024-V11, Class XA                                 | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6574000 | PA      | $149240.98    | 0.15%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                                | Seagate HDD Cayman                                                                  | CUSIP: 81180WBM2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     92000 | PA      | $103782.81    | 0.10%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                                       | Adient Global Holdings Ltd.                                                         | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |     20000 | PA      | $20469.82     | 0.02%             | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                                            | Costa Rica Government Bond                                                          | CUSIP: N/A<br>LEI: 549300S1EK2VN6XVJP58       | Long             | DBT              | NUSS              | CR        |    400000 | PA      | $412196.00    | 0.41%             | 2031-02-19      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                      | Pacific Gas and Electric Co.                                                        | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134734.38    | 0.13%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Braskem Idesa SAPI                                                                | Braskem Idesa SAPI                                                                  | CUSIP: N/A<br>LEI: YH0V7ZHY352ITDGEYB83       | Long             | DBT              | CORP              | MX        |    200000 | PA      | $147430.00    | 0.15%             | 2029-11-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Stonex Escrow Issuer LLC                                                          | Stonex Escrow Issuer LLC                                                            | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $65706.12     | 0.07%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                                   | Madison IAQ LLC, First Lien, Initial CME Term Loan                                  | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    118462 | PA      | $118683.65    | 0.12%             | 2028-06-21      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3793.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arcosa, Inc.                                                                      | Arcosa, Inc.                                                                        | CUSIP: 039653AC4<br>LEI: 549300WFHLTCZV7D6V29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31153.35     | 0.03%             | 2032-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                          | Celanese US Holdings LLC                                                            | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4196.29      | 0.00%             | 2032-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                              | Colombia Government Bond                                                            | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    350000 | PA      | $352376.50    | 0.35%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                                            | XHR LP                                                                              | CUSIP: 98372MAE5<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112212.87    | 0.11%             | 2030-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-21387.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1044000 | PA      | $-25483.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Benteler International AG                                                         | Benteler International AG                                                           | CUSIP: 08263DAA4<br>LEI: 529900ZAFSOBVFCKF263 | Long             | DBT              | CORP              | AT        |    200000 | PA      | $210672.60    | 0.21%             | 2028-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                                        | F&G Annuities & Life, Inc.                                                          | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $136229.36    | 0.14%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-16292.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                | T-Mobile USA, Inc.                                                                  | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    145000 | PA      | $137080.23    | 0.14%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Chefs' Warehouse, Inc. (The)                                                      | Chefs' Warehouse, Inc. (The)                                                        | CUSIP: 163086AE1<br>LEI: 549300JYEDC8C547E980 | Long             | DBT              | CORP              | US        |     26000 | PA      | $40586.00     | 0.04%             | 2028-12-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                        | AT&T, Inc.                                                                          | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    275000 | PA      | $273912.94    | 0.27%             | 2028-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                    | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                           | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $185900.74    | 0.19%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2121400 | PA      | $371964.19    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2020-01, Class M10    | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    531429 | PA      | $540645.57    | 0.54%             | 2050-03-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Progress Software Corp.                                                           | Progress Software Corp.                                                             | CUSIP: 743312AD2<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |     36000 | PA      | $41814.00     | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                           | GA Global Funding Trust                                                             | CUSIP: 36143L2N4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149759.66    | 0.15%             | 2027-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                         | Ivory Coast Government Bond                                                         | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    300000 | PA      | $317260.78    | 0.32%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $608.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      3000 | PA      | $154.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FMC Corp.                                                                         | FMC Corp.                                                                           | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66681.79     | 0.07%             | 2055-11-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                        | Builders FirstSource, Inc.                                                          | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36080.28     | 0.04%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fortress Intermediate 3, Inc.                                                     | Fortress Intermediate 3, Inc., First Lien, Initial CME Term Loan                    | CUSIP: 34966LAB0<br>LEI: 254900NLAZ3JQJW5JP75 | Long             | LON              | CORP              | US        |    115000 | PA      | $115431.25    | 0.11%             | 2031-06-27      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                 | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    600000 | PA      | $593458.03    | 0.59%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                                         | Turkiye Government Bond                                                             | CUSIP: 900123DJ6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $222072.00    | 0.22%             | 2030-07-13      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                       | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |    152000 | PA      | $181834.20    | 0.18%             | 2049-03-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class IG                                                     | CUSIP: 38375UF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1213917 | PA      | $31285.06     | 0.03%             | 2067-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Dexcom, Inc.                                                                      | Dexcom, Inc.                                                                        | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |     74000 | PA      | $69782.00     | 0.07%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Waystar Technologies, Inc.                                                        | Waystar Technologies, Inc., First Lien, Initial CME Term Loan                       | CUSIP: 63939WAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     55254 | PA      | $55530.97     | 0.06%             | 2029-10-22      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Glatfelter Corp.                                                                  | Glatfelter Corp., First Lien, CME Term Loan                                         | CUSIP: 89458XAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     54725 | PA      | $53835.72     | 0.05%             | 2031-11-04      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                             | Bank of America Corp.                                                               | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    285000 | PA      | $296660.37    | 0.30%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1121.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-25379.57    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-CR20, Class C                                      | CUSIP: 12592LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257830 | PA      | $249578.49    | 0.25%             | 2047-11-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H08, Class CI                                                     | CUSIP: 38375BM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544305 | PA      | $18823.16     | 0.02%             | 2063-02-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals, Inc.                                                     | Alnylam Pharmaceuticals, Inc.                                                       | CUSIP: 02043QAB3<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |     41000 | PA      | $53361.50     | 0.05%             | 2027-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                                  | Gray Media, Inc., First Lien, CME Term Loan, D                                      | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |    137494 | PA      | $133478.97    | 0.13%             | 2028-12-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                               | First Horizon Alternative Mortgage Securities Trust, Series 2006-AA6, Class 2A1     | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201682 | PA      | $139715.13    | 0.14%             | 2036-11-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Weekley Homes LLC / Weekley Finance Corp.                                         | Weekley Homes LLC / Weekley Finance Corp.                                           | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $116307.71    | 0.12%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3189.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                     | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143166 | PA      | $141643.23    | 0.14%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Parsons Corp.                                                                     | Parsons Corp.                                                                       | CUSIP: 70202LAD4<br>LEI: 549300ZXH0VRBSEPX752 | Long             | DBT              | CORP              | US        |     27000 | PA      | $28836.00     | 0.03%             | 2029-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                          | Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1                                 | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104642 | PA      | $87176.95     | 0.09%             | 2035-10-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                                           | Genesee & Wyoming, Inc., First Lien, Initial CME Term Loan                          | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |     79400 | PA      | $79079.22     | 0.08%             | 2031-04-10      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                          | Venture Global LNG, Inc.                                                            | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    260000 | PA      | $270231.18    | 0.27%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                                      | Ameren Corp.                                                                        | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112033.98    | 0.11%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dun & Bradstreet Corp. (The)                                                      | Dun & Bradstreet Corp. (The), First Lien, Incremental CME Term Loan, B2             | CUSIP: 26483NAW0<br>LEI: RI37BMPWE56BCJ747E14 | Long             | LON              | CORP              | US        |    118500 | PA      | $118544.44    | 0.12%             | 2029-01-18      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2020-76, Class BI                                                      | CUSIP: 3136BCLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1819582 | PA      | $416131.11    | 0.41%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1820000 | PA      | $-36446.11    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                       | Aker BP ASA                                                                         | CUSIP: 00973RAL7<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $154153.24    | 0.15%             | 2028-06-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4794400 | PA      | $14221.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                | Energy Transfer LP                                                                  | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    270000 | PA      | $276598.54    | 0.28%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK                                                                              | BANK, Series 2024-BNK48, Class XA                                                   | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2709745 | PA      | $225501.21    | 0.22%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                        | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C                 | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $110792.29    | 0.11%             | 2051-06-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC / Prime Finance, Inc.                        | Prime Security Services Borrower LLC / Prime Finance, Inc.                          | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $120295.92    | 0.12%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                                             | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                            | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    132000 | PA      | $127736.69    | 0.13%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class D                    | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $165550.86    | 0.16%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1016279.09   | 1.01%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates                              | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                   | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     87863 | PA      | $78022.58     | 0.08%             | 2047-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Republic of Montenegro                                                            | Montenegro Government Bond                                                          | CUSIP: N/A<br>LEI: 747800V014106FYLL014       | Long             | DBT              | NUSS              | ME        |    130000 | PA      | $151871.08    | 0.15%             | 2032-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| OSI Systems, Inc.                                                                 | OSI Systems, Inc.                                                                   | CUSIP: 671044AE5<br>LEI: DDX3MPX1Y8YD30050X33 | Long             | DBT              | CORP              | US        |     32000 | PA      | $43488.00     | 0.04%             | 2029-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                               | Herc Holdings, Inc.                                                                 | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20899.65     | 0.02%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    747000 | PA      | $869.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                | VICI Properties LP                                                                  | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276729.29    | 0.28%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    182000 | PA      | $-20425.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                                  | CMS Energy Corp.                                                                    | CUSIP: 125896BX7<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     33000 | PA      | $35161.50     | 0.04%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP / RHP Finance Corp.                                       | RHP Hotel Properties LP / RHP Finance Corp.                                         | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $41174.84     | 0.04%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                       | Carvana Co.                                                                         | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112939.56    | 0.11%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D        | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $114683.70    | 0.11%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-436.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                               | Benin Government Bond                                                               | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |    210000 | PA      | $211824.67    | 0.21%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2012-CR4, Class AM                                      | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $166453.80    | 0.17%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                         | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                           | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $203827.80    | 0.20%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H03, Class AI                                                     | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767955 | PA      | $29456.46     | 0.03%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                                         | ATI, Inc.                                                                           | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    265000 | PA      | $259774.49    | 0.26%             | 2029-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     56400 | PA      | $6550.17      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                              | WaMu Asset-Backed Certificates Trust, Series 2007-HE4, Class 1A                     | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101775 | PA      | $76332.33     | 0.08%             | 2047-07-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13477.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    210000 | PA      | $26778.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Datadog, Inc.                                                                     | Datadog, Inc.                                                                       | CUSIP: 23804LAC7<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |     53000 | PA      | $50906.50     | 0.05%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                           | Quikrete Holdings, Inc.                                                             | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103245.10    | 0.10%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WestJet Loyalty LP                                                                | WestJet Loyalty LP, First Lien, Initial CME Term Loan                               | CUSIP: C9763HAB3<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     99000 | PA      | $99136.13     | 0.10%             | 2031-02-14      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2869967.55  | -2.86%            | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-140, Class IC                                                     | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    562892 | PA      | $92625.35     | 0.09%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                      | GS Mortgage Securities Trust, Series 2014-GC24, Class B                             | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244000 | PA      | $229750.91    | 0.23%             | 2047-09-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                            | UBS AG                                                                              | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $269754.13    | 0.27%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-484.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                                | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                         | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $195481.68    | 0.19%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Encore Capital Group, Inc.                                                        | Encore Capital Group, Inc.                                                          | CUSIP: 292554AQ5<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    250000 | PA      | $266170.74    | 0.26%             | 2029-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Guidewire Software, Inc.                                                          | Guidewire Software, Inc.                                                            | CUSIP: 40171VAB6<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |     56000 | PA      | $66164.00     | 0.07%             | 2029-11-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bentley Systems, Inc.                                                             | Bentley Systems, Inc.                                                               | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |     47000 | PA      | $44438.50     | 0.04%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    544000 | PA      | $-27837.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3004874.37   | 2.99%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp.                                                            | Filtration Group Corp., First Lien, 2025 Incremental Dollar CME Term Loan           | CUSIP: 31732FAV8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    109716 | PA      | $110263.24    | 0.11%             | 2028-10-23      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                       | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13895 | PA      | $13903.73     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    288900 | PA      | $10736.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                              | JPMorgan Chase & Co.                                                                | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    540000 | PA      | $551879.95    | 0.55%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                                | Dominican Republic Government Bond                                                  | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    420000 | PA      | $427350.00    | 0.43%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-42                                                                | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386243 | PA      | $76599.04     | 0.08%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Patrick Industries, Inc.                                                          | Patrick Industries, Inc.                                                            | CUSIP: 703343AG8<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     25000 | PA      | $37159.38     | 0.04%             | 2028-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| McAfee Corp.                                                                      | McAfee Corp., First Lien, CME Term Loan, B1                                         | CUSIP: 57906HAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    129351 | PA      | $125888.09    | 0.13%             | 2029-03-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                    | HarborView Mortgage Loan Trust, Series 2005-2, Class 1A                             | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168501 | PA      | $46904.02     | 0.05%             | 2035-05-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H06, Class DI                                                     | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903339 | PA      | $32294.37     | 0.03%             | 2065-07-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                       | Caesars Entertainment, Inc., First Lien, CME Term Loan, B1                          | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    133312 | PA      | $133396.49    | 0.13%             | 2031-02-06      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                               | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                      | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303140 | PA      | $292679.57    | 0.29%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                                         | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class B                | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262000 | PA      | $253146.18    | 0.25%             | 2048-09-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1858.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                       | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1482 | PA      | $1488.69      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1041.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                               | Constellation Energy Generation LLC                                                 | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134551.67    | 0.13%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                                     | Six Flags Entertainment Corp.                                                       | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |    160000 | PA      | $164529.73    | 0.16%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    714100 | PA      | $24079.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Aris Water Holdings LLC                                                           | Aris Water Holdings LLC                                                             | CUSIP: 04041NAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118744.17    | 0.12%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings, Inc.                                                | Nationstar Mortgage Holdings, Inc.                                                  | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $294753.68    | 0.29%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5011, Class SA                                                        | CUSIP: 3137FVT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1908181 | PA      | $261340.82    | 0.26%             | 2050-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                                                | Putnam Short Term Investment Fund, Class P                                          | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |  20694190 | NS      | $20694190.12  | 20.60%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1314.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H11, Class DI                                                     | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    877363 | PA      | $43537.37     | 0.04%             | 2067-05-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                         | Seagate Data Storage Technology Pte. Ltd.                                           | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     95000 | PA      | $96655.76     | 0.10%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fluor Corp.                                                                       | Fluor Corp.                                                                         | CUSIP: 343412AJ1<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | DBT              | CORP              | US        |     41000 | PA      | $53843.25     | 0.05%             | 2029-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                        | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3               | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37192 | PA      | $37111.16     | 0.04%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                          | Electricite de France SA                                                            | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    200000 | PA      | $226085.00    | 0.23%             | 2033-03-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                      | DaVita, Inc.                                                                        | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15498.33     | 0.02%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR Debt Notes, Series 2016-DNA1, Class B                                   | CUSIP: 3137G0HZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016546 | PA      | $1062928.49   | 1.06%             | 2028-07-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                              | Bulgaria Government Bond                                                            | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |    100000 | PA      | $122246.17    | 0.12%             | 2032-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                             | Clydesdale Acquisition Holdings, Inc.                                               | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118092.79    | 0.12%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H25, Class EI                                                     | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690141 | PA      | $18852.58     | 0.02%             | 2065-10-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                                         | ATI, Inc.                                                                           | CUSIP: 01741RAN2<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15731.15     | 0.02%             | 2030-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-476.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     15000 | PA      | $411.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                                                     | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                             | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120340 | PA      | $112983.63    | 0.11%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                                | Southern Co. (The)                                                                  | CUSIP: 842587DP9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     60000 | PA      | $66483.00     | 0.07%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                                | Venture Global Plaquemines LNG LLC                                                  | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16249.38     | 0.02%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                                             | Axon Enterprise, Inc.                                                               | CUSIP: 05464CAB7<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      9000 | PA      | $32681.25     | 0.03%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6143.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    575000 | PA      | $-18483.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                      | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    260925 | PA      | $265393.75    | 0.26%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    132000 | PA      | $9344.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Exact Sciences Corp.                                                              | Exact Sciences Corp.                                                                | CUSIP: 30063PAE5<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |     67000 | PA      | $61626.09     | 0.06%             | 2031-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                             | NextEra Energy Capital Holdings, Inc.                                               | CUSIP: 65339KCY4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     43000 | PA      | $48998.50     | 0.05%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                   | Virginia Electric and Power Co., Series A                                           | CUSIP: 927804GB4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    295000 | PA      | $280210.32    | 0.28%             | 2029-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     16000 | PA      | $1174.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Magnera Corp.                                                                     | Magnera Corp.                                                                       | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |     65000 | PA      | $57501.63     | 0.06%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     81000 | PA      | $4670.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                    | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                      | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     73000 | PA      | $69398.71     | 0.07%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                                   | FirstCash, Inc.                                                                     | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    213000 | PA      | $220677.16    | 0.22%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class D        | CUSIP: 61762MBC4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $188354.94    | 0.19%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2005-65CB, Class 2A1                                 | CUSIP: 12668AY90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257397 | PA      | $160495.36    | 0.16%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ambipar Lux SARL                                                                  | Ambipar Lux SARL                                                                    | CUSIP: 02319WAB7<br>LEI: 9845008C0E14F9BDEK55 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $189513.29    | 0.19%             | 2033-02-05      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 10 Year Ultra Notes                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-21244.93    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-192.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                    | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                      | CUSIP: 46590XAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     43000 | PA      | $44041.98     | 0.04%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    163000 | PA      | $-15109.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                            | Egypt Government Bond                                                               | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    260000 | PA      | $262299.02    | 0.26%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp.                                                               | Bausch + Lomb Corp., First Lien, New CME Term Loan                                  | CUSIP: C0787FAG7<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     70917 | PA      | $71065.16     | 0.07%             | 2028-09-29      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                                      | Mattel, Inc.                                                                        | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    155000 | PA      | $148675.81    | 0.15%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2010-35, Class SG                                                      | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195061 | PA      | $22022.95     | 0.02%             | 2040-04-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                  | Boeing Co. (The)                                                                    | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7419.98      | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2016000 | PA      | $-4723.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10925 | PA      | $9822.29      | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20530 | PA      | $20382.37     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1311400 | PA      | $206212.57    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| DIRECTV Financing LLC                                                             | DIRECTV Financing LLC, First Lien, 2024 Refinancing CME Term Loan, B                | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    235586 | PA      | $234193.42    | 0.23%             | 2029-08-02      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H08, Class NI                                                     | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1182354 | PA      | $38155.29     | 0.04%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19697 | PA      | $19588.47     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-645.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nutanix, Inc.                                                                     | Nutanix, Inc.                                                                       | CUSIP: 67059NAJ7<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |     42000 | PA      | $47699.18     | 0.05%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Energo-Pro A/S                                                                    | Energo-Pro A/S                                                                      | CUSIP: N/A<br>LEI: 315700IQCL9IX158RO36       | Long             | DBT              | CORP              | CZ        |    200000 | PA      | $214572.08    | 0.21%             | 2028-11-02      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    867000 | PA      | $86775.15     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2016-3, Class NI                                                       | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403818 | PA      | $60262.43     | 0.06%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4027000 | PA      | $1314.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2007-OH1, Class A1D                                  | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60292 | PA      | $52767.03     | 0.05%             | 2047-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                      | DaVita, Inc.                                                                        | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114048.55    | 0.11%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust LP                                                           | Digital Realty Trust LP                                                             | CUSIP: 25389JAX4<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     75000 | PA      | $79042.50     | 0.08%             | 2029-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    800600 | PA      | $78463.14     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                    | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1816779 | PA      | $91158.15     | 0.09%             | 2052-08-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2073000 | PA      | $11770.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                                                  | ArcelorMittal SA                                                                    | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    135000 | PA      | $149674.46    | 0.15%             | 2039-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Outfront Media Capital LLC / Outfront Media Capital Corp.                         | Outfront Media Capital LLC / Outfront Media Capital Corp.                           | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $144366.16    | 0.14%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TGNR Intermediate Holdings LLC                                                    | TGNR Intermediate Holdings LLC                                                      | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121221.86    | 0.12%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 4839, Class WS                                                        | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1582514 | PA      | $229971.86    | 0.23%             | 2056-08-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment LLC                                                        | Fertitta Entertainment LLC, First Lien, Initial CME Term Loan, B                    | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    119396 | PA      | $119400.63    | 0.12%             | 2029-01-29      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC                         | Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC                           | CUSIP: 60672JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $123154.00    | 0.12%             | 2032-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     91000 | PA      | $1636.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-89, Class PS                                                      | CUSIP: 38381W6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1910821 | PA      | $218488.98    | 0.22%             | 2049-07-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H12, Class QI                                                     | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    948614 | PA      | $34958.31     | 0.03%             | 2067-05-20      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| OneSky Flight LLC                                                                 | OneSky Flight LLC                                                                   | CUSIP: 68278CAA3<br>LEI: 549300PM6NEPXGG5B882 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114631.66    | 0.11%             | 2029-12-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                                       | Philippines Government Bond                                                         | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    220000 | PA      | $228198.75    | 0.23%             | 2035-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                      | Royal Caribbean Cruises Ltd.                                                        | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     72000 | PA      | $74052.36     | 0.07%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                    | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4851333 | PA      | $282953.97    | 0.28%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                               | Station Casinos LLC                                                                 | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    165000 | PA      | $154664.17    | 0.15%             | 2031-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                           | Quikrete Holdings, Inc., First Lien, CME Term Loan, B2                              | CUSIP: 74839XAK5<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    118198 | PA      | $118306.62    | 0.12%             | 2029-03-19      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Flash Charm, Inc.                                                                 | Flash Charm, Inc., First Lien, CME Term Loan, B2                                    | CUSIP: 45168RAT0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    118798 | PA      | $111732.01    | 0.11%             | 2028-03-02      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                                | Seagate HDD Cayman                                                                  | CUSIP: 81180WBL4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     48000 | PA      | $86418.00     | 0.09%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11090.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H10, Class AI                                                     | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383545 | PA      | $34241.34     | 0.03%             | 2066-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    170000 | PA      | $1690.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                              | BBCMS Mortgage Trust, Series 2024-C26, Class XA                                     | CUSIP: 05555AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1592020 | PA      | $117010.63    | 0.12%             | 2057-05-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Cogent Communications Group LLC / Cogent Finance, Inc.                            | Cogent Communications Group LLC / Cogent Finance, Inc.                              | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $142964.11    | 0.14%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings, Inc.                                                             | WEC US Holdings, Inc., First Lien, Initial CME Term Loan                            | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    119100 | PA      | $119263.76    | 0.12%             | 2031-01-27      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-14849.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                                             | Coinbase Global, Inc.                                                               | CUSIP: 19260QAF4<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     26000 | PA      | $34073.00     | 0.03%             | 2030-04-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2007-OA1, Class 2A3A                                | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111775 | PA      | $62341.93     | 0.06%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Snowflake, Inc.                                                                   | Snowflake, Inc.                                                                     | CUSIP: 833445AA7<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |     64000 | PA      | $97408.00     | 0.10%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                                             | Spectrum Brands, Inc.                                                               | CUSIP: 84762LAZ8<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19141.50     | 0.02%             | 2029-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5109.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-71.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                         | Duke Energy Carolinas LLC, Series A                                                 | CUSIP: 264399DK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    130000 | PA      | $137317.46    | 0.14%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-96, Class SY                                                      | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3153802 | PA      | $392701.63    | 0.39%             | 2049-08-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Phoenix Newco, Inc.                                                               | Phoenix Newco, Inc., First Lien, Sixth Amendment CME Term Loan                      | CUSIP: 71911KAE4<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    131874 | PA      | $132059.14    | 0.13%             | 2028-11-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    971300 | PA      | $46092.72     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | IRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    465000 | PA      | $893.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verisure Midholding AB                                                            | Verisure Midholding AB                                                              | CUSIP: N/A<br>LEI: 549300496LYEZ55X1M49       | Long             | DBT              | CORP              | SE        |    285000 | PA      | $337820.26    | 0.34%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 374, Class 6                                                           | CUSIP: 3136FCZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36144 | PA      | $5924.26      | 0.01%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                               | COMM Mortgage Trust, Series 2014-CR16, Class C                                      | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $267292.74    | 0.27%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                            | Cleveland-Cliffs, Inc.                                                              | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51915.12     | 0.05%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class D                     | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $92334.41     | 0.09%             | 2058-09-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B                 | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    494249 | PA      | $531815.54    | 0.53%             | 2028-10-25      | Floating      | 16.17%                | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                                    | Aircastle Ltd.                                                                      | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    135000 | PA      | $134993.70    | 0.13%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                        | Aviation Capital Group LLC                                                          | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137550.80    | 0.14%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Transocean Poseidon Ltd.                                                          | Transocean Poseidon Ltd.                                                            | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     63000 | PA      | $63144.46     | 0.06%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     81200 | PA      | $10469.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                             | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D                    | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    246507 | PA      | $29843.36     | 0.03%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    288900 | PA      | $11755.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                             | Ashtead Capital, Inc.                                                               | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197055.95    | 0.20%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   2234100 | PA      | $45874.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                    | Carnival Corp.                                                                      | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     45000 | PA      | $45790.43     | 0.05%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Antero Resources Corp.                                                            | Antero Resources Corp.                                                              | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    145000 | PA      | $146019.06    | 0.15%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                           | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $200120.96    | 0.20%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                   | Air Lease Corp.                                                                     | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310416.13    | 0.31%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I plc                                                        | Vmed O2 UK Financing I plc                                                          | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |    135000 | PA      | $151749.93    | 0.15%             | 2031-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    283000 | PA      | $27482.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier, Inc.                                                                  | Bombardier, Inc.                                                                    | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    265000 | PA      | $276298.28    | 0.28%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                                            | Chart Industries, Inc., First Lien, Amendment No. 7 CME Term Loan                   | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |    237598 | PA      | $238637.99    | 0.24%             | 2030-03-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H03, Class DI                                                     | CUSIP: 38376RNT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788126 | PA      | $26458.19     | 0.03%             | 2065-12-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                                          | Spirit AeroSystems, Inc.                                                            | CUSIP: 85205TAR1<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     73000 | PA      | $80599.37     | 0.08%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                        | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class A5                | CUSIP: 46645LAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74000 | PA      | $73393.37     | 0.07%             | 2049-03-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                             | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                               | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $245429.78    | 0.24%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-473.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                   | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D                           | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    149260 | PA      | $76868.86     | 0.08%             | 2046-08-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-79, Class GI                                                      | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144885 | PA      | $29960.38     | 0.03%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                                        | Southern Gas Corridor CJSC                                                          | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |    220000 | PA      | $223168.89    | 0.22%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 378, Class 19                                                          | CUSIP: 3136FEMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98669 | PA      | $13908.58     | 0.01%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                                 | Rocket Cos., Inc.                                                                   | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $122934.06    | 0.12%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                         | Vistra Operations Co. LLC                                                           | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    155000 | PA      | $151171.24    | 0.15%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                       | Toronto-Dominion Bank (The)                                                         | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $96331.93     | 0.10%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2019-43, Class JS                                                      | CUSIP: 3136B5A54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962164 | PA      | $104773.16    | 0.10%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                            | Tenet Healthcare Corp.                                                              | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    260000 | PA      | $269159.54    | 0.27%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                             | Guatemala Government Bond                                                           | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |    420000 | PA      | $427035.00    | 0.43%             | 2036-06-13      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4250.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Liberty Media Corp.-Liberty Formula One Corp.                                     | Liberty Media Corp.-Liberty Formula One Corp.                                       | CUSIP: 531229AQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $78558.50     | 0.08%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Zegona Finance plc                                                                | Zegona Finance plc                                                                  | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $213899.00    | 0.21%             | 2029-07-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    248000 | PA      | $-1099.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-116, Class ES                                                     | CUSIP: 38382WSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2303797 | PA      | $269633.67    | 0.27%             | 2047-11-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2005-38, Class A1                                    | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201836 | PA      | $181955.16    | 0.18%             | 2035-09-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                               | Newell Brands, Inc.                                                                 | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7651.66      | 0.01%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    124000 | PA      | $-1519.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rivian Automotive, Inc.                                                           | Rivian Automotive, Inc.                                                             | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |     36000 | PA      | $36697.50     | 0.04%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                                  | Welltower OP LLC                                                                    | CUSIP: 95041AAD0<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     32000 | PA      | $42496.00     | 0.04%             | 2029-07-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4794400 | PA      | $11537.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance, Inc.                                             | Acrisure LLC / Acrisure Finance, Inc.                                               | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $124042.08    | 0.12%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 304, Class C37                                                        | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25454 | PA      | $521.58       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vertex, Inc.                                                                      | Vertex, Inc.                                                                        | CUSIP: 92538JAB2<br>LEI: 549300QMYW171MP1PL50 | Long             | DBT              | CORP              | US        |     25000 | PA      | $30012.95     | 0.03%             | 2029-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                | T-Mobile USA, Inc.                                                                  | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    545000 | PA      | $524773.63    | 0.52%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-83, Class SY                                                      | CUSIP: 38381XBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1334173 | PA      | $163150.39    | 0.16%             | 2049-07-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 5093, Class YI                                                        | CUSIP: 3137FYLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1423379 | PA      | $339180.16    | 0.34%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1703900 | PA      | $200879.91    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CPM Holdings, Inc.                                                                | CPM Holdings, Inc., First Lien, Initial CME Term Loan                               | CUSIP: 12620BAR1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    100537 | PA      | $98612.37     | 0.10%             | 2028-09-28      | Variable      | 8.82%                 | No            |                  2 | On Loan: No      |
| Transocean Titan Financing Ltd.                                                   | Transocean Titan Financing Ltd.                                                     | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     45238 | PA      | $45984.86     | 0.05%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Verde Purchaser LLC                                                               | Verde Purchaser LLC, First Lien, Second Refinancing CME Term Loan                   | CUSIP: 92338TAB2<br>LEI: 2549004HFEKMUGBG3Z35 | Long             | LON              | CORP              | US        |     19655 | PA      | $19748.27     | 0.02%             | 2030-11-30      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                                | Southern Co. (The)                                                                  | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177040.57    | 0.18%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Series 2015-30                                                                | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638318 | PA      | $89021.55     | 0.09%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $8181.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                   | TransDigm, Inc.                                                                     | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93447.25     | 0.09%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-152, Class ES                                                     | CUSIP: 38382BH89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789250 | PA      | $91149.65     | 0.09%             | 2049-12-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1735300 | PA      | $47277.91     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CACI International, Inc.                                                          | CACI International, Inc.                                                            | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103319.80    | 0.10%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                          | Benchmark Mortgage Trust, Series 2024-V10, Class XA                                 | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3820815 | PA      | $183901.55    | 0.18%             | 2057-09-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                           | Level 3 Financing, Inc.                                                             | CUSIP: 527298BZ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113625.00    | 0.11%             | 2030-12-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Impinj, Inc.                                                                      | Impinj, Inc.                                                                        | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |     15000 | PA      | $18737.43     | 0.02%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                                   | JH North America Holdings, Inc.                                                     | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10093.57     | 0.01%             | 2031-01-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2872111.44   | 2.86%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Box, Inc.                                                                         | Box, Inc.                                                                           | CUSIP: 10316TAC8<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |     39000 | PA      | $40267.50     | 0.04%             | 2029-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1703900 | PA      | $37166.98     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7058.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                         | Vistra Operations Co. LLC                                                           | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125535.84    | 0.12%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                            | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D   | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127000 | PA      | $28003.50     | 0.03%             | 2046-04-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    210000 | PA      | $26778.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                           | Volkswagen Group of America Finance LLC                                             | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186253.94    | 0.19%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   4797000 | PA      | $108899.04    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Veritiv Operating Co.                                                             | Veritiv Operating Co.                                                               | CUSIP: 92339LAA0<br>LEI: 5493004G8OK5L1UTIY12 | Long             | DBT              | CORP              | US        |     25000 | PA      | $27093.63     | 0.03%             | 2030-11-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                  | Boeing Co. (The)                                                                    | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     92000 | PA      | $89451.06     | 0.09%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                  | Boeing Co. (The)                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     22000 | PA      | $23264.47     | 0.02%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Republic of Armenia                                                               | Armenia Government Bond                                                             | CUSIP: N/A<br>LEI: 5299000H77JSW90G7935       | Long             | DBT              | NUSS              | AM        |    200000 | PA      | $173251.29    | 0.17%             | 2031-02-02      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                                          | EquipmentShare.com, Inc.                                                            | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121633.20    | 0.12%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1032632.86   | 1.03%             | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cloudflare, Inc.                                                                  | Cloudflare, Inc.                                                                    | CUSIP: 18915MAE7<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |     40000 | PA      | $43260.00     | 0.04%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     95000 | PA      | $-14674.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $941.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk                                          | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN3, Class M2 | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    460000 | PA      | $475524.17    | 0.47%             | 2051-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Wayfair, Inc.                                                                     | Wayfair, Inc.                                                                       | CUSIP: 94419LAP6<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     53000 | PA      | $60526.00     | 0.06%             | 2027-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                           | SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A4                   | CUSIP: 78419CAD6<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $255233.49    | 0.25%             | 2048-10-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                   | TransDigm, Inc.                                                                     | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36282.52     | 0.04%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp.                                                               | Bausch + Lomb Corp., First Lien, Initial CME Term Loan                              | CUSIP: C0787FAB8<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    192890 | PA      | $192791.29    | 0.19%             | 2027-05-10      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $158959.63    | 0.16%             | 2040-01-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2947379.16   | 2.93%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-841.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1599600 | PA      | $38523.23     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  51939000 | PA      | $-158312.82   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                       | Caesars Entertainment, Inc.                                                         | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    131000 | PA      | $135743.12    | 0.14%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B2                                 | CUSIP: 35565WBE1<br>LEI: 5493000ITGOA1OPGRQ72 | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $307626.95    | 0.31%             | 2050-06-25      | Floating      | 13.77%                | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    800600 | PA      | $22684.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                        | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class B                | CUSIP: 46643ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $102846.05    | 0.10%             | 2047-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H23, Class BI                                                     | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000272 | PA      | $20658.62     | 0.02%             | 2065-09-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                  | CSC Holdings LLC, First Lien, Term Loan, B5                                         | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     93763 | PA      | $91469.56     | 0.09%             | 2027-04-15      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                    | Morgan Stanley Capital I Trust, Series 2018-H3, Class C                             | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $117002.30    | 0.12%             | 2051-07-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   2234100 | PA      | $18235.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UKG, Inc.                                                                         | UKG, Inc., First Lien, Initial CME Term Loan                                        | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    118800 | PA      | $119382.71    | 0.12%             | 2031-02-10      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Note                                                                  | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    133000 | PA      | $123653.69    | 0.12%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Series 4000, Class PI                                                        | CUSIP: 3137ALYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111335 | PA      | $15197.59     | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lantheus Holdings, Inc.                                                           | Lantheus Holdings, Inc.                                                             | CUSIP: 516544AB9<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |     30000 | PA      | $38182.50     | 0.04%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Waste Pro USA, Inc.                                                               | Waste Pro USA, Inc.                                                                 | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    240000 | PA      | $249748.32    | 0.25%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -4794400 | PA      | $-1282.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1529.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1981.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    975000 | PA      | $16970.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                      | Royal Caribbean Cruises Ltd.                                                        | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    143000 | PA      | $145845.99    | 0.15%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                                      | Hess Midstream Operations LP                                                        | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $149152.28    | 0.15%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Putnam Variable Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer