# EDGAR Filing Document

**Accession Number:** 0000892071
**File Stem:** 0001752724-25-156632
**Filing Date:** 2025-6
**Character Count:** 177186
**Document Hash:** d06ee014435c33f74c3112191b3b7350
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156632.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-156632

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW FUNDS INC
- **CENTRAL INDEX KEY:** 0000892071

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07170
- **FILM NUMBER:** 251075196

**BUSINESS ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW GALILEO FUNDS INC
- **DATE OF NAME CHANGE:** 19950113

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### TCW Global Bond Fund (Series ID: S000034415)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000105877 | Class I      | TGGBX           |
| C000105878 | Class N      | TGGFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW FUNDS INC

- **b. Investment Company Act file number:** 811-07170

- **c. CIK number of Registrant:** 0000892071

- **d. LEI of Registrant:** 54930078E2I2DS4UJ217

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW Global Bond Fund

- **b. EDGAR series identifier (if any):** S000034415

- **c. LEI of Series:** 549300LNSLRWNNL82Q34

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $22873425.09

**Total Liabilities:** $2752465.80

**Net Assets:** $20120959.29

**Delayed Delivery Securities:** $413505.85

**Cash Not Reported:** $78170.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -14.61000000 | **1-Year:** -352.90000000 | **5-Year:** -731.55000000 | **10-Year:** -1270.82000000 | **30-Year:** -289.79000000

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

- **3-Month:** -16.09000000 | **1-Year:** -108.12000000 | **5-Year:** -368.50000000 | **10-Year:** -182.42000000 | **30-Year:** -33.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000105878 | 1.85%                | 0.72%                | 3.50%                |
| Class ID C000105877 | 1.98%                | 0.61%                | 3.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-234689.59              | $448193.19                                 |
| Month 2  | $33173.19                | $69213.73                                  |
| Month 3  | $-11186.86               | $519477.89                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Bond Index

- **Index Identifier:** LEGASTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Morgan Stanley Capital Inc                       | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1                                                                       | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59766 | PA      | $58533.18     | 0.29%             | 2035-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13830 | PA      | $12789.82     | 0.06%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     42000 | PA      | $46621.52     | 0.23%             | 2027-07-30      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                         | Bear Stearns ALT-A Trust 2005-8                                                                                        | CUSIP: 07386HWR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19397 | PA      | $17165.58     | 0.09%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                     | CUSIP: 31397TAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28821 | PA      | $1870.35      | 0.01%             | 2038-04-15      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE JUN25                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -5 | NC      | $-14079.22    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     95000 | PA      | $95845.46     | 0.48%             | 2055-05-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                                                                 | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      5000 | PA      | $4421.10      | 0.02%             | 2026-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                              | Spectrum Brands Inc                                                                                                    | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     23000 | PA      | $18993.17     | 0.09%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $302819.56    | 1.50%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |         1 | NC      | $410.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO                                       | Arbour CLO II DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400HO4JODKPRCB789 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112669.21    | 0.56%             | 2034-04-15      | Floating      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD BRL                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-142.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                   | European Union                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     87000 | PA      | $96055.92     | 0.48%             | 2029-12-04      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CN        |         1 | NC      | $165.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $195815.90    | 0.97%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KFW                                              | Kreditanstalt fuer Wiederaufbau                                                                                        | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    181000 | PA      | $198754.11    | 0.99%             | 2028-01-07      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                                                                  | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9178.00      | 0.05%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                         | Florida Power & Light Co                                                                                               | CUSIP: 341081GU5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20535.60     | 0.10%             | 2034-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                                                                 | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5090.45      | 0.03%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                         | Hudson Pacific Properties LP                                                                                           | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |     11000 | PA      | $9561.31      | 0.05%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                         | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20609.40     | 0.10%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                            | Molina Healthcare Inc                                                                                                  | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4970.60      | 0.02%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176529 | PA      | $164911.60    | 0.82%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                            | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15199.65     | 0.08%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    392000 | PA      | $523248.90    | 2.60%             | 2027-03-07      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| E.ON SE                                          | E.ON SE                                                                                                                | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |     25000 | PA      | $28322.12     | 0.14%             | 2040-01-16      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     18000 | PA      | $20654.65     | 0.10%             | 2054-10-31      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                         | HAH Group Holding Co LLC                                                                                               | CUSIP: 40518JAA7<br>LEI: 254900FFJQHW9R90FL74 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1923.10      | 0.01%             | 2031-10-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                 | IndyMac INDX Mortgage Loan Trust 2005-AR15                                                                             | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37310 | PA      | $30101.20     | 0.15%             | 2035-09-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA                          | Delta Air Lines 2020-1 Class AA Pass Through Trust                                                                     | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65783 | PA      | $61687.78     | 0.31%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbour CLO                                       | Arbour CLO III DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400X5BNQEUMNXGO22 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112299.05    | 0.56%             | 2034-07-15      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Adagio CLO                                       | Adagio CLO VIII DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400GXSZ7DMJYBSH11 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $113078.25    | 0.56%             | 2032-04-15      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower SPV Limited | Vantage Data Centers Jersey Borrower Spv Ltd                                                                           | CUSIP: 000000000<br>LEI: 213800S5S638C9IBQ379 | Long             | ABS-O            | CORP              | JE        |    100000 | PA      | $136296.50    | 0.68%             | 2039-05-28      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    151000 | PA      | $92011.62     | 0.46%             | 2034-12-21      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                            | Caesars Entertainment Inc                                                                                              | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10041.20     | 0.05%             | 2027-07-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-359.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                          | Farmers Exchange Capital II                                                                                            | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28914.30     | 0.14%             | 2053-11-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                                                                  | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4938.90      | 0.02%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5545 | PA      | $5092.23      | 0.03%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $157915.63    | 0.78%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $39672.30     | 0.20%             | 2055-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HELIOS SOFT/ION CORP SOL                         | Helios Software Holdings Inc / ION Corporate Solutions Finance Sarl                                                    | CUSIP: 42329HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $2913.78      | 0.01%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                             | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225000 | PA      | $209412.11    | 1.04%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 2008-5                                                                                          | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $52713.44     | 0.26%             | 2073-07-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    177000 | PA      | $109954.40    | 0.55%             | 2029-11-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100941 | PA      | $96568.66     | 0.48%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                                                                 | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1989.00      | 0.01%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                              | Prestige Brands Inc                                                                                                    | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19894.16     | 0.10%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp              | JP Morgan Mortgage Acquisition Trust 2006-CH2                                                                          | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151310 | PA      | $91142.29     | 0.45%             | 2029-09-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                              | General Electric Co                                                                                                    | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92929.00     | 0.46%             | 2036-08-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe         | Bundesrepublik Deutschland Bundesanleihe                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    158000 | PA      | $166220.41    | 0.83%             | 2054-08-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| MGM RESORTS INTL                                 | MGM Resorts International                                                                                              | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4932.95      | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                               | CUSIP: 38378B2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1355808 | PA      | $15652.67     | 0.08%             | 2053-01-16      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2006-HY12                                                                                       | CUSIP: 02146PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105642 | PA      | $96592.64     | 0.48%             | 2036-08-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                 | Alabama Power Co                                                                                                       | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20093.20     | 0.10%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                       | Singapore Government Bonds                                                                                             | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     92000 | PA      | $72845.37     | 0.36%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                            | American Homes 4 Rent LP                                                                                               | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |     35000 | PA      | $30197.65     | 0.15%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $42495.34     | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust             | Deephaven Residential Mortgage Trust 2021-3                                                                            | CUSIP: 24381VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74709 | PA      | $65712.53     | 0.33%             | 2066-08-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                                                                     | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3000 | PA      | $3160.38      | 0.02%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                                                        | CUSIP: 3136ARP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359919 | PA      | $13473.51     | 0.07%             | 2039-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     20000 | PA      | $19351.00     | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                               | VICI Properties LP                                                                                                     | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      2000 | PA      | $1962.62      | 0.01%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                            | Alibaba Group Holding Ltd                                                                                              | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     50000 | PA      | $43861.50     | 0.22%             | 2031-02-09      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset             | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                                                              | CUSIP: 59023MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265460 | PA      | $82509.10     | 0.41%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD IDR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-24.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                   | 1261229 BC Ltd                                                                                                         | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      5000 | PA      | $4906.00      | 0.02%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                     | New Zealand Government Bonds                                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     22000 | PA      | $13476.17     | 0.07%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                | Xerox Corp                                                                                                             | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10192.40     | 0.05%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| VALVOLINE INC                                    | Valvoline Inc                                                                                                          | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8764.70      | 0.04%             | 2031-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                              | Sirius XM Radio LLC                                                                                                    | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21460.00     | 0.11%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD NOK                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-1515.33     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                                                                                               | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    338000 | PA      | $84205.47     | 0.42%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                       | Morgan Stanley ABS Capital I Inc Trust 2007-HE2                                                                        | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133931 | PA      | $60016.09     | 0.30%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                      | Paychex Inc                                                                                                            | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40664.80     | 0.20%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2010-C1                                                                                   | CUSIP: 36249KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929157 | PA      | $106.20       | 0.00%             | 2043-08-10      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                             | Michaels Cos Inc/The                                                                                                   | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     23000 | PA      | $12089.49     | 0.06%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     17000 | PA      | $19932.12     | 0.10%             | 2034-10-31      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $812.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17363.00     | 0.09%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2012-CCRE4 Mortgage Trust                                                                                         | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167201 | PA      | $2586.17      | 0.01%             | 2045-10-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22640 | PA      | $20349.32     | 0.10%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    200000 | PA      | $29892.33     | 0.15%             | 2031-05-27      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                             | Alpha Generation LLC                                                                                                   | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5109.65      | 0.03%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK35                                                                                                        | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $98327.18     | 0.49%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     55000 | PA      | $35841.55     | 0.18%             | 2044-06-25      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                               | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     85000 | PA      | $58423.05     | 0.29%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD KRW                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-255.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7315.79     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1060000 | PA      | $147278.82    | 0.73%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                                                                    | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     20000 | PA      | $17791.60     | 0.09%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CLP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $166.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX 2021-LBA3 Mortgage Trust                                                                                            | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98603.62     | 0.49%             | 2036-10-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1155 | PA      | $1121.50      | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                              | Henley CLO VI DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400YRMBLUNSYHHJ03 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $113227.79    | 0.56%             | 2034-06-10      | Floating      | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31417ACR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35498 | PA      | $33377.96     | 0.17%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                             | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150000 | PA      | $127827.83    | 0.64%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    245000 | PA      | $276111.37    | 1.37%             | 2034-11-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                           | Cloud Software Group Inc                                                                                               | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5222.30      | 0.03%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              |  | US        |     10000 | PA      | $9976.20      | 0.05%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                             | LXP Industrial Trust                                                                                                   | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |     20000 | PA      | $17621.60     | 0.09%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp. | BCMSC Trust 2000-A                                                                                                     | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189525 | PA      | $15595.44     | 0.08%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     26000 | PA      | $19810.16     | 0.10%             | 2052-10-31      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2017-C3                                                                                  | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $58079.56     | 0.29%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8299 | PA      | $7621.44      | 0.04%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40643 | PA      | $37359.49     | 0.19%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                                                             | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18331.80     | 0.09%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31417AP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49541 | PA      | $46588.75     | 0.23%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJZ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11877 | PA      | $11273.29     | 0.06%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Last Mile Securities                             | Last Mile Securities PE 2021 DAC                                                                                       | CUSIP: 000000000<br>LEI: 635400UJZKP57EXKMQ33 | Long             | ABS-MBS          | CORP              | IE        |     99979 | PA      | $111390.02    | 0.55%             | 2031-08-17      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |      5000 | PA      | $5078.00      | 0.03%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                      | CUSIP: 31398NQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30851 | PA      | $2812.35      | 0.01%             | 2040-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| INTELSAT EMERGENCE SA                            | INTELSAT EMERGENCE SA                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       344 | NS      | $13803.00     | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                         | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99624.00     | 0.50%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $3522.74      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                               | Bausch + Lomb Corp                                                                                                     | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |      8000 | PA      | $8360.00      | 0.04%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26541 | PA      | $25391.10     | 0.13%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                          | VZ Secured Financing BV                                                                                                | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     23000 | PA      | $20081.99     | 0.10%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                                                                                                | CUSIP: 135087P99<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     84000 | PA      | $53106.15     | 0.26%             | 2055-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4969.20      | 0.02%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                 | Peruvian Government International Bond                                                                                 | CUSIP: 715638DZ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     51000 | PA      | $14913.11     | 0.07%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                             | Pilgrim's Pride Corp                                                                                                   | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     37000 | PA      | $35074.52     | 0.17%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                              | Worldline SA/France                                                                                                    | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |     20640 | PA      | $22761.93     | 0.11%             | 2026-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |         1 | NC      | $261.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37389 | PA      | $35860.84     | 0.18%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $20.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                       | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57529.20     | 0.29%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD ILS                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-11.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209160 | PA      | $166085.88    | 0.83%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    659000 | PA      | $662037.58    | 3.29%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3                                                           | CUSIP: 46635TAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5795180 | PA      | $46626.57     | 0.23%             | 2046-02-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15159.75     | 0.08%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CZK                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-78.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4729.10      | 0.02%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CNY                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $312.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                          | Frontier Communications Holdings LLC                                                                                   | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10611.90     | 0.05%             | 2031-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $41.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    810000 | PA      | $114782.71    | 0.57%             | 2027-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                         | Amcor Flexibles North America Inc                                                                                      | CUSIP: 02344AAE8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49863.00     | 0.25%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE JUN25                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        15 | NC      | $36520.59     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-503.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  40600000 | PA      | $176033.90    | 0.87%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED DKK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | DK        |         1 | NC      | $1939.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VONOVIA SE                                       | Vonovia SE                                                                                                             | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $74947.06     | 0.37%             | 2041-06-14      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BLACKROCK INC                                    | Blackrock Inc                                                                                                          | CUSIP: 000000000<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $116580.52    | 0.58%             | 2035-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1350 | PA      | $1243.94      | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                              | Altice Financing SA                                                                                                    | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |      5000 | PA      | $3681.65      | 0.02%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                  | Star Parent Inc                                                                                                        | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5061.80      | 0.03%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89478 | PA      | $74526.94     | 0.37%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                              | Artera Services LLC                                                                                                    | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4750.45      | 0.02%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                      | BXHPP Trust 2021-FILM                                                                                                  | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89000 | PA      | $80521.94     | 0.40%             | 2036-08-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74051 | PA      | $70889.71     | 0.35%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates            | CWABS Asset-Backed Certificates Trust 2007-13                                                                          | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53389 | PA      | $48703.57     | 0.24%             | 2047-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                 | MortgageIT Trust 2005-1                                                                                                | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6760 | PA      | $6783.32      | 0.03%             | 2035-02-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MSD NETHERLANDS CAPITAL                          | MSD Netherlands Capital BV                                                                                             | CUSIP: 000000000<br>LEI: 724500V56VDH8898Q807 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $109213.24    | 0.54%             | 2044-05-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                                   | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64491.00     | 0.32%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                              | RRE 2 Loan Management DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300YT0EWEDPE3LK61 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112517.96    | 0.56%             | 2035-07-15      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO/THE                                    | Boeing Co/The                                                                                                          | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10766.90     | 0.05%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                         | Thailand Government Bond                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   2372000 | PA      | $69059.60     | 0.34%             | 2035-12-17      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                          | Frontier Communications Holdings LLC                                                                                   | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $5997.90      | 0.03%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                            | Bonos de la Tesoreria de la Republica en pesos                                                                         | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  30000000 | PA      | $31271.32     | 0.16%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104600 | PA      | $100748.93    | 0.50%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2021-RPL1 Trust                                                                                                    | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83630.00     | 0.42%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates    | Ownit Mortgage Loan Trust Series 2006-3                                                                                | CUSIP: 69121PDY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31613 | PA      | $30317.21     | 0.15%             | 2037-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81641 | PA      | $67999.60     | 0.34%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                     | Netherlands Government Bonds                                                                                           | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     35000 | PA      | $39452.84     | 0.20%             | 2034-07-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13241 | PA      | $12205.17     | 0.06%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                      | CUSIP: 31396WAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28721 | PA      | $2716.50      | 0.01%             | 2037-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                          | Oncor Electric Delivery Co LLC                                                                                         | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30414.60     | 0.15%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust 2005-A15                                                                        | CUSIP: 45660L4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422092 | PA      | $42213.63     | 0.21%             | 2036-02-25      | Floating      | 1.11%                 | No            |                  3 | On Loan: No      |
| Sweden Government Bonds                          | Sweden Government Bonds                                                                                                | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    490000 | PA      | $48133.28     | 0.24%             | 2029-11-12      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                      | CUSIP: 31398GMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16652 | PA      | $1725.98      | 0.01%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53332 | PA      | $44420.83     | 0.22%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   2650000 | PA      | $392234.88    | 1.95%             | 2029-11-21      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31520 | PA      | $29879.53     | 0.15%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                                                        | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15244.65     | 0.08%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20202.60     | 0.10%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD BRL                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7666.32     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                                                      | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79602 | PA      | $64858.78     | 0.32%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust         | Castlelake Aircraft Structured Trust 2019-1                                                                            | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |    115045 | PA      | $108293.17    | 0.54%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: SWFLCH021 IRS GBP R F  4.00000 SWFLCH021_FIX CCPOIS / Short: SWFLCH021 IRS GBP P V 00MSONIA SWFLCH021_FLO CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    460000 | OU      | $5882.29      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10290 | PA      | $10051.10     | 0.05%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16220 | PA      | $15166.59     | 0.08%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-442.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 5YR BOND FUT JUN25                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         2 | NC      | $379.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $128.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                         | USA Compression Partners LP / USA Compression Finance Corp                                                             | CUSIP: 91740PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4968.55      | 0.02%             | 2027-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                  | CVS Health Corp                                                                                                        | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21281.25     | 0.11%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     49000 | PA      | $56596.97     | 0.28%             | 2030-02-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD COP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $3.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII              | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                                                                      | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83704 | PA      | $85423.27     | 0.42%             | 2047-06-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-23125.35    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED AUD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |         1 | NC      | $1626.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $334695.55    | 1.66%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                             | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $49963.90     | 0.25%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO SAS                                   | OPAL BIDCO                                                                                                             | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |      5000 | PA      | $5008.80      | 0.02%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                      | Kedrion SpA                                                                                                            | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |     11000 | PA      | $10546.69     | 0.05%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                    | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6000 | PA      | $6018.52      | 0.03%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD PEN                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $32.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 811000000 | PA      | $49434.36     | 0.25%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25236 | PA      | $23115.88     | 0.11%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                | Post Holdings Inc                                                                                                      | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11339.40     | 0.06%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |         1 | NC      | $56458.23     | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12922 | PA      | $11910.96     | 0.06%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                            | National Grid Electricity Transmission PLC                                                                             | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $96049.68     | 0.48%             | 2032-07-07      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |         1 | NC      | $1117.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                                                             | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9926.70      | 0.05%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MAPS LTD                                         | MAPS 2019-1 Ltd                                                                                                        | CUSIP: 55283LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     54681 | PA      | $52952.31     | 0.26%             | 2044-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                          | Canada Government Bonds                                                                                                | CUSIP: 135087M84<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    293000 | PA      | $207503.31    | 1.03%             | 2027-03-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust   | Structured Adjustable Rate Mortgage Loan Trust Series 2004-18                                                          | CUSIP: 863579FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5563 | PA      | $5424.13      | 0.03%             | 2034-12-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CN        |         1 | NC      | $-1583.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                       | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4526.20      | 0.02%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD ZAR                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $23.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT JUN25                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -6 | NC      | $-13311.32    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CHINA DEVELOPMENT BANK                           | China Development Bank                                                                                                 | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |   1530000 | PA      | $225179.31    | 1.12%             | 2030-06-18      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |         1 | NC      | $58.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69292 | PA      | $68016.00     | 0.34%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                             | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     25000 | PA      | $25695.50     | 0.13%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                  | Japan Government Ten Year Bonds                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  74050000 | PA      | $515411.67    | 2.56%             | 2034-12-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                   | Open Text Corp                                                                                                         | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |      5000 | PA      | $5143.10      | 0.03%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                         | Ferrellgas LP / Ferrellgas Finance Corp                                                                                | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $19109.20     | 0.09%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                            | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     24000 | PA      | $22525.44     | 0.11%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED JPY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |         1 | NC      | $262.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $260182.35    | 1.29%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2565.82     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $-6.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                                                                                             | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30105.30     | 0.15%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                                                                | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49789.00     | 0.25%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD KRW                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-40.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                            | Province of Ontario Canada                                                                                             | CUSIP: 68333ZAX5<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    209000 | PA      | $158587.62    | 0.79%             | 2032-02-02      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                | Portugal Obrigacoes do Tesouro OT                                                                                      | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     72000 | PA      | $81632.37     | 0.41%             | 2034-10-20      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 754000000 | PA      | $44904.79     | 0.22%             | 2033-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT JUN25                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2 | NC      | $2605.10      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39716 | PA      | $33118.58     | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47797 | PA      | $41310.84     | 0.21%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bundesobligation                                 | Bundesobligation                                                                                                       | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     39000 | PA      | $45190.21     | 0.22%             | 2030-04-18      | Fixed         | 2.40%                 | Yes           |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8725.50      | 0.04%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                          | Hungary Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   2250000 | PA      | $5393.20      | 0.03%             | 2030-08-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                          | Bayer US Finance II LLC                                                                                                | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7883.00      | 0.04%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1620.54      | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                               | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7533.40      | 0.04%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-42260.24    | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1039000 | PA      | $1416381.03   | 7.04%             | 2030-03-07      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE JUN25                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         1 | NC      | $3925.40      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                         | Hudson Pacific Properties LP                                                                                           | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |     25000 | PA      | $16575.25     | 0.08%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    750000 | PA      | $108913.57    | 0.54%             | 2034-02-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                   | Czech Republic Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    670000 | PA      | $31848.43     | 0.16%             | 2032-11-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                 | CSC Holdings LLC                                                                                                       | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     45000 | PA      | $36828.00     | 0.18%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| County of Miami-Dade FL Aviation Revenue         | MIAMI-DADE CNTY FL AVIATION REVENUE                                                                                    | CUSIP: 59333P6L7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     50000 | PA      | $41263.85     | 0.21%             | 2035-10-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                    | TransDigm Inc                                                                                                          | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     41000 | PA      | $40958.59     | 0.20%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                           | China Development Bank                                                                                                 | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |    410000 | PA      | $60464.10     | 0.30%             | 2032-10-24      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED RON / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | RO        |         1 | NC      | $1007.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET CO                          | Central Garden & Pet Co                                                                                                | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5505.30      | 0.03%             | 2030-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                         | American Assets Trust LP                                                                                               | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |     40000 | PA      | $34908.80     | 0.17%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12889 | PA      | $12218.18     | 0.06%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                              | Medline Borrower LP                                                                                                    | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9509.70      | 0.05%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2022-CLS                                                                                                      | CUSIP: 05609XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $88278.08     | 0.44%             | 2027-10-13      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    145000 | PA      | $170063.69    | 0.85%             | 2035-02-01      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140MGKG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84269 | PA      | $70188.89     | 0.35%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3829 | PA      | $3410.79      | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  81510000 | PA      | $51015.57     | 0.25%             | 2051-03-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                                                                  | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9000 | PA      | $8484.03      | 0.04%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                      | CUSIP: 31396YXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31710 | PA      | $3896.95      | 0.02%             | 2038-03-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-5.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                         | Brazil Notas do Tesouro Nacional Serie F                                                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   2010000 | PA      | $315341.78    | 1.57%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8236 | PA      | $7921.82      | 0.04%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $-0.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                         | Transocean Titan Financing Ltd                                                                                         | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1810 | PA      | $1794.46      | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49421 | PA      | $43962.20     | 0.22%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc        | Structured Asset Mortgage Investments II Trust 2006-AR8                                                                | CUSIP: 86361WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107419 | PA      | $87198.71     | 0.43%             | 2036-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2000.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                  | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    218361 | PA      | $222382.64    | 1.11%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED CAD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |         1 | NC      | $6262.56      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20071.20     | 0.10%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61623 | PA      | $49310.94     | 0.25%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                            | TCW Central Cash Fund                                                                                                  | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |    970309 | NS      | $970309.12    | 4.82%             |  |  |  | No            |                  1 | On Loan: No      |
| GRIFOLS SA                                       | Grifols SA                                                                                                             | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |     15000 | PA      | $13974.30     | 0.07%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                           | VICI Properties LP / VICI Note Co Inc                                                                                  | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              |  | US        |     30000 | PA      | $30378.90     | 0.15%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                  | Contego CLO VI DAC                                                                                                     | CUSIP: 000000000<br>LEI: 5493004ELE0S8SSAAJ29 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112757.76    | 0.56%             | 2034-04-15      | Floating      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates          | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                                                          | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28225 | PA      | $27658.90     | 0.14%             | 2045-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $99778.30     | 0.50%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD MYR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-169.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SNAP INC                                         | Snap Inc                                                                                                               | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19982.00     | 0.10%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CH        |         1 | NC      | $7030.49      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CNH                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-64.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                         | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4262.05      | 0.02%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                       | Morgan Stanley ABS Capital I Inc Trust 2006-HE4                                                                        | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213693 | PA      | $106897.84    | 0.53%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED TRY / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TR        |         1 | NC      | $879.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5838 | PA      | $5873.70      | 0.03%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                             | Colombian TES                                                                                                          | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 105300000 | PA      | $19385.14     | 0.10%             | 2032-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |         1 | NC      | $1312.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED NZD / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |         1 | NC      | $13704.47     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                             | CUSIP: 46590XAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     20000 | PA      | $15412.60     | 0.08%             | 2052-02-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                  | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2699 | PA      | $2404.00      | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                     | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1187 | PA      | $1090.08      | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                  | McDonald's Corp                                                                                                        | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29181.60     | 0.15%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    113000 | PA      | $132225.84    | 0.66%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| TCW Emerging Markets Income Fund                 | TCW Emerging Markets Income Fund                                                                                       | CUSIP: 87234N765<br>LEI: 549300TJW8MTVSLYJW58 | Long             | EC               | RF                | US        |     28710 | NS      | $184604.86    | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 279800000 | PA      | $192905.52    | 0.96%             | 2031-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                                                                 | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6015.87      | 0.03%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63185 | PA      | $54856.10     | 0.27%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2024-SVEN                                                                        | CUSIP: 949937AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $103310.18    | 0.51%             | 2037-06-10      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                            | Venture Global Plaquemines LNG LLC                                                                                     | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5135.65      | 0.03%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     10000 | PA      | $9791.00      | 0.05%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                   | European Union                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    150000 | PA      | $155440.88    | 0.77%             | 2029-07-04      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $17.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $40.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                                                        | CUSIP: 3136AQ5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117876 | PA      | $5.93         | 0.00%             | 2036-04-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3133B5E99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41811 | PA      | $34825.00     | 0.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                     | Alphabet Inc                                                                                                           | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113235.07    | 0.56%             | 2033-05-06      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Europe CLO                        | Rockford Tower Europe CLO 2021-2 DAC                                                                                   | CUSIP: 000000000<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112795.26    | 0.56%             | 2035-01-24      | Floating      | 3.15%                 | Yes           |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                                                                 | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3772.52      | 0.02%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO                                       | Aurium CLO IX DAC                                                                                                      | CUSIP: 000000000<br>LEI: 549300LYSVOQTKM0B642 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $112907.34    | 0.56%             | 2034-10-28      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-918.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                   | European Union                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    102000 | PA      | $116246.47    | 0.58%             | 2033-02-04      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Spain Government Bonds                           | Spain Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     98000 | PA      | $99126.16     | 0.49%             | 2035-07-30      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68390 | PA      | $68418.00     | 0.34%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                       | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54024.85     | 0.27%             | 2026-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    600000 | PA      | $24881.84     | 0.12%             | 2053-07-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                 | GGAM Finance Ltd                                                                                                       | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     15000 | PA      | $15396.00     | 0.08%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2021-8                                                                                        | CUSIP: 46592TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92932 | PA      | $75659.02     | 0.38%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SC FNCE I                          | Thermo Fisher Scientific Finance I BV                                                                                  | CUSIP: 000000000<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $81383.33     | 0.40%             | 2041-10-18      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-SCHATZ FUT JUN25                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         4 | NC      | $3172.43      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors                     | State Street Institutional US Government Money Market Fund                                                             | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    158964 | NS      | $158963.72    | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                                                                   | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30936.00     | 0.15%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) JUN25                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        10 | NC      | $20139.64     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 31418AZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13392 | PA      | $13062.06     | 0.06%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                                | Upbound Group Inc                                                                                                      | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14178.60     | 0.07%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                                                      | CUSIP: 36261HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74580 | PA      | $58256.34     | 0.29%             | 2051-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4399.25      | 0.02%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | Tenet Healthcare Corp                                                                                                  | CUSIP: 88033GDR8<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4745.25      | 0.02%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT             | French Republic Government Bonds OAT                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    395000 | PA      | $441225.77    | 2.19%             | 2027-05-25      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                         | BX 2021-LBA3 Mortgage Trust                                                                                            | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98693.21     | 0.49%             | 2036-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SGD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-745.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                              | BHMS 2018-ATLS                                                                                                         | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99757.42     | 0.50%             | 2035-07-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds               | Japan Government Thirty Year Bonds                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  27850000 | PA      | $162574.18    | 0.81%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| China Development Bank                           | China Development Bank                                                                                                 | CUSIP: 000000000<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |    200000 | PA      | $29317.62     | 0.15%             | 2029-01-08      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                             | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $95695.95     | 0.48%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc        | Structured Asset Mortgage Investments II Trust 2005-AR6                                                                | CUSIP: 86359LNA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18209 | PA      | $16232.10     | 0.08%             | 2045-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-1739.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED HUF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |         1 | NC      | $357.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                       | Australia Government Bonds                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     93000 | PA      | $61199.60     | 0.30%             | 2027-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    298000 | PA      | $394679.21    | 1.96%             | 2034-07-31      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19429 | PA      | $19029.85     | 0.09%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                         | Healthcare Realty Holdings LP                                                                                          | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |     40000 | PA      | $36736.40     | 0.18%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED NOK / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |         1 | NC      | $452.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140QNWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164782 | PA      | $131137.63    | 0.65%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                           | Republic of Poland Government Bond                                                                                     | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    156000 | PA      | $33843.05     | 0.17%             | 2032-04-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                     | Amprion GmbH                                                                                                           | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $90188.60     | 0.45%             | 2033-09-23      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DMHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78563 | PA      | $69495.09     | 0.35%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                       | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10073.50     | 0.05%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                               | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26741 | PA      | $5156.43      | 0.03%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121968 | PA      | $96850.40     | 0.48%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) JUN25                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         8 | NC      | $14844.19     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                                                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     64000 | PA      | $63375.00     | 0.31%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48448.50     | 0.24%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE JUN25                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -1 | NC      | $-469.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18662.60     | 0.09%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED PLN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PL        |         1 | NC      | $477.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                          | Bayer US Finance II LLC                                                                                                | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     51000 | PA      | $43762.08     | 0.22%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD JPY                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-1945.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                | CRSO TR 2023 BRND                                                                                                      | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $105317.64    | 0.52%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                          | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54647.45     | 0.27%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    128000 | PA      | $150080.08    | 0.75%             | 2027-07-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| MODIVCARE INC                                    | ModivCare Inc                                                                                                          | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |     22050 | PA      | $6835.50      | 0.03%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                         | Ferrellgas LP / Ferrellgas Finance Corp                                                                                | CUSIP: 315289AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9732.50      | 0.05%             | 2026-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151257 | PA      | $145073.31    | 0.72%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD NZD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $58.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     76000 | PA      | $61801.68     | 0.31%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |         1 | NC      | $1770.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                                                        | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19920.20     | 0.10%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    304000 | PA      | $408318.63    | 2.03%             | 2027-01-29      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                         | International Flavors & Fragrances Inc                                                                                 | CUSIP: 000000000<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    100000 | PA      | $112068.76    | 0.56%             | 2026-09-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 2YR BOND FUT JUN25                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         7 | NC      | $1937.02      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                        | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104530 | PA      | $92464.75     | 0.46%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50324.50     | 0.25%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                  | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $83156.80     | 0.41%             | 2054-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                             | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225000 | PA      | $220683.04    | 1.10%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-206.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                  | Israel Government Bonds - Fixed                                                                                        | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    116000 | PA      | $26368.52     | 0.13%             | 2032-04-30      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2861.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** TCW FUNDS INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer